Linearly constrained global optimization via piecewise-linear approximation

This paper considers the problem of optimizing a continuous nonlinear objective function subject to linear constraints via a piecewise-linear approximation. A systematic approach is proposed, which uses a lattice piecewise-linear model to approximate the nonlinear objective function on a simplicial partition and determines an approximately globally optimal solution by solving a set of standard linear programs. The new approach is applicable to any continuous objective function rather than to separable ones only and could be useful to treat more complex nonlinear problems. A numerical example is given to illustrate the practicability.     

Valuing Asian options using the finite element method and duality techniques

The main objective of this paper is to develop an adaptive finite element method for computation of the values, and different sensitivity measures, of the Asian option with both fixed and floating strike. The pricing is based on Black–Scholes PDE-model and a method developed by Ve?e? where the resulting PDEs are of parabolic type in one spatial dimension and can be applied to both continuous and discrete Asian options. We propose using an adaptive finite element method which is based on a posteriori estimates of the error in desired quantities, which we derive using duality techniques. The a posteriori error estimates are tested and verified, and are used to calculate optimal meshes for each type of option. The use of adapted meshes gives superior accuracy and performance with less degrees of freedom than using uniform meshes. The suggested adaptive finite element method is stable, gives fast and accurate results, and can be applied to other types of options as well.     

Numerical study of the flow in a three-dimensional thermally driven cavity

Solutions for the fully compressible Navier–Stokes equations are presented for the flow and temperature fields in a cubic cavity with large horizontal temperature differences. The ideal-gas approximation for air is assumed and viscosity is computed using Sutherland's law. The three-dimensional case forms an extension of previous studies performed on a two-dimensional square cavity. The influence of imposed boundary conditions in the third dimension is investigated as a numerical experiment. Comparison is made between convergence rates in case of periodic and free-slip boundary conditions. Results with no-slip boundary conditions are presented as well. The effect of the Rayleigh number is studied.     

Some new nonlinear Volterra–Fredholm-type discrete inequalities and their applications

Some new explicit bounds on solutions to a class of new nonlinear Volterra–Fredholm-type discrete inequalities are established, which can be used as effective tools in the study of certain sum–difference equations. Application examples are also indicated.     

A new a posteriori error estimate for convection–reaction–diffusion problems

A new a posteriori error estimate is derived for the stationary convection–reaction–diffusion equation. In order to estimate the approximation error in the usual energy norm, the underlying bilinear form is decomposed into a computable integral and two other terms which can be estimated from above using elementary tools of functional analysis. Two auxiliary parameter-functions are introduced to construct such a splitting and tune the resulting bound. If these functions are chosen in an optimal way, the exact energy norm of the error is recovered, which proves that the estimate is sharp. The presented methodology is completely independent of the numerical technique used to compute the approximate solution. In particular, it is applicable to approximations which fail to satisfy the Galerkin orthogonality, e.g. due to an inconsistent stabilization, flux limiting, low-order quadrature rules, round-off and iteration errors, etc. Moreover, the only constant that appears in the proposed error estimate is global and stems from the Friedrichs–Poincaré inequality. Numerical experiments illustrate the potential of the proposed error estimation technique.     

Balls have the worst best Sobolev inequalities. Part II: variants and extensions

We continue our previous study of sharp Sobolev-type inequalities by means of optimal transport, started in (Maggi and Villani J. Geom. Anal. 15(1), 83–121 (2005)). In the present paper, we extend our results in various directions, including Gagliardo–Nirenberg, Faber–Krahn, logarithmic-Sobolev or Moser–Trudinger inequalities with trace terms. We also identify a class of domains for which there is no need for a trace term to cast the Sobolev inequality.     

Reconstructing compositions

We consider the problem of reconstructing compositions of an integer from their subcompositions, which was raised by Raykova (albeit disguised as a question about layered permutations). We show that every composition w of n?3k+1 can be reconstructed from its set of k-deletions, i.e., the set of all compositions of n-k contained in w. As there are compositions of 3k with the same set of k-deletions, this result is best possible.     

Set partitions with restrictions

Based on finite set partitions, we introduce restrictions to the distances among the elements in each part and refine the Stirling numbers of the second kind with an extra parameter in two different ways. Combinatorial approach through distributions of “balls into boxes” is employed to establish explicit formulae.     

Descents, inversions, and major indices in permutation groups

A multivariate generating function involving the descent, major index, and inversion statistic first given by Ira Gessel is generalized to other permutation groups. We provide generating functions for variants of these three statistics for the Weyl groups of type B and D, wreath product groups, and multiples of permutations. All of our ideas are combinatorial in nature and exploit fundamental relationships between the elementary and homogeneous symmetric functions.