Journal of Optimization Theory and Applications最新文献

In this paper, we first present necessary and sufficient conditions for the existence of global error bounds for a convex function without additional conditions on the function or the solution set. In particular, we obtain characterizations of such global error bounds in Euclidean spaces, which are often simple to check. Second, we prove that under a suitable assumption the subdifferential of the supremum function of an arbitrary family of convex continuous functions coincides with the convex hull of the subdifferentials of functions corresponding to the active indices at given points. As applications, we study the existence of global error bounds for infinite systems of linear and convex inequalities. Several examples are provided as well to explain the advantages of our results with existing ones in the literature.

This paper is concerned with recovering the solution of a final value problem associated with a parabolic equation involving a non linear source and a non-local term, which to the best of our knowledge has not been studied earlier. It is shown that the considered problem is ill-posed, and thus, some regularization method has to be employed in order to obtain stable approximations. In this regard, we obtain regularized approximations by solving some non linear integral equations which is derived by considering a truncated version of the Fourier expansion of the sought solution. Under different Gevrey smoothness assumptions on the exact solution, we provide parameter choice strategies and obtain the error estimates. A key tool in deriving such estimates is a version of Grönwalls’ inequality for iterated integrals, which perhaps, is proposed and analysed for the first time.

This paper studies constrained Markov decision processes under the total expected discounted cost optimality criterion, with a state-action dependent discount factor that may take any value between zero and one. Both the state and the action space are assumed to be Borel spaces. By using the linear programming approach, consisting in stating the control problem as a linear problem on a set of occupation measures, we show the existence of an optimal stationary Markov policy. Our results are based on the study of both weak-strong topologies in the space of occupation measures and Young measures in the space of Markov policies.

In this paper, we consider a class of second-order ordinary differential equations with Hessian-driven damping and Tikhonov regularization, which arises from the minimization of a smooth convex function in Hilbert spaces. Inspired by Attouch et al. (J Differ Equ 261:5734–5783, 2016), we establish that the function value along the solution trajectory converges to the optimal value, and prove that the convergence rate can be as fast as (o(1/t^2)). By constructing proper energy function, we prove that the trajectory strongly converges to a minimizer of the objective function of minimum norm. Moreover, we propose a gradient-based optimization algorithm based on numerical discretization, and demonstrate its effectiveness in numerical experiments.

This paper presents modified memoryless quasi-Newton methods based on the spectral-scaling Broyden family on Riemannian manifolds. The method involves adding one parameter to the search direction of the memoryless self-scaling Broyden family on the manifold. Moreover, it uses a general map instead of vector transport. This idea has already been proposed within a general framework of Riemannian conjugate gradient methods where one can use vector transport, scaled vector transport, or an inverse retraction. We show that the search direction satisfies the sufficient descent condition under some assumptions on the parameters. In addition, we show global convergence of the proposed method under the Wolfe conditions. We numerically compare it with existing methods, including Riemannian conjugate gradient methods and the memoryless spectral-scaling Broyden family. The numerical results indicate that the proposed method with the BFGS formula is suitable for solving an off-diagonal cost function minimization problem on an oblique manifold.

In the paper, we consider both finite-dimensional and infinite-dimensional optimization problems with inclusion-type and equality-type constraints. We obtain sufficient conditions for the stability in the weak topology of a solution to this problem with respect to small perturbations of the problem parameters. In the finite-dimensional case, conditions for the stability in the strong topology of the solution are obtained for the problem with equality-type constraints. These conditions are based on a certain implicit function theorem.

In this paper, we present a novel concept of the Fenchel conjugate for set-valued mappings and investigate its properties in finite and infinite dimensions. After establishing some fundamental properties of the Fenchel conjugate for set-valued mappings, we derive its main calculus rules in various settings. Our approach is geometric and draws inspiration from the successful application of this method by B.S. Mordukhovich and coauthors in variational and convex analysis. Subsequently, we demonstrate that our new findings for the Fenchel conjugate of set-valued mappings can be utilized to obtain many old and new calculus rules of convex generalized differentiation in both finite and infinite dimensions.

In this paper, we study a robust optimization problem whose constraints include nonsmooth and nonconvex functions and the intersection of closed sets. Using advanced variational analysis tools, we first provide necessary conditions for the optimality of the robust optimization problem. We then establish sufficient conditions for the optimality of the considered problem under the assumption of generalized convexity. In addition, we present a dual problem to the primal robust optimization problem and examine duality relations.

In this paper, we study the optimal research and development (R &D) investment problem under the framework of real options in a regime-switching environment. We assume that the firm has an R &D project whose input process with technical uncertainty is affected by different regimes. By the method of dynamic programming, we have obtained the related Hamilton–Jacobi–Bellman (HJB) equation and solved it in three different cases. Then, the optimal solution for our model is constructed and the related verification theorem is also provided. Finally, some numerical examples are given to investigate the properties of our model.

In this paper, we focus on a class of horizontal tensor complementarity problems (HTCPs). By introducing the block representative tensor, we show that finding a solution of HTCP is equivalent to finding a nonnegative solution of a related tensor equation. We establish the theory of the existence and uniqueness of solution of HTCPs under the proper assumptions. In particular, in the case of the concerned block representative tensor possessing the strong M-property, we propose an algorithm to solve HTCPs by efficiently exploiting the beneficial properties of block representative tensor, and show that the iterative sequence generated by the algorithm is monotone decreasing and converges to a solution of HTCPs. The final numerical experiments verify the correctness of the theory in this paper and show the effectiveness of the proposed algorithm.