Infinite-horizon deterministic dynamic programming in discrete time: a monotone convergence principle and a penalty method

We consider infinite-horizon deterministic dynamic programming problems in discrete time. We show that the value function of such a problem is always a fixed point of a modified version of the Bellman operator. We also show that value iteration converges increasingly to the value function if the initial function is dominated by the value function, is mapped upward by the modified Bellman operator and satisfies a transversality-like condition. These results require no assumption except for the general framework of infinite-horizon deterministic dynamic programming. As an application, we show that the value function can be approximated by computing the value function of an unconstrained version of the problem with the constraint replaced by a penalty function.     

Analytic equivalence of the boundary eigenvalue operator function and its characteristic matrix function

The boundary eigenvalue operator function associated to an analytic family of boundary value problems is shown to be analytically equivalent to a simple extension of its characteristic matrix function. Explicit formulas for the operator functions that establish the equivalence are given.     

Weyl–Titchmarsh Function of an Abstract Boundary Value Problem, Operator Colligations, and Linear Systems with Boundary Control

The paper defines the Weyl–Titchmarsh function for an abstract boundary value problem and shows that it coincides with the transfer function of some explicitly described linear boundary control system. On the ground of obtained results we explore interplay among boundary value problems, operator colligations, and the linear systems theory that suggests an approach to the study of boundary value problems based on the open systems theory founded in works of M. S. Livšic. Examples of boundary value problems for partial differential equations and calculations of their Weyl–Titchmarsh functions are offered as illustration. In particular, we give an independent derivation of the Weyl–Titchmarsh function for the three dimensional Schr?dinger operator introduced by W.O. Amrein and D.B. Pearson. Relationships to the Schr?dinger operator with singular potential supported by the unit sphere are clarified and other possible applications of the developed approach in mathematical physics are noted. Received: May 21, 2007., Revised: October 8, 2007., Accepted: October 11, 2007     

Stability of the coincidence set of a solution to a parabolic variational inequality with an obstacle

In this paper we propose a new technique for the stability analysis of the coincidence set of a solution to a parabolic variational inequality with an obstacle inside the domain. It is based on the reformulation of the initial inequality in the form of a parabolic initial boundary value problem with an exact penalty operator.     

Boundary value problems with operator right-hand side

For a second-order boundary value problem with operator right-hand side and with functional boundary conditions, we prove solvability theorems with mixed and Dirichlet boundary conditions assuming the existence of a lower and an upper function. These theorems are analogs of theorems for the corresponding boundary value problems for an ordinary second-order differential equation with right-hand side satisfying the Carathéodory conditions.     

Linear boundary value problems for normally solvable operator equations in a Banach space

We consider linear boundary value problems for operator equations with generalized-invertible operator in a Banach or Hilbert space. We obtain solvability conditions for such problems and indicate the structure of their solutions. We construct a generalized Green operator and analyze its properties and the relationship with a generalized inverse operator of the linear boundary value problem. The suggested approach is illustrated in detail by an example.     

A.V. Bitsadze's observation on bianalytic functions and the Schwarz problem

According to an observation of A.V. Bitsadze from 1948 the Dirichlet problem for bianalytic functions is ill-posed. A natural boundary condition for the polyanalytic operator, however, is the Schwarz condition. An integral representation for the solutions in the unit disc to the inhomogeneous polyanalytic equation satisfying Schwarz boundary conditions is known. This representation is extended here to any simply connected plane domain having a harmonic Green function. Some other boundary value problems are investigated with some Dirichlet and Neumann conditions illuminating that just the Schwarz problem is a natural boundary condition for the Bitsadze operator.     

Radial basis function partition of unity operator splitting method for pricing multi-asset American options

The operator splitting method in combination with finite differences has been shown to be an efficient approach for pricing American options numerically. Here, the operator splitting formulation is extended to the radial basis function partition of unity method. An approach that has previously often been used together with radial basis function methods to deal with the free boundary arising in American option pricing is to solve a penalised version of the Black–Scholes equation. It is shown that the operator splitting technique outperforms the penalty approach when used with the radial basis function partition of unity method. Numerical experiments are performed for one, two and three underlying assets. The advantage of the operator splitting technique grows with the number of dimensions.     

On the Maxwell system under impedance boundary conditions with memory

We consider an initial boundary value problem for the system of the Maxwell equations in a bounded domain with smooth boundary on a finite time interval with new boundary conditions with memory. In appropriate function spaces, we define and study the nonselfadjoint operator that is generated by the Maxwell operator under a boundary condition with memory. Using the operator method, we prove an existence and uniqueness theorem for a solution to the initial boundary value problem.     

含有广义p-Laplace算子的非线性边值问题解的存在性的研究

该文研究了两类含有广义p-Laplace算子的非线性边值问题. 首先, 利用变分不等式解的存在性的结果, 证明了含有广义p-Laplace算子的非线性Dirichlet边值问题解的存在性. 然后, 提出了一类含有广义p-Laplace算子的非线性Neumann边值问题. 通过深入挖掘这两类非线性边值问题间的关系, 借助于极大单调算子值域的一个扰动结果, 证明了含有广义p-Laplace算子的非线性Neumann边值问题解的存在性. 文中采用了一些新的证明技巧,推广和补充了作者以往的一些研究工作.     

Linear self-adjoint multipoint boundary value problems and related approximation schemes

Summary Linear self-adjoint multipoint boundary value problems are investigated. The case of the homogeneous equation is shown to lead to spline solutions, which are then utilized to construct a Green's function for the case of homogeneous boundary conditions. An approximation scheme is described in terms of the eigen-functions of the inverse of the Green's operator and is shown to be optimal in the sense of then-widths of Kolmogorov. Convergence rates are given and generalizations to more general boundary value problems are discussed.     

Nonlocal boundary problems for a third-order one-dimensional nonlinear pseudoparabolic equation

We consider initial boundary value problems for a third-order nonlinear pseudoparabolic equation with one space dimension. The boundary condition is given by an integral; the function involved could exhibit singularities, which distinguishes this nonlocal condition from its Dirichlet or Neumann counterparts. By means of appropriate elliptic estimates we are able to seek solutions not only in the weighted spaces but also in the usual Sobolev spaces. The procedure is carried out in a unified way. Our results characterize a regularity of the pseudoparabolic operator that is different from that of the parabolic operator.     

Regular two-point boundary value problems for the Schrödinger operator on a path

In this work we study the different type of regular boundary value problems on a path associated with the Schrödinger operator. In particular, we obtain the Green function for each problem and we emphasize the case of Sturm-Liouville boundary conditions. In any case, the Green function is given in terms of second kind Chebyshev polynomials since they verify a recurrence law similar to the one verified by the Schödinger operator on a path.     

Solutions to the seepage face model for dual porosity flows with hysteresis

This paper is concerned with theoretical analysis of the initial-boundary value problem for the dual porosity model of Darcian flows with the Preisach hysteresis operator. Due to the presence of the so-called unilateral boundary condition, the problem comes as an evolution variational inequality. We apply the penalty method to prove the global-in-time existence of the variational solution by constructing approximate solutions satisfying suitable energy type estimates.     

On the Vekua Pair in Spheroidal Geometry and its Role in Solving Boundary Value Problems

The Vekua pair forms a transformation between the kernel of the Laplace's and the kernel of the Helmholtz's operator. In fact, it provides an interior solution of the Helmholtz's equation once an interior harmonic function is given, and conversely, given an interior solution of the Helmhotz's equation an interior harmonic function is constructed. Consequently, it seems that the Vekua connection offers the perfect ground to obtain solutions of boundary value problems connected with Helmholtz operator. Vekua expressed his transformation in spherical coordinates. Nevertheless, when a change of coordinates is applied, the transformation assumes a much more complicated form, but it still remains a very useful technique for dealing with solutions of the equations of Laplace and Helmholtz. Here we extend the Vekua theory to a new integral transformation pair concerning solutions of the aforementioned operators in exterior domains. In addition, the form of the Vekua transformation is analyzed in spheroidal coordinates and its implication to boundary value problems is investigated.     

Linear Noetherian boundary value problems for differential systems with an impulse action

A solvability criterion of linear nonhomogeneous boundary value problems is obtained for systems of ordinary differential equations with impulse action in the general case when the number of boundary conditions does not coincide with the order of the differential system (Noetherian problems). The generalized Green operator of such boundary value problems is constructed. Its connection with the generalized inverse operator of the operator of the original boundary value problem is shown.Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 44, No. 4, pp. 564–568, April, 1992.     

Inhomogeneous degenerate Sobolev type equations with delay

Under consideration is the first order linear inhomogeneous differential equation in an abstract Banach space with a degenerate operator at the derivative, a relatively p-radial operator at the unknown function, and a continuous delay operator. We obtain conditions of unique solvability of the Cauchy problem and the Showalter problem by means of degenerate semigroup theory methods. These general results are applied to the initial boundary value problems for systems of integrodifferential equations of the type of phase field equations.     

Boundary value problems for a weakly loaded operator of a second-order hyperbolic equation in a cylindrical domain

By using methods of functional analysis, we prove the existence and uniqueness, in appropriate function spaces, of solutions of boundary value problems for a second-order linear hyperbolic equation weakly loaded by a differential operator. The order of the operator in the loaded term with respect to its derivatives is equal to 2.     

A parameter-free self-adapting boundary genetic search for pipe network optimization

Commercial application of genetic algorithms (GAs) to engineering design problems, including optimal design of pipe networks, could be facilitated by the development of algorithms that require the least number of parameter tuning. This paper presents an attempt to eliminate the need for defining a priori the proper penalty parameter in GA search for pipe networks optimal designs. The method is based on the assumption that the optimal solution of a pipe network design problem lies somewhere on, or near, the boundary of the feasible region. The proposed method uses the ratio of the best feasible and infeasible designs at each generation to guide the direction of the search towards the boundary of the feasible domain by automatically adjusting the value of the penalty parameter. The value of the ratio greater than unity is interpreted as the search being performed in the feasible region and vice versa. The new adapted value of the penalty parameter at each generation is therefore calculated as the product of its current value and the aforementioned ratio. The genetic search so constructed is shown to converge to the boundary of the feasible region irrespective of the starting value of the constraint violation penalty parameter. The proposed method is described here in the context of pipe network optimisation problems but is equally applicable to any other constrained optimisation problem. The effectiveness of the method is illustrated with a benchmark pipe network optimization example from the literature.     

Solution of boundary and eigenvalue problems for second‐order elliptic operators in the plane using pseudoanalytic formal powers

We propose a method for solving boundary value and eigenvalue problems for the elliptic operator D = div p grad + qin the plane using pseudoanalytic function theory and in particular pseudoanalytic formal powers. Under certain conditions on the coefficients p and q with the aid of pseudoanalytic function theory a complete system of null solutions of the operator can be constructed following a simple algorithm consisting in recursive integration. This system of solutions is used for solving boundary value and spectral problems for the operator D in bounded simply connected domains. We study theoretical and numerical aspects of the method. Copyright © 2010 John Wiley & Sons, Ltd.