Journal of Global Optimization - Improperly efficient solutions in the sense of Geoffrion in linear fractional vector optimization problems with unbounded constraint sets are studied systematically... 相似文献
We study the multi-stage portfolio selection problem where the utility function of an investor is ambiguous. The ambiguity is characterized by dynamic stochastic dominance constraints, which are able to capture the dynamics of the random return sequence during the investment process. We propose a multi-stage dynamic stochastic dominance constrained portfolio selection model, and use a mixed normal distribution with time-varying weights and the K-means clustering technique to generate a scenario tree for the transformation of the proposed model. Based on the scenario tree representation, we derive two linear programming approximation problems, using the sampling approach or the duality theory, which provide an upper bound approximation and a lower bound approximation for the original nonconvex problem. The upper bound is asymptotically tight with infinitely many samples. Numerical results illustrate the practicality and efficiency of the proposed new model and solution techniques.
A second order accurate method in the infinity norm is proposed for general three dimensional anisotropic elliptic interface problems in which the solution and its derivatives, the coefficients, and source terms all can have finite jumps across one or several arbitrary smooth interfaces. The method is based on the 2D finite element-finite difference (FE-FD) method but with substantial differences in method derivation, implementation, and convergence analysis. One of challenges is to derive 3D interface relations since there is no invariance anymore under coordinate system transforms for the partial differential equations and the jump conditions. A finite element discretization whose coefficient matrix is a symmetric semi-positive definite is used away from the interface; and the maximum preserving finite difference discretization whose coefficient matrix part is an M-matrix is constructed at irregular elements where the interface cuts through. We aim to get a sharp interface method that can have second order accuracy in the point-wise norm. We show the convergence analysis by splitting errors into several parts. Nontrivial numerical examples are presented to confirm the convergence analysis. 相似文献
For a positive integerl divisible by 8 there is a (bosonic) holomorphic vertex operator algebra (VOA)
associated to the spin lattice l. For a broad class of finite groupsG of automorphisms of
we prove the existence and uniqueness of irreducibleg-twisted
-modules and establish the modular-invariance of the partition functionsZ(g, h, ) for commuting elements inG. In particular, for any finite group there are infinitely many holomorphic VOAs admittingG for which these properties hold. The proof is facilitated by a boson-fermion correspondence which gives a VOA isomorphism between
and a certain fermionic construction, and which extends work of Frenkel and others.Supported by NSA grant MDA904-92-H-3099.Supported by NSF grant DMS-9122030. 相似文献
Electronic properties of a general class of one-dimensional two-tile systems are calculated exactly. The systems containing periodic crystals, generalized Fibonacci quasicrystals, generalized Thue-Morse aperiodic lattices and even other two-tile aperiodic lattices, can be divided into two different families which are constructed by the inflation rules: {A, B}{Am11Bm12,Am21Bm22} and {A, B}{An11Bn12,Bn21An22}, respectively. As typical examples, global spectra of bands and density of states in some two-tile aperiodic systems are numerically calculated. Some interesting properties are obtained. 相似文献
We consider the spin-averaged nucleon forward Compton scattering amplitude in heavy baryon chiral perturbation theory including all terms to order
. The chiral prediction for the spin-averaged forward Compton scattering amplitude is in good agreement with the data for photon energies110 MeV. We also evaluate the nucleon electric and magnetic Compton polarizabilities to this order and discuss the uncertainties of the various counter terms entering the chiral expansion of these quantities. 相似文献