Economic Equilibrium: Optimality and Price Decentralization

Mathematical economics has a long history and covers many interdisciplinary areas between mathematics and economics. At its center lies the theory of market equilibrium. The purpose of this expository article is to introduce mathematicians to price decentralization in general equilibrium theory. In particular, it concentrates on the role of positivity in the theory of convex economic analysis and the role of normal cones in the theory of non-convex economies.     

On the structure of the optimal server control for fluid networks

This paper derives the optimal trajectories in a general fluid network with server control. The stationary optimal policy in the complete state space is constructed. The optimal policy is constant on polyhedral convex cones. An algorithm is derived that computes these cones and the optimal policy. Generalized Klimov indices are introduced, they are used for characterizing myopic and time-uniformly optimal policies.Received: November 2004 / Revised: February 2005The research of this author has been supported by the project ‘‘Stochastic Networks’’ of the Netherlands Organisation for Scientific Research NWO.     

广义多目标minmax问题的最优性条件和极大熵方法

本文讨论了广义多目标minmax问题的最优性条件。利用极大熵逼近函数，研究了广义多目标minmax；问题的逼近问题，在较弱的条件下，证明了由极大熵逼近函数导出的多目标逼近问题的临界点的任一极限点均为原广义多目标minmax问题的临界点。     

On Constraint Qualifications in Nonsmooth Optimization

We introduce extensions of the Mangasarian-Fromovitz and Abadie constraint qualifications to nonsmooth optimization problems with feasibility given by means of lower-level sets. We do not assume directional differentiability, but only upper semicontinuity of the defining functions. By deriving and reviewing primal first-order optimality conditions for nonsmooth problems, we motivate the formulations of the constraint qualifications. Then, we study their interrelation, and we show how they are related to the Slater condition for nonsmooth convex problems, to nonsmooth reverse-convex problems, to the stability of parametric feasible set mappings, and to alternative theorems for the derivation of dual first-order optimality conditions.In the literature on general semi-infinite programming problems, a number of formally different extensions of the Mangasarian-Fromovitz constraint qualification have been introduced recently under different structural assumptions. We show that all these extensions are unified by the constraint qualification presented here.     

Extended convergence results for the method of multipliers for nonstrictly binding inequality constraints

In this paper, we extend the classical convergence and rate of convergence results for the method of multipliers for equality constrained problems to general inequality constrained problems, without assuming the strict complementarity hypothesis at the local optimal solution. Instead, we consider an alternative second-order sufficient condition for a strict local minimum, which coincides with the standard one in the case of strict complementary slackness. As a consequence, new stopping rules are derived in order to guarantee a local linear rate of convergence for the method, even if the current Lagrangian is only asymptotically minimized in this more general setting. These extended results allow us to broaden the scope of applicability of the method of multipliers, in order to cover all those problems admitting loosely binding constraints at some optimal solution. This fact is not meaningless, since in practice this kind of problem seems to be more the rule rather than the exception.In proving the different results, we follow the classical primaldual approach to the method of multipliers, considering the approximate minimizers for the original augmented Lagrangian as the exact solutions for some adequate approximate augmented Lagrangian. In particular, we prove a general uniform continuity property concerning both their primal and their dual optimal solution set maps, a property that could be useful beyond the scope of this paper. This approach leads to very simple proofs of the preliminary results and to a straight-forward proof of the main results.The author gratefully acknowledges the referees for their helpful comments and remarks. This research was supported by FONDECYT (Fondo Nacional de Desarrollo Científico y Technológico de Chile).     

The uv-Decomposition on a Class of D.C. Functions and Optimality Conditions

In this paper,the UV-theory and P-differential calculus are employed to study second-order ex-pansion of a class of D.C.functions and minimization problems.Under certain conditions,some properties ofthe U-Lagrangian,the second-order expansion of this class of functions along some trajectories are formulated.Some first and second order optimality conditions for the class of D.C.optimization problems are given.     

条形装箱问题的优化模型和增广Lagrange算法

This paper formulates a two-dimensional strip packing problem as a non-linear programming(NLP)problem and establishes the first-order optimality con-ditions for the NLP problem.A numerical algorithm for solving this NLP problemis given to find exact solutions to strip-packing problems involving up to 10 items.Approximate solutions can be found for big-sized problems by decomposing the setof items into small-sized blocks of which each block adopts the proposed numericalalgorithm.Numerical results show that the approximate solutions to big-sized prob-lems obtained by this method are superior to those by NFDH,FFDH and BFDHapproaches.     

Global Parametric Sufficient Optimality Conditions for Semi-infinite Discrete Minmax Fractional Programming Problems Involving Generalized （η,ρ）-invex Functions

In this paper,we discuss a large number of sets of global parametric sufficient optimality condi-tions under various gcneralized (η,ρ)-invexity assumptions for a semi-infinite minmax fractional programmingproblem.     

Nonparametric estimation and adaptive control in a class of finite Markov decision chains

We consider a class of Markov decision processes withfinite state and action spaces which, essentially, is determined by the following condition: The state space isirreducible under the action of any stationary policy. However, except by this restriction, the transition law iscompletely unknown to the controller. In this context, we find a set of policies under which thefrequency estimators of the transition law are strongly consistent and then, this result is applied to constructadaptive asymptotically discount-optimal policies.Dedicated to Professor Truman O. Lewis, on the occasion of his sixtieth birthdayThis research was supported in part by the Third World Academy of Sciences (TWAS) under Grant TWAS RG MP 898-152, and in part by the Consejo Nacional de Ciencia y Tecnología (CONACYT) under Grant A128CCOEO550 (MT-2).