Search results for "Mathematical optimization"
showing 10 items of 1300 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…
Mapping discounted and undiscounted Markov Decision Problems onto Hopfield neural networks
1995
This paper presents a framework for mapping the value-iteration and related successive approximation methods for Markov Decision Problems onto Hopfield neural networks, for both discounted and undiscounted versions of the finite state and action spaces. We analyse the asymptotic behaviour of the control sets and we give some estimates on the convergence rate for the value-iteration scheme. We relate the convergence properties on an energy function which represents the key point in mapping Markov Decision Problems onto Hopfield networks. Finally, an application from queueing systems in communication networks is taken into consideration and the results of computer simulation of Hopfield netwo…
Uncertainty in water quality modelling: The applicability of Variance Decomposition Approach
2010
Quantification of uncertainty is of paramount interest in integrated urban drainage water quality modelling. Indeed, the assessment of the reliability of the results of complex water quality models is crucial in understanding their significance. However, the state of knowledge regarding uncertainties in urban drainage models is poor. In the case of integrated urban drainage water quality models, due to the fact that integrated approaches are basically a cascade of sub-models (simulating the sewer system, wastewater treatment plant and receiving water body), uncertainty produced in one sub-model propagates to the following ones in a manner dependent on the model structure, the estimation of …
Capacity and Energy-Consumption Optimization for the Cluster-Tree Topology in IEEE 802.15.4
2011
International audience; 802.15.4 proposes to use a cluster-tree hierar- chy to organize the transmissions in Wireless Sensor Networks. In this letter, we propose a framework to analyze formally the capacity and the energy consumption of this structure. We derive a Mixed Integer Linear Programming (MILP) formulation to obtain a topology compliant with the standard. This formulation provides the optimal solution for the network capacity: this con- stitutes an upper bound for any distributed algorithms permitting to construct a cluster-tree. This framework can also be used to evaluate the capacity and to compare quantitatively different cluster-tree algorithms.
On identification of separable kernel systems
1979
An identification procedure for special separable kernel systems is presented. The suitable definition of adequateness of a signal leads to a systematic treatment of the choice of inputs for identification.
Insights on Partial Information Sharing in Supply Chain dynamics
2015
This paper provides an assessment of partial Information Sharing (IS) in Supply Chain (SC). We study the dynamics of collaborative multi-echelon structure, characterized by an increasing level of information visibility among partners. To do so, we mathematically model six four-echelon serial SCs via difference equations and conduct numerical simulations on the basis of a robust design of experiment. Results shows how (1) as the extent of IS increases, the performance of whole SC improves as well, and (2) the impact of IS depends not on which particular members are involved but on the number of collaborative members.
Variable Neighborhood Search for the Vertex Separation Problem
2012
The vertex separation problem belongs to a family of optimization problems in which the objective is to nd the best separator of vertices or edges in a generic graph. This optimization problem is strongly related to other well-known graph problems; such as the Path-Width, the Node Search Number or the Interval Thickness, among others. All of these optimization problems are NP-hard and have practical applications in VLSI, computer language compiler design or graph drawing. Up to know, they have been generally tackled with exact approaches, presenting polynomial-time algorithms to obtain the optimal solution for speci c types of graphs. However, in spite of their practical applications, these…
Robust stability and stabilization of uncertain T-S fuzzy systems with time-varying delay: An input-output approach
2013
An input-output approach to the stability and stabilization of uncertain Takagi-Sugeno (T-S) fuzzy systems with time-varying delay is proposed in this paper. The time-varying parameter uncertainties are assumed to be norm-bounded, and the delay is intervally time varying. A novel method is employed to approximate the time-varying delay, based on which the considered system is transformed into a feedback interconnection form. The new formulation of the system is comprised of a forward subsystem with constant time delay and a feedback subsystem embedding the uncertainties. By applying the scaled small-gain theorem to the converted system, less conservative stability and stabilization criteria…
Heuristics for a Real-World Mail Delivery Problem
2011
We are solving a mail delivery problem by combining exact and heuristic methods. The problem is a tactical routing problem as routes for all postpersons have to be planned in advance for a period of several months. As for many other routing problems, the task is to construct a set of feasible routes serving each customer exactly once at minimum cost. Four different modes (car, moped, bicycle, and walking) are available, but not all customers are accessible by all modes. Thus, the problem is characterized by three interdependent decisions: the clustering of customers into districts, the choice of a mode for each district, and the routing of the postperson through its district. We present a t…
Cooperative Inventory control
2005
In multi-retailer inventory control the possibility of sharing setup costs motivates communication and coordination among the retailers. We solve the problem of finding suboptimal distributed reordering policies that minimize setup, ordering, storage, and shortage costs incurred by the retailers over a finite horizon. Neuro-dynamic programming (NDP) reduces the computational complexity of the solution algorithm from exponential to polynomial on the number of retailers.