scholarly journals Un algoritmo global con jacobiano suavizado para problemas de complementariedad no lineal

2021 ◽  
Vol 39 (2) ◽  
Author(s):  
Wilmer Sánchez ◽  
Rosana Pérez ◽  
Héctor Martínez
Keyword(s):  
Global Convergence ◽  
Numerical Experiments ◽  
Complementarity Problems ◽  
Convergence Theory ◽  
System Of Equations ◽  
Nonsmooth System ◽  
The One

In this paper, we use the smoothing Jacobian strategy to propose a new algorithm for solving complementarity problems based on its reformulation as a nonsmooth system of equations. This algorithm can be seen as a generalization of the one proposed in [18]. We develop its global convergence theory and under certain assumptions, we demonstrate that the proposed algorithm converges locally and, q-superlinearly or q-quadratically to a solution of the problem. Some numerical experiments show a good performance of this algorithm.

scholarly journals A New Jacobian-Like Method for the Polyhedral Cone-Constrained Eigenvalue Problem

2012 ◽  
Vol 2012 ◽  
pp. 1-16
Author(s):  
Guo Sun
Keyword(s):  
Global Convergence ◽  
Eigenvalue Problem ◽  
Numerical Experiments ◽  
Quadratic Convergence ◽  
Polyhedral Cone ◽  
System Of Equations ◽  
Local Quadratic Convergence ◽  
Ncp Function

The eigenvalue problem over a polyhedral cone is studied in this paper. Based on the F-B NCP function, we reformulate this problem as a system of equations and propose a Jacobian-like method. The global convergence and local quadratic convergence of the proposed method are established under suitable assumptions. Preliminary numerical experiments for a special polyhedral cone are reported in this paper to show the validity of the proposed method.

scholarly journals A Smoothing Method with Appropriate Parameter Control Based on Fischer-Burmeister Function for Second-Order Cone Complementarity Problems

2013 ◽  
Vol 2013 ◽  
pp. 1-16 ◽  
Author(s):  
Yasushi Narushima ◽  
Hideho Ogasawara ◽  
Shunsuke Hayashi
Keyword(s):  
Complementarity Problem ◽  
Quadratic Convergence ◽  
Complementarity Problems ◽  
Optimization Problems ◽  
Second Order ◽  
Smoothing Newton Method ◽  
System Of Equations ◽  
Important Class ◽  
Nonsmooth System ◽  
Second Order Cone

We deal with complementarity problems over second-order cones. The complementarity problem is an important class of problems in the real world and involves many optimization problems. The complementarity problem can be reformulated as a nonsmooth system of equations. Based on the smoothed Fischer-Burmeister function, we construct a smoothing Newton method for solving such a nonsmooth system. The proposed method controls a smoothing parameter appropriately. We show the global and quadratic convergence of the method. Finally, some numerical results are given.

scholarly journals Least Change Secant Update Methods for Nonlinear Complementarity Problem

2015 ◽  
Vol 11 (21) ◽  
pp. 11-21 ◽  
Author(s):  
Favián Arenas A ◽  
Héctor J Martínez ◽  
Rosana Pérez M
Keyword(s):  
Superlinear Convergence ◽  
Complementarity Problem ◽  
Numerical Experiments ◽  
Complementarity Problems ◽  
Nonlinear Complementarity Problem ◽  
Nonlinear Complementarity ◽  
Complementarity Functions ◽  
The One ◽  
Local And Superlinear Convergence ◽  
Parametric Class

In this work, we introduce a family of Least Change Secant Update Methods for solving Nonlinear Complementarity Problems based on its reformulation as a nonsmooth system using the one-parametric class of nonlinear complementarity functions introduced by Kanzow and Kleinmichel. We prove local and superlinear convergence for the algorithms. Some numerical experiments show a good performance of this algorithm.

A Non-Monotone Line Search Combination Technique for Unconstrained Optimization

2014 ◽  
Vol 8 (1) ◽  
pp. 218-221 ◽  
Author(s):  
Ping Hu ◽  
Zong-yao Wang
Keyword(s):  
Global Convergence ◽  
Unconstrained Optimization ◽  
Numerical Experiments ◽  
Line Search ◽  
Optimization Problems ◽  
Search Algorithm ◽  
New Combination ◽  
Combination Rule ◽  
Combination Technique ◽  
Unconstrained Optimization Problems

We propose a non-monotone line search combination rule for unconstrained optimization problems, the corresponding non-monotone search algorithm is established and its global convergence can be proved. Finally, we use some numerical experiments to illustrate the new combination of non-monotone search algorithm’s effectiveness.

Wavelets in the Solution of Nongray Radiative Heat Transfer Equation

1998 ◽  
Vol 120 (1) ◽  
pp. 133-139 ◽  
Author(s):  
Y. Bayazitoglu ◽  
B. Y. Wang
Keyword(s):  
Transfer Equation ◽  
Solution Method ◽  
Radiative Heat ◽  
Radiative Transfer Equation ◽  
Basis Functions ◽  
Wavelet Basis ◽  
System Of Equations ◽  
Heat Transfer Equation ◽  
One Dimensional ◽  
The One

The wavelet basis functions are introduced into the radiative transfer equation in the frequency domain. The intensity of radiation is expanded in terms of Daubechies’ wrapped-around wavelet functions. It is shown that the wavelet basis approach to modeling nongrayness can be incorporated into any solution method for the equation of transfer. In this paper the resulting system of equations is solved for the one-dimensional radiative equilibrium problem using the P-N approximation.

scholarly journals Trust-Region Based Penalty Barrier Algorithm for Constrained Nonlinear Programming Problems: An Application of Design of Minimum Cost Canal Sections

Mathematics ◽  
2021 ◽  
Vol 9 (13) ◽  
pp. 1551
Author(s):  
Bothina El-Sobky ◽  
Yousria Abo-Elnaga ◽  
Abd Allah A. Mousa ◽  
Mohamed A. El-Shorbagy
Keyword(s):  
Nonlinear Programming ◽  
Global Convergence ◽  
Programming Problem ◽  
Trust Region ◽  
Convergence Theory ◽  
Benchmark Problems ◽  
Nonlinear Programming Problem ◽  
Barrier Method ◽  
Starting Point ◽  
Constrained Nonlinear Programming

In this paper, a penalty method is used together with a barrier method to transform a constrained nonlinear programming problem into an unconstrained nonlinear programming problem. In the proposed approach, Newton’s method is applied to the barrier Karush–Kuhn–Tucker conditions. To ensure global convergence from any starting point, a trust-region globalization strategy is used. A global convergence theory of the penalty–barrier trust-region (PBTR) algorithm is studied under four standard assumptions. The PBTR has new features; it is simpler, has rapid convergerce, and is easy to implement. Numerical simulation was performed on some benchmark problems. The proposed algorithm was implemented to find the optimal design of a canal section for minimum water loss for a triangle cross-section application. The results are promising when compared with well-known algorithms.

Computational models of filtration gas combustion

2017 ◽  
Vol 32 (2) ◽  
Author(s):  
Yuri M. Laevsky ◽  
Tatyana A. Nosova
Keyword(s):  
Heat Flow ◽  
Numerical Experiments ◽  
Computational Models ◽  
Two Dimensional ◽  
Multidimensional Model ◽  
Gas Combustion ◽  
Total Enthalpy ◽  
Diffusive Flow ◽  
Temperature Heat ◽  
The One

AbstractA multidimensional model of filtration gas combustion is presented. The model is based on the system of conservation laws of ‘temperature – heat flow’, ‘mass–diffusive flow’ types with introducing the concept of total enthalpy flow. Results of numerical experiments are presented for the one- and two-dimensional problems for different conditions and parameters.

scholarly journals Numerical Valuation of American Basket Options via Partial Differential Complementarity Problems

Mathematics ◽  
2021 ◽  
Vol 9 (13) ◽  
pp. 1498
Author(s):  
Karel J. in’t Hout ◽  
Jacob Snoeijer
Keyword(s):  
Principal Component Analysis ◽  
Numerical Experiments ◽  
Complementarity Problems ◽  
Principal Component ◽  
Partial Differential ◽  
Basket Options ◽  
Basket Option ◽  
Option Values ◽  
Convergence Behaviour ◽  
Low Dimensional

We study the principal component analysis based approach introduced by Reisinger and Wittum (2007) and the comonotonic approach considered by Hanbali and Linders (2019) for the approximation of American basket option values via multidimensional partial differential complementarity problems (PDCPs). Both approximation approaches require the solution of just a limited number of low-dimensional PDCPs. It is demonstrated by ample numerical experiments that they define approximations that lie close to each other. Next, an efficient discretisation of the pertinent PDCPs is presented that leads to a favourable convergence behaviour.

Critical Value-Based Power Options Pricing Problems in Uncertain Financial Markets

2021 ◽  
pp. 2150002
Author(s):  
Guimin Yang ◽  
Yuanguo Zhu
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Numerical Experiments ◽  
Critical Value ◽  
The Other ◽  
Options Pricing ◽  
Underlying Asset ◽  
Pricing Problems ◽  
Fractional Differential ◽  
The One

Compared with investing an ordinary options, investing the power options may possibly yield greater returns. On the one hand, the power option is the best choice for those who want to maximize the leverage of the underlying market movements. On the other hand, power options can also prevent the financial market changes caused by the sharp fluctuations of the underlying assets. In this paper, we investigate the power option pricing problem in which the price of the underlying asset follows the Ornstein–Uhlenbeck type of model involving an uncertain fractional differential equation. Based on critical value criterion, the pricing formulas of European power options are derived. Finally, some numerical experiments are performed to illustrate the results.

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