Search results for " optimization."

Hierarchical fast BEM for anisotropic time-harmonic 3-D elastodynamics

2012

The paper presents a fast boundary element method for anisotropic time-harmonic 3-D elastodynamic problems. The approach uses the hierarchical matrices format and the ACA algorithm for the collocation matrix setup and a preconditioned GMRES solver for the solution. The development of this approach for the anisotropic case presents peculiar aspects which deserve investigation and are studied in the paper leading to the employed computational strategy and its effective tuning. Numerical experiments are presented to assess the method accuracy, performances and numerical complexity. The method ensures adequate accuracy allowing remarkable reductions in computation time and memory storage.

Avoiding strange attractors in efficient parametric families of iterative methods for solving nonlinear problems

2019

[EN] Searching zeros of nonlinear functions often employs iterative procedures. In this paper, we construct several families of iterative methods with memory from one without memory, that is, we have increased the order of convergence without adding new functional evaluations. The main aim of this manuscript yields in the advantage that the use of real multidimensional dynamics gives us to decide among the different classes designed and, afterwards, to select its most stable members. Moreover, we have found some elements of the family whose behavior includes strange attractors of different kinds that must be avoided in practice. In this sense, Feigenbaum diagrams have resulted an extremely …

On Pareto optima, the Fermat-Weber problem, and polyhedral gauges

1990

This paper deals with multiobjective programming in which the objective functions are nonsymmetric distances (derived from different gauges) to the points of a fixed finite subset of ℝn. It emphasizes the case in which the gauges are polyhedral. In this framework the following result is known: if the gauges are polyhedral, then each Pareto optimum is the solution to a Fermat—Weber problem with strictly positive coefficients. We give a new proof of this result, and we show that it is useful in finding the whole set of efficient points of a location problem with polyhedral gauges. Also, we characterize polyhedral gauges in terms of a property of their subdifferential.

Full- and reduced-order filter design for discrete-time T-S fuzzy systems with time-varying delay

2012

This paper is focused on the problem of ℋ ∞ filtering for a class of discrete-time T-S fuzzy time-varying delay systems. Our interest is how to design full- and reduced-order filters that guarantee the filtering error system to be asymptotically stable with a prescribed ℋ ∞ performance. Sufficient conditions for the obtained filtering error system are proposed by applying an input-output approach and a two-term approximation method, which is employed to approximate the time-varying delay. The corresponding full and reduced-order filter design is cast into a convex optimization problem, which can be efficiently solved by standard numerical algorithms.

Filtering with dissipativity for T-S fuzzy systems with time-varying delay: Reciprocally convex approach

2013

This paper is focused on the problem of reliable filter design with strictly dissipativity for a class of discrete-time T-S fuzzy time-delay systems. Our attention is paid on the design of reliable filter to ensure a strictly dissipative performance for the filtering error system. By employing the reciprocally convex approach, a sufficient condition of dissipativity analysis is obtained for T-S fuzzy delayed systems with sensor failures. A desired reliable filter is designed by solving a convex optimization problem.

Asset and Liability Management for Insurance Products with Minimum Guarantees: The UK Case

2006

Abstract Modern insurance products are becoming increasingly complex, offering various guarantees, surrender options and bonus provisions. A case in point are the with-profits insurance policies offered by UK insurers. While these policies have been offered in some form for centuries, in recent years their structure and management have become substantially more involved. The products are particularly complicated due to the wide discretion they afford insurers in determining the bonuses policyholders receive. In this paper, we study the problem of an insurance firm attempting to structure the portfolio underlying its with-profits fund. The resulting optimization problem, a non-linear program…

The impact of systemic and illiquidity risk on financing with risky collateral

2015

Abstract Repurchase agreements (repos) are one of the most important sources of funding liquidity for many financial investors and intermediaries. In a repo, some assets are given by a borrower as collateral in exchange of funding. The capital given to the borrower is the market value of the collateral, reduced by an amount termed as haircut (or margin). The haircut protects the capital lender from loss of value of the collateral contingent on the borrower׳s default. For this reason, the haircut is typically calculated with a simple Value at Risk estimation of the collateral for the purpose of preventing the risk associated to volatility. However, other risk factors should be included in th…

Application of Operator Splitting Methods in Finance

2016

Financial derivatives pricing aims to find the fair value of a financial contract on an underlying asset. Here we consider option pricing in the partial differential equations framework. The contemporary models lead to one-dimensional or multidimensional parabolic problems of the convection-diffusion type and generalizations thereof. An overview of various operator splitting methods is presented for the efficient numerical solution of these problems.

An Introduction to the GAMS Modeling System

2010

DESIGN OPTIMIZATION AND ANALYSIS OF A NEW REAR UNDERRUN PROTECTIVE DEVICE FOR TRUCK

2010

In this paper the optimization process of a new High Energy Absorption Rear Underrun Protective Device called HEARUPD is discussed. The main objectives of the HEARUPD design optimization process have been related to the reduction in car decelerations (high crashworthiness) and avoiding the car underrun (high structure stability). In the implemented optimization process, the crash between an economy car (GEO Metro) and the rear part of a truck has been simulated by numerical models. A linear function of the decelerations measured on the car has been used as objective to minimize, the main dimensional values of the rear underrun protective device, instead, have been chosen as design variables…