A chance-constrained programming algorithm

This paper describes a new algorithm solving the deterministic equivalents of chance-constrained problems where the random variables are normally distributed and independent of each other. In this method nonlinear chance-constraints are first replaced by uniformly tighter linear constraints. The resulting linear programming problem is solved by a standard simplex method. The linear programming problem is then revised using the solution data and solved again until the stopping rule of the algorithm terminates the process. It is proved that the algorithm converges and that the solution found is the -optimal solution of the chance-constrained programming problem.The computational experience of the algorithm is reported. The algorithm is efficient if the random variables are distributed independently of each other and if they number less than two hundred. The computing system is called CHAPS, i.e. Chance-ConstrainedProgrammingSystem.     

Optimization over the efficient set: overview

Over the past several decades, the optimization over the efficient set has seen a substantial development. The aim of this paper is to provide a state-of-the-art survey of the development. Given p linear criteria c ¹x,,c^p x and a feasible region X of R ⁿ, the linear multicriteria problem is to find a point x of X such that no point x' of X satisfies (c¹ x',,c^p x')(c¹ x,,c^p x) and (c¹x',,c^p x')q (c¹ x ,,c^p x). Such a point is called an efficient point. The optimization over the efficient set is the maximization of a given function over the set of efficient points. The difficulty of this problem is mainly due to the nonconvexity of this set. The existing algorithms for solving this problem could be classified into several groups such as adjacent vertex search algorithm, nonadjacent vertex search algorithm, branch-and-bound based algorithm, Lagrangian relaxation based algorithm, dual approach and bisection algorithm. In this paper we review a typical algorithm from each group and compare them from the computational point of view.     

On Sets of Planes in Projective Spaces Intersecting Mutually in One Point

Let be a projective space. In this paper we consider sets of planes of such that any two planes of intersect in exactly one point. Our investigation will lead to a classification of these sets in most cases. There are the following two main results:- If is a set of planes of a projective space intersecting mutually in one point, then the set of intersection points spans a subspace of dimension 6. There are up to isomorphism only three sets where this dimension is 6. These sets are related to the Fano plane.- If is a set of planes of PG(d,q) intersecting mutually in one point, and if q3, 3(q²+q+1), then is either contained in a Klein quadric in PG(5,q), or is a dual partial spread in PG(4,q), or all elements of pass through a common point.     

An interpolation method for the solution of identification problems for a multidimensional functional system described by a Urysohn operator

An algorithm is constructed for identifying deterministic dynamical systems described using a Urysohn operator, i. e., the investigation is conducted under the hypothesis that the investigated object has a partially known structure, a grey box, and the identification problem consists in approximating the Urysohn nonlinearity. The initial information for solving the identification problem is the aggregate of the input effects on a physical object, the input, and also its reaction to these effects, the output. The accuracy of the algorithm is discussed.Translated from Vychislitel'naya i prikladnaya matematika, No. 70, pp. 31–36, 1990.     

AnO(nL) infeasible-interior-point algorithm for LCP with quadratic convergence

The Mizuno-Todd-Ye predictor-corrector algorithm for linear programming is extended for solving monotone linear complementarity problems from infeasible starting points. The proposed algorithm requires two matrix factorizations and at most three backsolves per iteration. Its computational complexity depends on the quality of the starting point. If the starting points are large enough, then the algorithm hasO(nL) iteration complexity. If a certain measure of feasibility at the starting point is small enough, then the algorithm has iteration complexity. At each iteration, both feasibility and optimality are reduced exactly at the same rate. The algorithm is quadratically convergent for problems having a strictly complementary solution, and therefore its asymptotic efficiency index is . A variant of the algorithm can be used to detect whether solutions with norm less than a given constant exist.This work was supported in part by the National Science Foundation under grant DMS-9305760.     

Fixed-width confidence intervals for contrasts in the means

The sequential procedure developed by Bhargava and Srivastava (1973, J. Roy. Statist. Soc. Ser. B, 35, 147–152) to construct fixed-width confidence intervals for contrasts in the means is further analyzed. Second-order approximations for the first two moments of the stopping time and the coverage probability associated with the sequential procedure, are obtained. A lower bound for the number of additional observations after stopping is derived, which ensures the mxact probability of coverage. Moreover, two-stage, three-stage and modified sequential procedures are proposed for the same estimation problem. Relative advantages and disadvantages of these sampling schemes are discussed and their properties are studied.     

Some functional inequalities and their Baire category properties

Summary In the paper we consider, from a topological point of view, the set of all continuous functionsf:I I for which the unique continuous solution:I – [0, ) of(f(x)) (x, (x)) and(x, (x)) (f(x)) (x, (x)), respectively, is the zero function. We obtain also some corollaries on the qualitative theory of the functional equation(f(x)) = g(x, (x)). No assumption on the iterative behaviour off is imposed.     

A certain class of functions that are univalent in an annulus

In the class F₁ of functions f(), regular and univalent in the annulus ={<||<1} and satisfying the conditions ¦f()¦ < 1 and f() 0 for , ¦f()¦=1 ¦¦=1, for f(l)=1, one finds the set of the values D(A)=f(A): f for an arbitrary fixed point A. One makes use of the method of variations and certain facts from the theory of the moduli of families of curves.Translated from Zapiski Nauchnykh Seminarov Leningradskogo Otdeleniya Matematicheskogo Instituta im. V. A. Steklova AN SSSR, Vol. 144, pp. 82–92, 1985.     

A two‐level queueing network model with blocking and non‐blocking messages

We analyze a novel twolevel queueing network with blocking, consisting of N level1 parallel queues linked to M level2 parallel queues. The processing of a customer by a level1 server requires additional services that are exclusively offered by level2 servers. These level2 servers are accessed through blocking and nonblocking messages issued by level1 servers. If a blocking message is issued, the level1 server gets blocked until the message is fully processed at the level2 server. The queueing network is analyzed approximately using a decomposition method, which can be viewed as a generalization of the wellknown twonode decomposition algorithm used to analyze tandem queueing networks with blocking. Numerical tests show that the algorithm has a good accuracy.     

A simplicial approximation of a solution for the nonlinear complementarity problem

For a given map f from the n-dimensional Euclidean space En into itself, we consider the complementary problem of finding a nonnegative vector x in En whose imagef(x) is also nonnegative and such that the two vectors are orthogonal. It is the unifying mathematical form for several problems arising in different fields such as mathematical programming, game theory and economics.In this paper a new algorithm is developed based on the adjacent simplex technique , which was used by Garcia, Lemke and Lüthi for approximating an equilibrium point of a noncooperative n-person game. An almost-complementary path leads to a complementary simplex, which approximates a stationary point. Because most of the existence proofs for the nonlinear complementarity use the relationship between stationary points and complementarity, the algorithm gives constructive proofs for many existence theorems. If a better approximation is desired, the algorithm may be restarted from any point. The dimension of the simplices on the path is varying, which computationally should result in some savings.     

On Interpolation of the Fourier Maximal Operator in Orlicz Spaces

Let and be positive increasing convex functions defined on [0, ). Suppose satisfies the 2-condition, that is, (t)2 (C1t) for sufficiently large t, and has some nice properties. If -1(u)log(u+1) C2-1(u) for sufficiently large uthen we have S*(f) L CfL for all f L ([-, ])where S*(f) is the majorant function of partial sums of trigonometric Fourier series and fL is the Orlicz norm of f. This result is sharp.     

Fortsetzungssätze und Moduln über Semifields

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Herrn Professor Dr. Frank Terpe zum 60. Geburtstag gewidmet     

Invarianz gewisser Operatorenklassen unter nichtkommutativen ergodischen Mitteln

Let be a group of *-automorphisms on the algebra of bounded linear operators on a complex Hilbert space H. Then the strongly closed convex hull of the orbit of any compact operator under consists of compact operators. The same is true if one replaces compact by nuclear, Hilbert-Schmidt or positive Fredholm. We further discuss these results in the framework of the noncommutative mean ergodic theorem of KOVACS and SZ#x00FC;CS and formulate an analogous theorem for the algebra of compact operators on a complex Hilbert space.

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Gefördert von der Deutschen Forschungsgemeinschaft im Rahmen des Forschungsvorhabens Ko 506/1.     

On summability of subsequences of partial sums of trigonometric Fourier series

n- (n1) fL ^p ([–, ] ⁿ ),=1 = (L C) . , , f([–, ] ⁿ ).     

Darstellung einer Ordnung von Maßen durch Stoppzeiten

Summary Given a stochastic matrixP on the state spaceI an ordering for measures inI can be defined in the following way: iff(f)(f) for allf in a sufficiently rich subcone of the cone of positiveP-subharmonic functions. It is shown that, if, are probability measures with , then in theP-process (X _n)_n0 having as initial distribution there exists a stopping time such thatX is distributed according to. In addition, can be chosen in such a way, that for every positive subharmonicf with(f)< the submartingale (f(X _n))_n0 is uniformly integrable.     

Characterization of regular singular linear systems of difference equations

This paper deals with linear systems of difference equations whose coefficients admit generalized factorial series representations atz=. We are concerned with the behavior of solutions near the pointz= (the only fixed singularity for difference equations). It is important to know whether a system of linear difference equations has a regular singularity or an irregular singularity. To a given system () we can assign a number , called the Moser's invariant of (), so that the system is regular singular if and only if 1. We shall develop an algorithm, implementable in a computer algebra system, which reduces in a finite number of steps the system of difference equations to an irreducible form. The computation ot the number can be done explicitly from this irreducible form.     

Superlinearly Convergent Infeasible-Interior-Point Algorithm for Degenerate LCP

A large-step infeasible path-following method is proposed for solving general linear complementarity problems with sufficient matrices. If the problem has a solution, the algorithm is superlinearly convergent from any positive starting points, even for degenerate problems. The algorithm generates points in a large neighborhood of the central path. Each iteration requires only one matrix factorization and at most three (asymptotically only two) backsolves. It has been recently proved that any sufficient matrix is a P _*()-matrix for some 0. The computational complexity of the algorithm depends on as well as on a feasibility measure of the starting point. If the starting point is feasible or close to being feasible, then the iteration complexity is . Otherwise, for arbitrary positive and large enough starting points, the iteration complexity is O((1 + )² nL). We note that, while computational complexity depends on , the algorithm itself does not.     

The Cesàro-Denjoy-Bochner scale of almost periodicity

, —— , . , f, ——, —. .     

Large transversals to small families of unit disks

Summary It is proved that if the nonempty intersection of bounded closed convex sets AnB is contained in (A + F)U(B+F) and one of the following holds true: (i) the space X is less-than-three dimensional, (ii) AUB is convex, (iii) F is a one-point set, then AnBCA+F or AnBCB+F (Theorems 2 and 3). Moreover, under some hypotheses the characterization of A and B such that AnB is a summand of AUB is given (Theorem 3).     

Central limit theorems for Walsh series with general gaps

. [1]. 3 - .