A penalty approximation method for a semilinear parabolic double obstacle problem

In this work, we present a novel power penalty method for the approximation of a global solution to a double obstacle complementarity problem involving a semilinear parabolic differential operator and a bounded feasible solution set. We first rewrite the double obstacle complementarity problem as a double obstacle variational inequality problem. Then, we construct a semilinear parabolic partial differential equation (penalized equation) for approximating the variational inequality problem. We prove that the solution to the penalized equation converges to that of the variational inequality problem and obtain a convergence rate that is corresponding to the power used in the formulation of the penalized equation. Numerical results are presented to demonstrate the theoretical findings.     

Power Penalty Method for a Linear Complementarity Problem Arising from American Option Valuation

In this paper, we present a power penalty function approach to the linear complementarity problem arising from pricing American options. The problem is first reformulated as a variational inequality problem; the resulting variational inequality problem is then transformed into a nonlinear parabolic partial differential equation (PDE) by adding a power penalty term. It is shown that the solution to the penalized equation converges to that of the variational inequality problem with an arbitrary order. This arbitrary-order convergence rate allows us to achieve the required accuracy of the solution with a small penalty parameter. A numerical scheme for solving the penalized nonlinear PDE is also proposed. Numerical results are given to illustrate the theoretical findings and to show the effectiveness and usefulness of the method. This work was partially supported by a research grant from the University of Western Australia and the Research Grant Council of Hong Kong, Grants PolyU BQ475 and PolyU BQ493.     

On the convergence of solutions for a class of nonconformal FEM schemes for quasilinear elliptic equations

We consider versions of the nonconformal finite element method for the approximation to a second-order quasilinear elliptic equation in divergence form. For the construction of grid schemes, we use an approach used earlier for the nonstationary convection-diffusion equation and based on the Galerkin-Petrov limit approximation to the mixed statement of the original problem. The accuracy of solutions of nonconformal schemes with triangular linear finite elements is estimated in the absence of interior penalty terms, which are usually used in methods close to DG-methods for the stabilization of the scheme solution.     

Convergence analysis of power penalty method for American bond option pricing

This paper is concerned with the convergence analysis of power penalty method to pricing American options on discount bond, where the single factor Cox–Ingrosll–Ross model is adopted for the short interest rate. The valuation of American bond option is usually formulated as a partial differential complementarity problem. We first develop a power penalty method to solve this partial differential complementarity problem, which produces a nonlinear degenerated parabolic PDE. Within the framework of variational inequalities, the solvability and convergence properties of this penalty approach are explored in a proper infinite dimensional space. Moreover, a sharp rate of convergence of the power penalty method is obtained. Finally, we show that the power penalty approach is monotonically convergent with the penalty parameter.     

Applying a Power Penalty Method to Numerically Pricing American Bond Options

In this paper, we aim to develop a numerical scheme to price American options on a zero-coupon bond based on a power penalty approach. This pricing problem is formulated as a variational inequality problem (VI) or a complementarity problem (CP). We apply a fitted finite volume discretization in space along with an implicit scheme in time, to the variational inequality problem, and obtain a discretized linear complementarity problem (LCP). We then develop a power penalty approach to solve the LCP by solving a system of nonlinear equations. The unique solvability and convergence of the penalized problem are established. Finally, we carry out numerical experiments to examine the convergence of the power penalty method and to testify the efficiency and effectiveness of our numerical scheme.     

一类线性约束变分不等式问题的幂罚函数法

本文研究了一类线性约束变分不等式(Ⅵ)的幂罚函数法求解问题.利用Ⅵ的KKT条件,将Ⅵ转化为等价的混合互补问题和一个新的Ⅵ问题,并在一定条件下分析了解的存在性和唯一性.利用度理论证明了幂罚方程组解的存在性与唯一性.由以上结果最终证明了幂罚函数法的收敛性,即幂罚方程组的解收敛于Ⅵ问题的解.     

A Class of Generalized Evolutionary Problems Driven by Variational Inequalities and Fractional Operators

This paper is devoted to a generalized evolution system called fractional partial differential variational inequality which consists of a mixed quasi-variational inequality combined with a fractional partial differential equation in a Banach space. Invoking the pseudomonotonicity of multivalued operators and a generalization of the Knaster-Kuratowski-Mazurkiewicz theorem, first, we prove that the solution set of the mixed quasi-variational inequality involved in system is nonempty, closed and convex. Next, the measurability and upper semicontinuity for the mixed quasi-variational inequality with respect to the time variable and state variable are established. Finally, the existence of mild solutions for the system is delivered. The approach is based on the theory of operator semigroups, the Bohnenblust-Karlin fixed point principle for multivalued mappings, and theory of fractional operators.

     

一类拟线性椭圆变分不等式解的存在性(英文)

考虑了一类p-Laplacian拟线性椭圆变分不等式问题,通过运用优化理论中的补偿法和Clark次微分性质,研究了这类椭圆变分不等式解的存在性.     

A mixed finite element method close to the equilibrium model

Summary A new variational formulation of the Dirichlet problem for one elliptic partial differential equation of the second order is established and justified, starting from a non-classical decomposition of the differential operator and the Friedrichs transformation. The variational problem has a unique solution which depends continuously on the right hand side of the given equation and enables to construct mixed finite element models. The Galerkin approximations are vector-functions converging to the cogradient of the solution of the original problem, except one component which tends to the solution itself.     

Plate Contact问题的混合有限元逼近

论文考虑了Plate Contact问题的混合有限元逼近,其变分问题为第二类四阶椭圆变分不等问题.首先,根据正则化方法,得到原问题的正则化问题.再根据网格依赖范数技巧,考虑了正则化问题的Ciarlet-Raviart混合有限元逼近,并证明了真解与逼近解之间的误差估计.最后通过数值算例验证了理论分析的结果.     

Solvability and stationarity for the optimal control of variational inequalities with point evaluations in the objective functional

Motivated by applications in economics and engineering, we consider the optimal control of a variational inequality with point evaluations of the state variable in the objective. This problem class constitutes a specific mathematical program with complementarity constraints (MPCC). In our context, the problem is posed in an adequate function space and the variational inequality involves second order linear elliptic partial differential operators. The necessary functional analytic framework complicates the derivation of stationarity conditions whereas the non-convex and non-differentiable nature of the problem challenges the design of an efficient solution algorithm. In this paper, we present a penalization and smoothing technique to derive first order type conditions related to C-stationarity in the associated Sobolev space setting. (© 2013 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Two-level iterative method for non-stationary mixed variational inequalities

We consider a mixed variational inequality problem involving a set-valued nonmonotone mapping and a general convex function, where only approximation sequences are known instead of exact values of the cost mapping and function, and feasible set. We suggest to apply a two-level approach with inexact solutions of each particular problem with a descent method and partial penalization and evaluation of accuracy with the help of a gap function. Its convergence is attained without concordance of penalty, accuracy, and approximation parameters under coercivity type conditions.     

BOUNDARY ELEMENT APPROXIMATION OF THE SEMI-DISCRETE PARABOLIC VARIATIONAL INEQUALITIES OF THE SECOND KIND

The boundary element approximation of the parabolic variational inequalities of the second kind is discussed. First, the parabolic variational inequalities of the second kind can be reduced to an elliptic variational inequality by using semidiscretization and implicit method in time; then the existence and uniqueness for the solution of nonlinear non-differentiable mixed variational inequality is discussed. Its corresponding mixed boundary variational inequality and the existence and uniqueness of its solution are yielded. This provides the theoretical basis for using boundary element method to solve the mixed vuriational inequality.     

A penalty method for a finite-dimensional obstacle problem with derivative constraints

We propose a power penalty method for an obstacle problem arising from the discretization of an infinite-dimensional optimization problem involving differential operators in both its objective function and constraints. In this method we approximate the mixed nonlinear complementarity problem (NCP) arising from the KKT conditions of the discretized problem by a nonlinear penalty equation. We then show the solution to the penalty equation converges exponentially to that of the mixed NCP. Numerical results will be presented to demonstrate the theoretical convergence rates of the method.     

On the Numerical Solution of Some Eikonal Equations: An Elliptic Solver Approach

The steady Eikonal equation is a prototypical first-order fully nonlinear equation. A numerical method based on elliptic solvers is presented here to solve two different kinds of steady Eikonal equations and compute solutions, which are maximal and minimal in the variational sense. The approach in this paper relies on a variational argument involving penalty, a biharmonic regularization, and an operator-splitting-based time-discretization scheme for the solution of an associated initial-value problem. This approach allows the decoupling of the nonlinearities and differential operators. Numerical experiments are performed to validate this approach and investigate its convergence properties from a numerical viewpoint.     

Error bounds for finite element solutions of mildly nonlinear elliptic boundary value problems

Summary The equivalence in a Hilbert space of variational and weak formulations of linear elliptic boundary value problems is well known. This same equivalence is proved here for mildly nonlinear problems where the right hand side of the differential equation involves the solution function. A finite element approximation to the solution of the weak problem ina finite dimensional subspace of the original Hilbert space is defined. An inequality bounding the error in this approximation over all functions of the space is derived, and in particular this holds for an interpolant to the weak solution. Thus this inequality, together with previously known, interpolation error bounds, produces a bound on the finite element solution to this nonlinear problem. An example of a mildly nonlinear Poisson problem is given.     

Some properties of solutions to the singular quasilinear problems

In this paper, a kind of quasilinear elliptic problem is studied, which involves the critical exponent and singular potentials. By the Caffarelli-Kohn-Nirenberg inequality and variational methods, some important properties of the positive solution to the problem are established.     

Convergence of a penalty-finite element approximation for an obstacle problem

Summary This study establishes an error estimate for a penalty-finite element approximation of the variational inequality obtained by a class of obstacle problems. By special identification of the penalty term, we first show that the penalty solution converges to the solution of a mixed formulation of the variational inequality. The rate of convergence of the penalization is where is the penalty parameter. To obtain the error of finite element approximation, we apply the results obtained by Brezzi, Hager and Raviart for the mixed finite element method to the variational inequality.     

Global Method for Monotone Variational Inequality Problems with Inequality Constraints

We consider optimization methods for monotone variational inequality problems with nonlinear inequality constraints. First, we study the mixed complementarity problem based on the original problem. Then, a merit function for the mixed complementarity problem is proposed, and some desirable properties of the merit function are obtained. Through the merit function, the original variational inequality problem is reformulated as simple bounded minimization. Under certain assumptions, we show that any stationary point of the optimization problem is a solution of the problem considered. Finally, we propose a descent method for the variational inequality problem and prove its global convergence.     

Bilateral Obstacle Optimal Control for a Quasilinear Elliptic Variational Inequality

ABSTRACT

In this paper, we consider an obstacle control problem where the state satisfies a quasilinear elliptic bilateral variational inequality and the control functions are the upper and the lower obstacles. Existence and necessary conditions for the optimal control are established.