Search results for " optimization"

Two-Player Noncooperative Games over a Freight Transportation Network''

2004

A game between two players acting on the same road transportation network is considered in this paper. The first player aims at minimizing the transportation costs, whereas the second player aims at maximizing her profit (or, in general, her utility) that is proportional to the flow passing through the arcs under her control. We introduce bilevel linear programming formulations for this problem. We derive conditions of existence and properties of the equilibrium points and propose an algorithm finding a local optimal solution. Finally, we present an application of the model to a real system involving trucks travelling through Europe from a Middle Eastern country.

When do Improved Covariance Matrix Estimators Enhance Portfolio Optimization? An Empirical Comparative Study of Nine Estimators

2010

The use of improved covariance matrix estimators as an alternative to the sample estimator is considered an important approach for enhancing portfolio optimization. Here we empirically compare the performance of 9 improved covariance estimation procedures by using daily returns of 90 highly capitalized US stocks for the period 1997-2007. We find that the usefulness of covariance matrix estimators strongly depends on the ratio between estimation period T and number of stocks N, on the presence or absence of short selling, and on the performance metric considered. When short selling is allowed, several estimation methods achieve a realized risk that is significantly smaller than the one obtai…

A computational proposal for a robust estimation of the Pareto tail index: An application to emerging markets

2022

Abstract In this work, we backtest and compare, under the VaR risk measure, the fitting performances of three classes of density distributions (Gaussian, Stable and Pareto) with respect to three different types of emerging markets: Egypt, Qatar and Mexico. We also propose a new technique for the estimation of the Pareto tail index by means of the Threshold Accepting (TAVaR) and the Hybrid Particle Swarm Optimization algorithm (H-PSOVaR). Furthermore, we test the accuracy and robustness of our estimates demonstrating the effectiveness of the proposed approach.

Combining flow routing modelling and direct velocity measurement for optimal discharge estimation

2011

Abstract. A new procedure is proposed for estimating river discharge hydrographs during flood events, using only water level data measured at a gauged site, as well as 1-D shallow water modelling and sporadic maximum surface flow velocity measurements. During flood, the piezometric level is surmised constant in the vertical plane of the river section, where the top of the banks is always above the river level, and is well represented by the recorded stage hydrograph. The river is modelled along the reach directly located downstream the upstream gauged section, where discharge hydrograph is sought after. For the stability with respect to the topographic error, as well as for the simplicity o…

Mass transport problems for the Euclidean distance obtained as limits of p-Laplacian type problems with obstacles

2014

In this paper we analyze a mass transportation problem that consists in moving optimally (paying a transport cost given by the Euclidean distance) an amount of a commodity larger than or equal to a fixed one to fulfil a demand also larger than or equal to a fixed one, with the obligation of paying an extra cost of −g1(x) for extra production of one unit at location x and an extra cost of g2(y) for creating one unit of demand at y. The extra amounts of mass (commodity/demand) are unknowns of the problem. Our approach to this problem is by taking the limit as p→∞ to a double obstacle problem (with obstacles g1, g2) for the p-Laplacian. In fact, under a certain natural constraint on the extra …

Evolutionary design optimization with Nash games and hybridized mesh/meshless methods in computational fluid dynamics

2012

A New Time Dependent Model Based on Level Set Motion for Nonlinear Deblurring and Noise Removal

1999

In this paper we summarize the main features of a new time dependent model to approximate the solution to the nonlinear total variation optimization problem for deblurring and noise removal introduced by Rudin, Osher and Fatemi. Our model is based on level set motion whose steady state is quickly reached by means of an explicit procedure based on an ENO Hamilton-Jacobi version of Roe's scheme. We show numerical evidence of the speed, resolution and stability of this simple explicit procedure in two representative 1D and 2D numerical examples.

An Integrated fuzzy Cells-classifier

2006

The term soft-computing has been introduced by Zadeh in 1994. Soft-computing provides an appropriate paradigm to program malleable and smooth concepts. In this paper a genetic algorithm is proposed to fuse the classification results due to different distance functions. The combination is based on the optimization of a vote strategy and it is applied to cells classification.

On thermoeconomics of energy systems at variable load conditions: integrated optimization of plant design and operation

2007

Abstract Thermoeconomics has been assuming a growing role among the disciplines oriented to the analysis of energy systems, its different methodologies allowing solution of problems in the fields of cost accounting, plant design optimisation and diagnostic of malfunctions. However, the thermoeconomic methodologies as such are particularly appropriate to analyse large industrial systems at steady or quasi-steady operation, but they can be hardly applied to small to medium scale units operating in unsteady conditions to cover a variable energy demand. In this paper, the fundamentals of thermoeconomics for systems operated at variable load are discussed, examining the cost formation process an…

Thermoeconomic optimization of a renewable polygeneration system serving a small isolated community

2015

During the last years, special attention has been paid to renewable polygeneration technologies, able of simultaneously producing thermal, cooling, electrical energy and desalinated water from seawater. This paper focuses on an innovative polygeneration system driven by renewable energy sources, including the following technologies: hybrid photovoltaic/thermal collectors, concentrating parabolic trough (CPVT), a biomass heater, a single-stage absorption chiller and a multiple-effect distillation desalination system. The system is designed to cover the base load of an isolated small community. In previous papers, the dynamic simulation model about plant operation is discussed. In this paper,…