Search results for "Quadratic Programming"
showing 10 items of 27 documents
A fuzzy ranking strategy for portfolio selection applied to the Spanish stock market
2007
In this paper we present a fuzzy ranking procedure for the portfolio selection problem. The uncertainty on the returns of each portfolio is approximated by means of a trapezoidal fuzzy number. The expected return and risk of the portfolio are then characteristics of that fuzzy number. A rank index that accounts for both expected return and risk is defined, allowing the decision-maker to compare different portfolios. The paper ends with an application of that fuzzy ranking strategy to the Spanish stock market.
Optimization procedures for the bipartite unconstrained 0-1 quadratic programming problem
2014
The bipartite unconstrained 0-1 quadratic programming problem (BQP) is a difficult combinatorial problem defined on a complete graph that consists of selecting a subgraph that maximizes the sum of the weights associated with the chosen vertices and the edges that connect them. The problem has appeared under several different names in the literature, including maximum weight induced subgraph, maximum weight biclique, matrix factorization and maximum cut on bipartite graphs. There are only two unpublished works (technical reports) where heuristic approaches are tested on BQP instances. Our goal is to combine straightforward search elements to balance diversification and intensification in bot…
Robust Predictive Control of a variable speed wind turbine using the LMI formalism
2014
This paper proposes a Robust Fuzzy Multivariable Model Predictive Controller (RFMMPC) using Linear Matrix Inequalities (LMIs) formulation. The main idea is to solve at each time instant, an LMI optimization problem that incorporates input, output and Constrained Receding Horizon Predictive Control (CRHPC) constraints, and plant uncertainties, and guarantees certain robustness properties. The RFMMPC is easily designed by solving a convex optimization problem subject to LMI conditions. Then, the derived RFMMPC applied to a variable wind turbine with blade pitch and generator torque as two control inputs. The effectiveness of the proposed design is shown by simulation results.
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…
A decentralized solution for the constrained minimum cost flow
2010
In this paper we propose a decentralized solution to the problem of network stabilization, under flow constraints ensuring steady—state flow optimality. We propose a stabilizing strategy for network flow control with capacity constraints which drives the buffer levels arbitrarily close to a desired reference. This is a decentralized strategy optimizing the flow via the minimization of a quadratic cost of the control. A second problem characterized by non-fully connected networks is also considered, for which an exact network equilibrium is not possible. Here, the strategy, in the absence of constraints leads to a least square decentralized problem, but, unfortunately, in the presence of con…
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…
Minimum theorems for displacement and plastic strain rate histories in structural elastoplasticity
1975
The finite element method approach is used to obtain formulations of analysis problems relative to elastic-plastic structures when subjected to prescribed programmes of loads, and under the restrictive hypotheses:a) the yielding surfaces are piecewise linearized, andb) the plastic flow-laws are supposed to be of holonomic type within a single “finite” time interval. For mulations are given as linear complementarity problems and quadratic programming problems: one pair of formulations in terms of velocity and plastic multiplier rate histories, and another pair in terms of plastic multiplier rate histories only. The solutions are shown to be characterized by two minimum principles for displac…
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…
Direct Numerical Methods for Optimal Control Problems
2003
Development of interior point methods for linear and quadratic programming problems occurred during the 1990’s. Because of their simplicity and their convergence properties, interior point methods are attractive solvers for such problems. Moreover, extensions have been made to more general convex programming problems.
TCSC allocation based on line flow based equations via mixed-integer programming
2007
Summary form only given. Research effort has been given to locate the optimal locations of thyristor-controlled series capacitor (TCSC) and their initial compensation levels using mixed-integer programming (MIP). As a useful technique for combinatorial optimisation over integer and continuous variables, the MIP approach can provide robust performance as well as high computational efficiency while solving complex optimal problems. Previous work using MIP employed DC load flow model ignoring reactive power balance, power loss and transformer tap ratios. In this paper, a new planning method is developed based on recently reported line flow equations and basic linearisation of binary-continuous…