Search results for " Quadratic Programming"
showing 7 items of 7 documents
A Sequential Quadratic Programming Method for Volatility Estimation in Option Pricing
2006
Our goal is to identify the volatility function in Dupire's equation from given option prices. Following an optimal control approach in a Lagrangian framework, we propose a globalized sequential quadratic programming (SQP) algorithm with a modified Hessian - to ensure that every SQP step is a descent direction - and implement a line search strategy. In each level of the SQP method a linear-quadratic optimal control problem with box constraints is solved by a primal-dual active set strategy. This guarantees L^1 constraints for the volatility, in particular assuring its positivity. The proposed algorithm is founded on a thorough first- and second-order optimality analysis. We prove the existe…
Frictionless contact-detachment analysis: iterative linear complementarity and quadratic programming approaches.
2012
The object of the paper concerns a consistent formulation of the classical Signorini’s theory regarding the frictionless contact problem between two elastic bodies in the hypothesis of small displacements and strains. The employment of the symmetric Galerkin boundary element method, based on boundary discrete quantities, makes it possible to distinguish two different boundary types, one in contact as the zone of potential detachment, called the real boundary, the other detached as the zone of potential contact, called the virtual boundary. The contact-detachment problem is decomposed into two sub-problems: one is purely elastic, the other regards the contact condition. Following this method…
Stable control of pulse speed in parametric three-wave solitons.
2006
International audience; We analyze the control of the propagation speed of three wave packets interacting in a medium with quadratic nonlinearity and dispersion. We find analytical expressions for mutually trapped pulses with a common velocity in the form of a three-parameter family of solutions of the three-wave resonant interaction. The stability of these novel parametric solitons is simply related to the value of their common group velocity.
Decentralized price-driven grid balancing via repurposed electric vehicle batteries
2017
Abstract The share of electricity generated from intermittent renewable sources, e.g., wind and solar grows rapidly. This affects grid stability and power quality. If the share of renewable power generation is to be increased further, additional flexibilities must be introduced. Aggregating small, distributed loads and energy storage facilities is a good medium-term option. In this paper, the suitability of decentralized and on-site optimized storage system consisting of repurposed electric vehicle batteries for grid balancing is investigated. Battery operation is controlled via an optimization procedure, which relies on a one-way communicated pseudo-cost function (PCF). Day-ahead electrici…
Methods for optimal shape design of electrical devices
1996
Often the primary problem facing designers of structural systems is determining the shape of the structure. In spite of graphical work stations and modern software for analyzing the structure, finding the best geometry for the structure by “trial and error” is still a very tedious and timeconsuming task. The goal in optimal shape design (structural optimization, or redesign) is to computerize the design process and therefore shorten the time it takes to design new products or improve the existing design. Structural optimization is already used in many applications in industry. In general, however, structural optimization is just beginning to penetrate the industrial community. Integrating F…
Shape design optimization in 2D aerodynamics using Genetic Algorithms on parallel computers
1996
Publisher Summary This chapter presents two Shape Optimization problems for two dimensional airfoil designs. The first one is a reconstruction problem for an airfoil when the velocity of the flow is known on the surface of airfoil. The second problem is to minimize the shock drag of an airfoil at transonic regime. The flow is modeled by the full potential equations. The discretization of the state equation is done using the finite element method and the resulting non-linear system of equations is solved by using a multi-grid method. The non-linear minimization process corresponding to the shape optimization problems are solved by a parallel implementation of a genetic algorithm (GA). Some n…
On FE-grid relocation in solving unilateral boundary value problems by FEM
1992
We consider FE-grid optimization in elliptic unilateral boundary value problems. The criterion used in grid optimization is the total potential energy of the system. It is shown that minimization of this cost functional means a decrease of the discretization error or a better approximation of the unilateral boundary conditions, Design sensitivity analysis is given with respect to the movement of nodal points. Numerical results for the Dirichlet-Signorini problem for the Laplace equation and the plane elasticity problem with unilateral boundary conditions are given. In plane elasticity we consider problems with and without friction. peerReviewed