应用自动微分的Newton-PCG算法

一类新的使用符号微分的Newton-PCG型算法在文献[1]和[2]被导出来了。本文建立和研究应用自动微分的相应的Newton-PCG算法，理论分析和数值实验结果显示应用自动微分之后，目标函数的维数或复杂性越大，Newton-PCG算法对Newton法的改进越显著。     

On the influence of the surfactant''s polar group on the local and terminal velocities of bubbles

The local and the terminal velocities, the size and the degree of bubbles’ shape deformations were determined as a function of distance from the position of the bubble formation (capillary orifice) in solutions of n-octyltrimethylammonium bromide, n-octyldimethylphosphine oxide, n-octyl-β-D-glucopyranoside and n-octanoic acid.

These surface-active compounds have different polar groups but an identical hydrocarbon chain (C8) in the molecule. The motion of the bubbles was monitored and recorded using a stroboscopic illumination, a CCD camera, and a JVC professional video. The recorded bubble images were analyzed by the image analysis software. The bubbles accelerated rapidly and their shape was deformed immediately after detachment from the capillary. The extent of the bubbles’ shape deformation (ratio of horizontal and vertical diameters) was 1.5 in distilled water and dropped rapidly down to a level of ca. 1.05–1.03 with increasing surfactant concentration. After the acceleration period the bubbles either attained a constant value of the terminal velocity (distilled water and high concentrations of the solutions), or a maximum in the velocity profiles was observed (low concentrations). The values of the terminal velocity diminished drastically with increasing concentration, from the value of 35 cm/s in water down to about 15 cm/s, while the bubble diameter decreased by ca. 10% only. The surfactant adsorption at the surface of the bubbles was evaluated and the minimum adsorption coverages required to immobilize the bubbles’ surface were determined. It was found that this minimum adsorption coverage was ca. 4% for n-octyldimethylphosphine oxide, n-octyl-β-D-glucopyranoside, n-octanoic acid and 25% for n-octyltrimethylammonium bromide. The difference in the adsorption coverage together with the surfactants’ surface activities indicate that it is mainly the adsorption kinetics of the surfactants that governs the fluidity of interfaces of the rising bubbles.     

Augmented Lagrangian Algorithms Based on the Spectral Projected Gradient Method for Solving Nonlinear Programming Problems

The spectral projected gradient method SPG is an algorithm for large-scale bound-constrained optimization introduced recently by Birgin, Martínez, and Raydan. It is based on the Raydan unconstrained generalization of the Barzilai-Borwein method for quadratics. The SPG algorithm turned out to be surprisingly effective for solving many large-scale minimization problems with box constraints. Therefore, it is natural to test its perfomance for solving the sub-problems that appear in nonlinear programming methods based on augmented Lagrangians. In this work, augmented Lagrangian methods which use SPG as the underlying convex-constraint solver are introduced (ALSPG) and the methods are tested in two sets of problems. First, a meaningful subset of large-scale nonlinearly constrained problems of the CUTE collection is solved and compared with the perfomance of LANCELOT. Second, a family of location problems in the minimax formulation is solved against the package FFSQP.     

Demand variability and incentives in inventory-based contracts

We present some results on the impact of demand variability on stocking policies and incentives to forecast, in the context of single period inventory-based contracts in a manufacturer-retailer channel.     

Robust linear optimization under general norms

We explicitly characterize the robust counterpart of a linear programming problem with uncertainty set described by an arbitrary norm. Our approach encompasses several approaches from the literature and provides guarantees for constraint violation under probabilistic models that allow arbitrary dependencies in the distribution of the uncertain coefficients.     

Some Notes about Tanaka''''s Equation

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Measure change techniques in optimal control

Fully and partially observed stochastic control of systems with nonlinear dynamics and terminal and running costs are considered. Measure changes are introduced which allow both state and observation dynamics to be thought of as linear. In the case when the terms of the cost have a special form the measure change transformation “cancels out” the nonlinearities and changes the original nonlinear problem into a classical LQG one and standard results can be applied. We also consider unnormalized conditional densities of the whole path as state variables and obtain dynamic programming and verification results. R. J. Elliott wishes to acknowledge support of the Natural Sciences and Engineering Research Council of Canada, Grant A7964.     

Some new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciences

Recently, Fishbum and Lavalle (1995) and Lefèvre and Utev (1996) have considered some stochastic order relations specific for arithmetic random variables. The present work is concerned with these orderings, together with two other classes of stochastic order relations closely related. First, attention is paid to characterizations and various properties of all these orderings. Then, sufficient conditions of crossing-type for the two new classes of orderings are derived and extrema among discrete random variables are deduced. This is applied in actuarial sciences to obtain new bounds for the classical single life premiums as well as for the probability of ruin in the compound binomial risk model.     

Application of stochastic optimal control to the suboptimal design of thrust-mass profiles

Stochastic optimal control techniques are applied to compare the performance of identical medium-range air-to-air missiles which have different thrust-mass profiles. The measure of the performance is the probability of reaching a lock-on-point with a favorable range of guidance and flight parameters, during a fixed time interval [0,t _f ], given that, during the flight, the trajectories of the missile are subjected to a variety of constraints including dynamic pressure constraints.     

Minimizing makespan on a single machine subject to random breakdowns

We investigate optimal sequencing policies for the expected makespan problem with an unreliable machine, where jobs have to be reprocessed in their entirety if preemptions occur because of breakdowns. We identify a class of uptime distributions under which LPT minimizes expected makespan.