The augmented lagrangian method for equality and inequality constraints in hilbert spaces

In this paper we consider an augmented Lagrangian method for the minimization of a nonlinear functional in the presence of an equality constraint whose image space is in a Hilbert space, an inequality constraint whose image space is finite dimensional, and an affine inequality constraint whose image space is in an infinite dimensional Hilbert space. We obtain local convergence of this method without imposing strict complementarity conditions when the equality, as well as the inequality constraint with finite dimensional image space are augmented. To the author's knowledge this result even generalizes the convergence results which are known when all spaces are finite dimensional.This research was supported by the Air Force Office of Scientific Research under Grant AFOSR-84-0398 and AFOSR-85-0303, by the National Aeronautics and Space Administration under Grant NAG-1-517, and by NSF under Grant UINT-8521208.This research was supported in part by the Fonds zur Förderung der wissenschaftichen Forschung under S3206 and P6005 and by AFOSR-84-0398. Part of this work was performed while the author was visiting the Division of Applied Mathematics, Brown University, Providence, RI, USA.     

Geometric convergence of rational approximations toe −z in infinite sectors

Summary In this paper, we study the geometric convergence of rational approximations toe ^–z in infinite sectors symmetric about the positive real axis.Research supported in part by the Air Force Office of Scientific Research under Grant AFOSR-74-2688, and by the University of South Florida Research CouncilResearch supported in part by the Air Force Office of Scientific Research under Grant AFOSR-74-2729, and by the Atomic Energy Commission under Grant AT (11-1)-2075     

An augmented Lagrangian technique for variational inequalities

A general framework for the treatment of a class of elliptic variational inequalities by an augmented Lagrangian method, when inequalities with infinite-dimensional image space are augmented, is developed. Applications to the obstacle problem, the elastoplastic torsion problem, and the Signorini problem are given.The research of the first author was supported in part by the Air Force Office of Scientific Research under Grants AFOSR-84-0398 and AFOSR-85-0303, by the National Aeronautics and Space Administration under Grant NAG-1-1517, and by NSF under Grant No. UINT-8521208. The second author's research was supported in part by the Fonds zur Förderung der wissenschaftlichen Forschung under S3206 and P6005.     

The treatment of nonhomogeneous Dirichlet boundary conditions by thep-version of the finite element method

Summary The paper addresses the problem of the implementation of nonhomogeneous essential Dirichlet type boundary conditions in thep-version of the finite element method.Partially supported by the Office of Naval Research under Grant N-00014-85-K-0169Research partially supported by the Air Force Office of Scientific Research, Air Force Systems Command, USAF, under Grant Number AFOSR 85-0322     

On the zeros and poles of Padé approximants toe z

Summary In this paper, we study the location of the zeros and poles of general Padé approximats toe ^z. The location of these zeros and poles is useful in the analysis of stability for related numerical methods for solving systems of ordinary differential equations.Research supported in part by the Air Force Office of Scientific Research under Grant AFOSR-74-2688, and by the University of South Fla. Research Council.Research supported in part by the Air Force Office of Scientific Research under Grant AFOSR-74-2729, and by the Atomic Energy Commission under Grant AT(11-1)-2075.     

Truncation error analysis by means of approximant systems and inclusion regions

Summary A general approach to truncation error analysis is described, in which bounds for the truncation error are determined by means of inclusion regions, and the notion of bestness is meaningfully formulated. A new mathematical structure (approximant system) is introduced and developed. It consists of a family of infinite processes having a natural structure for truncation error analysis. Applications of the methods are included for infinite series, Cesaro sums, approximate integration, an iterative method for solving equations, Padé approximants and continued fractions.Research supported in part by the National Science Foundation under Grant No. MPS 74-22111 and by the Air Force Office of Scientific Research, Air Force Systems Command, USAF, under Grant No. AFOSR-70-1888. The United States Government is authorized to reproduce and distribute reprints for Government purposes notwithstanding any copyright notation hereon     

On conforming finite element methods for the inhomogeneous stationary Navier-Stokes equations

Summary We consider the stationary Navier-Stokes equations, written in terms of the primitive variables, in the case where both the partial differential equations and boundary conditions are inhomogeneous. Under certain conditions on the data, the existence and uniqueness of the solution of a weak formulation of the equations can be guaranteed. A conforming finite element method is presented and optimal estimates for the error of the approximate solution are proved. In addition, the convergence properties of iterative methods for the solution of the discrete nonlinear algebraic systems resulting from the finite element algorithm are given. Numerical examples, using an efficient choice of finite element spaces, are also provided.Supported, in part, by the U.S. Air Force Office of Scientific Research under Grant No. AF-AFOSR-80-0083Supported, in part, by the same agency under Grant No. AF-AFOSR-80-0176-A. Both authors were also partially supported by NASA Contract No. NAS1-15810 while they were in residence at the Institute for Computer Applications in Science and Engineering, NASA Langley Research Center, Hampton, VA 23665, USA     

On the computation of the optimal cost function for discrete time Markov models with partial observations

We consider several applications of two state, finite action, infinite horizon, discrete-time Markov decision processes with partial observations, for two special cases of observation quality, and show that in each of these cases the optimal cost function is piecewise linear. This in turn allows us to obtain either explicit formulas or simplified algorithms to compute the optimal cost function and the associated optimal control policy. Several examples are presented.Research supported in part by the Air Force Office of Scientific Research under Grant AFOSR-86-0029, in part by the National Science Foundation under Grant ECS-8617860, in part by the Advanced Technology Program of the State of Texas, and in part by the DoD Joint Services Electronics Program through the Air Force Office of Scientific Research (AFSC) Contract F49620-86-C-0045.     

On the sharpness of theorems concerning zero-free regions for certain sequences of polynomials

Summary In this paper, we establish the sharpness of a theorem concerning zero-free parabolic regions for certain sequences of polynomials satisfying a three-term recurrence relation. Similarly, we establish the sharpness of a zero-free sectorial region for certain sequences of Padé approximants toe ^z .Research supported in part by the Air Force Office of Scientific Research under Grant AFOSR-74-2688Research supported in part by the Air Force Office of Scientific Research under Grant AFOSR-74-2729, and by the Energy Research and Development Administration (ERDA) under Grant E(11-1)-2075     

On the pricing of American options

The problem of valuation for contingent claims that can be exercised at any time before or at maturity, such as American options, is discussed in the manner of Bensoussan [1]. We offer an approach which both simplifies and extends the results of existing theory on this topic.Research supported in part by the National Science Foundation under Grant No. NSF-DMS-84-16736 and by the Air Force Office of Scientific Research under Grant No. F49620-85-C-0144.     

Adaptive control of Markov processes with incomplete state information and unknown parameters

Recent results for parameter-adaptive Markov decision processes (MDP's) are extended to partially observed MDP's depending on unknown parameters. These results include approximations converging uniformly to the optimal reward function and asymptotically optimal adaptive policies.This research was supported in part by the Consejo del Sistema Nacional de Educación Tecnologica (COSNET) under Grant 178/84, in part by the Air Force Office of Scientific Research under Grant AFOSR-84-0089, in part by the National Science Foundation under Grant ECS-84-12100, and in part by the Joint Services Electronics Program under Contract F49602-82-C-0033.     

A framework for positive dependence

This paper presents, for bivariate distributions, a unified framework for studying and relating three basic concepts of positive dependence. These three concepts are positive dependence orderings, positive dependence properties and measures of positive dependence. The latter two concepts are formally defined and their properties discussed. Interrelationships among these three concepts are given, and numerous examples are presented.Supported by the National Science Foundation under Grant DMS-8301361.Supported by the Air Force Office of Scientific Research under Contract 84-0113. Reproduction in whole or part is permitted for any purpose of the United States Government.     

On complemented subspaces ofm

It is proved that an infinite dimensional subspace ofm is complemented inm if and only if it is isomorphic tom. The research reported in this document has been sponsored by the Air Force Office of Scientific Research under Grant AF EOAR 66-18, through the European Office of Aerospace Research (OAR) United States Air Force.     

On the zeros and poles of Padé approximants toe z . III

Summary In this paper, we continue our study of the location of the zeros and poles of general Padé approximants toe ^z . We state and prove here new results for the asymptotic location of the normalized zeros and poles for sequences of Padé approximants toe ^z , and for the asymptotic location of the normalized zeros for the associated Padé remainders toe ^z . In so doing, we obtain new results for nontrivial zeros of Whittaker functions, and also generalize earlier results of Szegö and Olver.Research supported in part by the Air Force Office of Scientific Research under Grant AFOSR-74-2688Research supported in part by the Air Force Office of Scientific Research under Grant AFOSR-74-2729, and by the Energy Research and Development Administration (ERDA) under Grant EY-76-S-02-2075     

Geometric convergence to e−z by rational functions with real poles

Summary In this paper, we show that there exists a sequence of rational functions of the formR _n(z)=p_n–1(z)/(1+z/n)ⁿ,n=1, 2, ..., with degp _n–1n–1, which converges geometrically toe ^–z in the uniform norm on [0, +), as well as on some infinite sector symmetric about the positive real axis. We also discuss the usefulness of such rational functions in approximating the solutions of heat-conduction type problems.Research supported in part by the Air Force Office of Scientific Research under Grant AFOSR-74-2688, and by the University of South Florida Research Council.Research supported in part by the Air Force Office of Scientific Research under Grant AFOSR-74-2729, and by the Energy Research and Development Administration (ERDA) under Grant E(11-1)-2075.     

Computability of global solutions to factorable nonconvex programs: Part I — Convex underestimating problems

For nonlinear programming problems which are factorable, a computable procedure for obtaining tight underestimating convex programs is presented. This is used to exclude from consideration regions where the global minimizer cannot exist.This work was supported by Contract AFORS-73-2504, U.S. Air Force, Office of Scientific Research.     

Stationarity and superlinear convergence of an algorithm for univariate locally lipschitz constrained minimization

This paper introduces an algorithm for minimizing a single-variable locally Lipschitz function subject to a like function being nonpositive. The method combines polyhedral and quadratic approximation, a new type of penalty technique and a safeguard in such a way as to give convergence to a stationary point. The convergence is shown to be superlinear under somewhat stronger assumptions that allow both nonsmooth and nonconvex cases. The algorithm can be an effective subroutine for solving line search subproblems called for by multivariable optimization algorithms. Research sponsored, in part, by the Air Force Office of Scientific Research, Air Force Systems Command, USAF, under Grant Number AFOSR-83-0210. The U.S. Government is authorized to reproduce and distribute reprints for Governmental purposes notwithstanding any copyright notation thereon.     

Existence of a σ finite invariant measure for a Markov process on a locally compact space

A σ finite invariant measure is found, for a Markov process, on a locally compact space, which maps continuous functions to continuous functions. The research reported in this document has been sponsored by the Air Force Office of Scientific Research under Grant AF EOAR 66-18, through the European Office of Aerospace Research (OAR) United States Air Force.     

On banach spaces whose duals areL 1 spaces

A structure theorem for Banach spaces whose duals areL ₁ spaces, is proved. The research of the second named author has been sponsored by the Air Force Office of Scientific Research under Grant AF EOAR 66-18 through the European Office of Aerospace Research (OAR) United States Air Force.     

On the average cost optimality equation and the structure of optimal policies for partially observable Markov decision processes

We consider partially observable Markov decision processes with finite or countably infinite (core) state and observation spaces and finite action set. Following a standard approach, an equivalent completely observed problem is formulated, with the same finite action set but with anuncountable state space, namely the space of probability distributions on the original core state space. By developing a suitable theoretical framework, it is shown that some characteristics induced in the original problem due to the countability of the spaces involved are reflected onto the equivalent problem. Sufficient conditions are then derived for solutions to the average cost optimality equation to exist. We illustrate these results in the context of machine replacement problems. Structural properties for average cost optimal policies are obtained for a two state replacement problem; these are similar to results available for discount optimal policies. The set of assumptions used compares favorably to others currently available.This research was supported in part by the Advanced Technology Program of the State of Texas, in part by the Air Force Office of Scientific Research under Grant AFOSR-86-0029, in part by the National Science Foundation under Grant ECS-8617860, and in part by the Air Force Office of Scientific Research (AFSC) under Contract F49620-89-C-0044.