约束优化的一个改进的强次可行SQP算法及数值试验

本文对约束优化一个强次可行SQP算法进行改进,使之产生的迭代点在有限次迭代后全落入可行域;并对算法数值效果进行了大量的比较试验.     

A Complex Mode Method for Wind-Induced Responses of 6-Parameter Practical Viscoelastic Damping Energy Dissipation Structures Based on the Davenport Wind Speed Spectrum北大核心CSCD

针对六参数实用黏弹性阻尼耗能结构,基于Davenport风速谱系列响应问题进行了系统的研究.首先,利用六参数黏弹性阻尼器的微分型本构关系,建立了耗能结构基于Davenport风速谱激励下的运动方程;然后,运用复模态法将耗能结构的运动方程由二阶微分方程转化为一阶方程,获得了耗能结构系统对风振激励响应的频域解和功率谱密度函数表达式;最后,利用数学恒等式,基于随机振动理论获得了耗能结构系统在Davenport风速谱激励下的响应和阻尼器受力的解析解.该文方法不仅考虑了结构系统在风振激励作用下全振型展开的结果,表达式较现有结果更为简便,效率及精度更高,且适用于非经典阻尼结构.     

Subspace Barzilai-Borwein Gradient Method for Large-Scale Bound Constrained Optimization

An active set subspace Barzilai-Borwein gradient algorithm for large-scale bound constrained optimization is proposed. The active sets are estimated by an identification technique. The search direction consists of two parts: some of the components are simply defined; the other components are determined by the Barzilai-Borwein gradient method. In this work, a nonmonotone line search strategy that guarantees global convergence is used. Preliminary numerical results show that the proposed method is promising, and competitive with the well-known method SPG on a subset of bound constrained problems from CUTEr collection. This work was supported by the 973 project granted 2004CB719402 and the NSF project of China granted 10471036.     

A difference scheme for solving the Timoshenko beam equations with tip body

In this article, a Timoshenko beam with tip body and boundary damping is considered. A linearized three-level difference scheme of the Timoshenko beam equations on uniform meshes is derived by the method of reduction of order. The unique solvability, unconditional stability and convergence of the difference scheme are proved. The convergence order in maximum norm is of order two in both space and time. A numerical example is presented to demonstrate the theoretical results.     

Pre-emption in resource-constrained project scheduling

The Resource-Constrained Project Scheduling Project (RCPSP), together with some of its extensions, has been widely studied. A fundamental assumption in this basic problem is that activities in progress are non-preemptable. Very little effort has been made to uncover the potential benefits of discrete activity pre-emption, and the papers dealing with this issue have reached the conclusion that it has little effect on project length when constant resource availability levels are defined. In this paper we show how three basic elements of many heuristics for the RCPSP – codification, serial SGS and double justification – can be adapted to deal with interruption. The paper is mainly focussed on problem 1_PRCPSP, a generalization of the RCPSP where a maximum of one interruption per activity is allowed. However, it is also shown how these three elements can be further adapted to deal with more general pre-emptive problems. Computational experiments on the standard j30 and j120 sets support the conclusion that pre-emption does help to decrease project length when compared to the no-interruption case. They also prove the usefulness of the justification in the presence of pre-emption. The justification is a RCPS technique that can be easily incorporated into a wide range of algorithms for the RCPSP, increasing their solution quality – maintaining the number of schedules calculated.     

A unified method for a class of convex separable nonlinear knapsack problems

In this paper, a unified algorithm is proposed for solving a class of convex separable nonlinear knapsack problems, which are characterized by positive marginal cost (PMC) and increasing marginal loss–cost ratio (IMLCR). By taking advantage of these two characteristics, the proposed algorithm is applicable to the problem with equality or inequality constraints. In contrast to the methods based on Karush–Kuhn–Tucker (KKT) conditions, our approach has linear computation complexity. Numerical results are reported to demonstrate the efficacy of the proposed algorithm for different problems.     

Parameter estimation of ordinary differential equations

This paper addresses the development of a new algorithm forparameter estimation of ordinary differential equations. Here,we show that (1) the simultaneous approach combined with orthogonalcyclic reduction can be used to reduce the estimation problemto an optimization problem subject to a fixed number of equalityconstraints without the need for structural information to devisea stable embedding in the case of non-trivial dichotomy and(2) the Newton approximation of the Hessian information of theLagrangian function of the estimation problem should be usedin cases where hypothesized models are incorrect or only a limitedamount of sample data is available. A new algorithm is proposedwhich includes the use of the sequential quadratic programming(SQP) Gauss–Newton approximation but also encompassesthe SQP Newton approximation along with tests of when to usethis approximation. This composite approach relaxes the restrictionson the SQP Gauss–Newton approximation that the hypothesizedmodel should be correct and the sample data set large enough.This new algorithm has been tested on two standard problems.     

部分线性变系数模型的Profile Lagrange乘子检验

对于部分线性变系数模型附有约束条件时的估计与检验问题,基于Profile最小二乘方法给出了参数部分以及非参数部分的约束估计并研究了它们的渐近性质,并针对约束条件构造了Profile Lagrange乘子检验统计量,证明了该统计量在原假设下的渐近分布为χ2分布,从而将Lagrange乘子检验方法推广到了半参数模型上.     

On local convergence of sequential quadratically-constrained quadratic-programming type methods,with an extension to variational problems

We consider the class of quadratically-constrained quadratic-programming methods in the framework extended from optimization to more general variational problems. Previously, in the optimization case, Anitescu (SIAM J. Optim. 12, 949–978, 2002) showed superlinear convergence of the primal sequence under the Mangasarian-Fromovitz constraint qualification and the quadratic growth condition. Quadratic convergence of the primal-dual sequence was established by Fukushima, Luo and Tseng (SIAM J. Optim. 13, 1098–1119, 2003) under the assumption of convexity, the Slater constraint qualification, and a strong second-order sufficient condition. We obtain a new local convergence result, which complements the above (it is neither stronger nor weaker): we prove primal-dual quadratic convergence under the linear independence constraint qualification, strict complementarity, and a second-order sufficiency condition. Additionally, our results apply to variational problems beyond the optimization case. Finally, we provide a necessary and sufficient condition for superlinear convergence of the primal sequence under a Dennis-Moré type condition. Research of the second author is partially supported by CNPq Grants 300734/95-6 and 471780/2003-0, by PRONEX–Optimization, and by FAPERJ.     

Sample average approximation of expected value constrained stochastic programs

We propose a sample average approximation (SAA) method for stochastic programming problems with expected value constraints. Such problems arise, for example, in portfolio selection with constraints on conditional value-at-risk (CVaR). We provide a convergence analysis and a statistical validation scheme for the proposed method.