In robust optimization, the uncertainty set is used to model all possible outcomes of uncertain parameters. In the classic setting, one assumes that this set is provided by the decision maker based on the data available to her. Only recently it has been recognized that the process of building useful uncertainty sets is in itself a challenging task that requires mathematical support. In this paper, we propose an approach to go beyond the classic setting, by assuming multiple uncertainty sets to be prepared, each with a weight showing the degree of belief that the set is a “true” model of uncertainty. We consider theoretical aspects of this approach and show that it is as easy to model as the classic setting. In an extensive computational study using a shortest path problem based on real-world data, we auto-tune uncertainty sets to the available data, and show that with regard to out-of-sample performance, the combination of multiple sets can give better results than each set on its own.
相似文献We consider the flow of a viscous incompressible fluid through a rigid homogeneous porous medium. We propose a high-order discretisation based on Whitney finite elements, namely, Raviart-Thomas finite elements of degree r +?1 for the discharge and discontinuous piecewise polynomial finite elements of degree r for the pressure, with r ≥?0. We comment on the use of new degrees of freedom that have a clear physical meaning, the so-called weights on the small simplices, for the involved discharge and pressure fields. We describe a new numerical strategy to solve the discrete problem based on a tree-cotree block-decomposition of the unknowns that is natural when considering these new degrees of freedom. Preliminary numerical tests in two dimensions confirm the stability of the adopted method and the effectiveness of the new degrees of freedom.
相似文献This paper is devoted to studying a computational method for solving multi-term differential equations based on new operational matrix of shifted second kind Chebyshev polynomials. The properties of the operational matrix of fractional integration are exploited to reduce the main problem to an algebraic equation. We present an upper bound for the error in our estimation that leads to achieve the convergence rate of O(M −κ). Numerical experiments are reported to demonstrate the applicability and efficiency of the proposed method.
相似文献In this paper, we investigate a new primal-dual long-step interior point algorithm for linear optimization. Based on the step size, interior point algorithms can be divided into two main groups, short-step, and long-step methods. In practice, long-step variants perform better, but usually, a better theoretical complexity can be achieved for the short-step methods. One of the exceptions is the large-update algorithm of Ai and Zhang. The new wide neighborhood and the main characteristics of the presented algorithm are based on their approach. In addition, we use the algebraic equivalent transformation technique of Darvay to determine new modified search directions for our method. We show that the new long-step algorithm is convergent and has the best known iteration complexity of short-step variants. We present our numerical results and compare the performance of our algorithm with two previously introduced Ai-Zhang type interior point algorithms on a set of linear programming test problems from the Netlib library.
相似文献The Dirichlet-Neumann and Neumann-Neumann waveform relaxation methods are nonoverlapping spatial domain decomposition methods to solve evolution problems, while the parareal algorithm is in time parallel fashion. Based on the combinations of these space and time parallel strategies, we present and analyze two parareal algorithms based on the Dirichlet-Neumann and the Neumann-Neumann waveform relaxation method for the heat equation by choosing Dirichlet-Neumann/Neumann-Neumann waveform relaxation as two new kinds of fine propagators instead of the classical fine propagator. Both new proposed algorithms could be viewed as a space-time parallel algorithm, which increases the parallelism both in space and in time. We derive for the heat equation the convergence results for both algorithms in one spatial dimension. We also illustrate our theoretical results with numerical experiments finally.
相似文献We present two new algorithms for convex Mixed Integer Nonlinear Programming (MINLP), both based on the well known Extended Cutting Plane (ECP) algorithm proposed by Weterlund and Petersson. Our first algorithm, Refined Extended Cutting Plane (RECP), incorporates additional cuts to the MILP relaxation of the original problem, obtained by solving linear relaxations of NLP problems considered in the Outer Approximation algorithm. Our second algorithm, Linear Programming based Branch-and-Bound (LP-BB), applies the strategy of generating cuts that is used in RECP, to the linear approximation scheme used by the LP/NLP based Branch-and-Bound algorithm. Our computational results show that RECP and LP-BB are highly competitive with the most popular MINLP algorithms from the literature, while keeping the nice and desirable characteristic of ECP, of being a first-order method.
相似文献The Titchmarsh convolution theorem is a celebrated result about the support of the convolution of two functions. We present a simple proof based on the canonical factorization theorem for bounded holomorphic functions on the unit disk.
相似文献We show that assuming lower bounds on the Ricci curvature and the injectivity radius the absolute value of certain characteristic numbers of a Riemannian manifold, including all Pontryagin and Chern numbers, is bounded proportionally to the volume. The proof relies on Chern–Weil theory applied to a connection constructed from Euclidean connections on charts in which the metric tensor is harmonic and has bounded Hölder norm. We generalize this theorem to a Gromov–Hausdorff closed class of rough Riemannian manifolds defined in terms of Hölder regularity. Assuming an additional upper Ricci curvature bound, we show that also the Euler characteristic is bounded proportionally to the volume. Additionally, we remark on a volume comparison theorem for Betti numbers of manifolds with an additional upper bound on sectional curvature. It is a consequence of a result by Bowen.
相似文献We prove an inner product inequality for Hilbert space operators. This inequality will be utilized to present a general numerical radius inequality using convex functions. Applications of the new results include obtaining new forms that generalize and extend some well known results in the literature, with an application to the newly defined generalized numerical radius. We emphasize that the approach followed in this article is different from the approaches used in the literature to obtain such versions.
相似文献We consider the classical Cramér-Lundberg risk model with claim sizes that are mixtures of phase-type and subexponential variables. Exploiting a specific geometric compound representation, we propose control variate techniques to efficiently simulate the ruin probability in this situation. The resulting estimators perform well for both small and large initial capital. We quantify the variance reduction as well as the efficiency gain of our method over another fast standard technique based on the classical Pollaczek-Khinchine formula. We provide a numerical example to illustrate the performance, and show that for more time-consuming conditional Monte Carlo techniques, the new series representation also does not compare unfavorably to the one based on the Pollaczek-Khinchine formula.
相似文献In this paper, we present a framework to construct general stochastic Runge–Kutta Lawson schemes. We prove that the schemes inherit the consistency and convergence properties of the underlying Runge–Kutta scheme, and confirm this in some numerical experiments. We also investigate the stability properties of the methods and show for some examples, that the new schemes have improved stability properties compared to the underlying schemes.
相似文献We construct new sequence transformations based on Wynn’s epsilon and rho algorithms. The recursions of the new algorithms include the recursions of Wynn’s epsilon and rho algorithm and of Osada’s generalized rho algorithm as special cases. We demonstrate the performance of our algorithms numerically by applying them to some linearly and logarithmically convergent sequences as well as some divergent series.
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