Finite-dimensional Optimization Problem Research Articles

Robustifying Conditional Portfolio Decisions via Optimal Transport

We propose a data-driven portfolio selection model that integrates side information, conditional estimation, and robustness using the framework of distributionally robust optimization. Conditioning on the observed side information, the portfolio manager solves an allocation problem that minimizes the worst-case conditional risk-return tradeoff, subject to all possible perturbations of the covariate-return probability distribution in an optimal transport ambiguity set. Despite the nonlinearity of the objective function in the probability measure, we show that the distributionally robust portfolio allocation with a side information problem can be reformulated as a finite-dimensional optimization problem. If portfolio decisions are made based on either the mean-variance or the mean-conditional value-at-risk criterion, the reformulation can be further simplified to second-order or semidefinite cone programs. Empirical studies in the U.S. equity market demonstrate the advantage of our integrative framework against other benchmarks. Funding: The material in this paper is based on work supported by the Air Force Office of Scientific Research [Award FA9550-20-1-0397]. Additional support is gratefully acknowledged from the National Science Foundation [Grants 1915967, 1820942, and 1838676], the Natural Sciences and Engineering Research Council of Canada [Grant RGPIN-2016-05208], and the China Merchant Bank. V. A. Nguyen gratefully acknowledges the generous support from the Chinese University of Hong Kong [Improvement on Competitiveness in Hiring New Faculties Funding Scheme] and the Chinese University of Hong Kong [Direct Grant 4055191]. S. Wang is partially supported by the National Natural Science Foundation of China [Grant 72371022]. Finally, this research was enabled in part by support provided by Compute Canada. Supplemental Material: The computer code and data that support the findings of this study and the online appendix are available within this article’s supplemental material at https://doi.org/10.1287/opre.2021.0243 .

Deterministic scenarios guided [formula omitted]-Adaptability in multistage robust optimization for energy management and cleaning scheduling of heat transfer process

The heat transfer process is of paramount importance for energy management and heat recovery, but the inevitable uncertain fouling poses significant challenges to sustainable energy-saving efforts. This study aims to solve the energy management and cleaning scheduling problems under fouling uncertainty. To achieve this, a novel multistage Robust Optimization (RO) method based on the Deterministic Scenarios Guided K-Adaptability (DSGKA) strategy is proposed. The process scheduling problem is initially tackled through long-period Mixed Integer Optimal Control Problems (MIOCPs) with deterministic scenarios. Subsequently, considering the slow transition characteristics of energy efficiency degradation caused by fouling, the candidate paths generation algorithm guided by deterministic MIOCPs is developed. Additionally, the K-Adaptability method is employed to segment decision-dependent uncertainty sets into finite partitions, facilitating the resolution of the multistage RO problem through worst-case analysis. In theory, the rationality of the proposed guidance algorithm is established. Simulation results on a heat exchanger network are also provided to demonstrate the effectiveness of the DSGKA scheme. By transforming the original multistage RO problem into a finite-dimensional optimization problem solvable with intelligent heuristic algorithms, the proposed method adeptly manages nonlinearity in constraint equations, thereby improving its applicability for equipment maintenance scheduling across various slow transition industrial processes.

Robust support function machines for set-valued data classification

Support function machines (SFMs) have been proposed to handle set-valued data, but they are sensitive to outliers and unstable for re-sampling due to the use of the hinge loss function. To address these problems, we propose a robust SFM model with proximity functions. We first define a family of proximity functions that are used to convert set-valued data into continuous functions in a Banach space, and then we use the margin maximization in a Banach space to construct the pinball SFMs (PinSFMs). We study some properties of the proposed model, and it is interesting to observe that the optimal measure of the proposed model has a specific representation under the total variation norm. Using the representation of the optimal measure, we convert an infinite-dimensional optimization problem into a finite-dimensional optimization problem. Unlike SFMs, we employ a sampling strategy to tackle the finite-dimensional optimization problem. We theoretically show that the sparse solution determines the sparsity of the sampling points though the sampling strategy causes uncertainty for the sampling points. In addition, we achieve kernel versions of proximity functions, and the attractive property of this kernelization is that the proposed model is convex even if indefinite kernels are employed. Experiments on a series of data sets are performed to demonstrate that the proposed model is superior to some existing models in the presence of outliers.

Pricing European call options with interval-valued volatility and interest rate

We propose a novel approach to pricing European call options when both of the volatility of the underlying asset and interest are uncertain. In this approach, we formulate the option pricing problem with uncertain parameters as a partial-differential inequality constrained interval optimization problem. An interior penalty method is then developed for the numerical solution of the finite-dimensional optimization problem arising from the discretization of the continuous pricing problem by a finite difference scheme. A convergence theory for the penalty method is established. An algorithm based on Newton's iterative method is also proposed for solving the penalty equation. Numerical results are presented to demonstrate the effectiveness and usefulness of this approach and the numerical methods.

Worst-case risk with unspecified risk preferences

In this paper, we study the worst-case distortion risk measure for a given risk when information about distortion functions is partially available. We obtain the explicit forms of the worst-case distortion functions for several different sets of plausible distortion functions. When there is no concavity constraint on distortion functions, the worst-case distortion function is independent of the risk to be measured and the corresponding worst-case distortion risk measure is the weighted average of the VaR's of the risk for all decision makers. When the concavity constraint is imposed on distortion functions and the set of concave distortion functions is defined by the riskiness of one single risk, the explicit form of the worst-case distortion function is obtained, which depends the risk to be measured. When the set of concave distortion functions is defined by the riskiness of multiple risks, we reduce the infinite-dimensional optimization problem to a finite-dimensional optimization problem which can be solved numerically. Finally, we apply the worst-case risk measure to optimal decision making in reinsurance.

Shape optimization for the Stokes system with threshold leak boundary conditions

This paper discusses the process of optimizing the shape of systems that are controlled by the Stokes flow with threshold leak boundary conditions. In the theoretical part it focuses on studying the stability of solutions to the state problem in relation to a specific set of domains. In order to facilitate computation, the slip term and impermeability condition are regulated. In the computational part, the optimized portion of the boundary is defined using Bézier polynomials, in order to create a finite dimensional optimization problem. The paper also includes numerical examples to demonstrate the computational efficiency of this approach.

A robust optimal control framework for controlling aberrant RTK signaling pathways in esophageal cancer.

This study presents a new framework for obtaining personalized optimal treatment strategies targeting aberrant signaling pathways in esophageal cancer, such as the epidermal growth factor (EGF) and vascular endothelial growth factor (VEGF) signaling pathways. A new pharmacokinetic model is developed taking into account specific heterogeneities of these signaling mechanisms. The optimal therapies are designed to be obtained using a three step process. First, a finite-dimensional constrained optimization problem is solved to obtain the parameters of the pharmacokinetic model, using discrete patient data measurements. Next, a sensitivity analysis is carried out to determine which of the parameters are sensitive to the evolution of the variants of EGF receptors and VEGF receptors. Finally, a second optimal control problem is solved based on the sensitivity analysis results, using a modified pharmacokinetic model that incorporates two representative drugs Trastuzumab and Bevacizumab, targeting EGF and VEGF, respectively. Numerical results with the combination of the two drugs demonstrate the efficiency of the proposed framework.

Sequential adaptive switching time optimization technique for maximum hands-off control problems

<abstract><p>In this paper, we consider maximum hands-off control problem governed by a nonlinear dynamical system, where the maximum hands-off control constraint is characterized by an $ L^{0} $ norm. For this problem, we first approximate the $ L^{0} $ norm constraint by a $ L^{1} $ norm constraint. Then, the control parameterization together with sequential adaptive switching time optimization technique is proposed to approximate the optimal control problem by a sequence of finite-dimensional optimization problems. Furthermore, a smoothing technique is exploited to approximate the non-smooth maximum operator and an error analysis is investigated for this approximation. The gradients of the cost functional with respect to the decision variables in the approximate problem are derived. On the basis of these results, we develop a gradient-based optimization algorithm to solve the resulting optimization problem. Finally, an example is solved to demonstrate the effectiveness of the proposed algorithm.</p></abstract>

Optimization over the Pareto front of nonconvex multi-objective optimal control problems

Simultaneous optimization of multiple objective functions results in a set of trade-off, or Pareto, solutions. Choosing a, in some sense, best solution in this set is in general a challenging task: In the case of three or more objectives the Pareto front is usually difficult to view, if not impossible, and even in the case of just two objectives constructing the whole Pareto front so as to visually inspect it might be very costly. Therefore, optimization over the Pareto (or efficient) set has been an active area of research. Although there is a wealth of literature involving finite dimensional optimization problems in this area, there is a lack of problem formulation and numerical methods for optimal control problems, except for the convex case. In this paper, we formulate the problem of optimizing over the Pareto front of nonconvex constrained and time-delayed optimal control problems as a bi-level optimization problem. Motivated by existing solution differentiability results, we propose an algorithm incorporating (i) the Chebyshev scalarization, (ii) a concept of the essential interval of weights, and (iii) the simple but effective bisection method, for optimal control problems with two objectives. We illustrate the working of the algorithm on two example problems involving an electric circuit and treatment of tuberculosis and discuss future lines of research for new computational methods.

Group sparse optimization for inpainting of random fields on the sphere

Abstract We propose a group sparse optimization model for inpainting of a square-integrable isotropic random field on the unit sphere, where the field is represented by spherical harmonics with random complex coefficients. In the proposed optimization model, the variable is an infinite-dimensional complex vector and the objective function is a real-valued function defined by a hybrid of the $\ell _2$ norm and non-Lipschitz $\ell _p (0<p<1)$ norm that preserves rotational invariance property and group structure of the random complex coefficients. We show that the infinite-dimensional optimization problem is equivalent to a convexly-constrained finite-dimensional optimization problem. Moreover, we propose a smoothing penalty algorithm to solve the finite-dimensional problem via unconstrained optimization problems. We provide an approximation error bound of the inpainted random field defined by a scaled Karush–Kuhn–Tucker (KKT) point of the constrained optimization problem in the square-integrable space on the sphere with probability measure. Finally, we conduct numerical experiments on band-limited random fields on the sphere and images from Cosmic Microwave Background (CMB) data to show the promising performance of the smoothing penalty algorithm for inpainting of random fields on the sphere.

Robust optimal control of nonlinear fractional systems

Parameter uncertainty is inevitably found in almost every system and, if is ignored, it could jeopardize the effectiveness of control method. Motivated by this issue, we consider a robust optimal control problem governed by a nonlinear fractional system with uncertain parameters, where the system sensitivity with respect to the uncertain parameters is explicitly included in the cost functional. For this problem, we first prove that the system sensitivity can be expressed as the solution of an auxiliary fractional system. Then, we propose a numerical scheme for discretizing both the original and auxiliary fractional systems, resulting in a finite-dimensional optimization problem. Furthermore, a numerical solution algorithm based on gradients of the cost functional is developed for the resulting optimization problem. Finally, numerical results for two example problems are given to demonstrate the validity and applicability of the proposed algorithm.

A computationally efficient sequential convex programming using Chebyshev collocation method

This paper aims to develop a computationally efficient sequential convex programming algorithm for a class of nonlinear systems. A Chebyshev collocation discretization (CCD) technique is proposed that transforms the continuous convex optimization problem into a finite-dimensional discrete optimization problem. The CCD technique uses Chebyshev polynomials to construct a closed-form approximate solution to the convex dynamic equation. Moreover, it establishes a linear mapping between the control inputs and the system states. This enables the constraints of the dynamics equations to be externalized from the optimization problem and computed using efficient linear equation solving algorithms. On the one hand, this strategy significantly reduces the number of constraint equations and optimization variables, improving the speed of the optimizer. On the other hand, it preserves the path constraints on the system states in the optimization problem. A numerical simulation example of the perching maneuver for a fixed-wing unmanned aerial vehicle is presented to validate the efficiency of the algorithm. The result shows significant improvements in both speed and accuracy compared to the Euler discretization, and greatly improves the solution speed while maintaining almost the same solution accuracy compared to the Gauss pseudospectral optimization method.

Эволюционные вычисления для решения задачи терминального оптимального управления

The present article considers the problem of numerical solution of the terminal optimal control problem. The general statement of the terminal optimal control problem and a brief overview of its solving methods are presented. With a direct approach and reduction of the optimal control problem to the finite-dimensional optimization problem, the target functional on the space of desired parameters, regardless of the type of approximation of the control function, may not have the unimodal property. Therefore, it is advisable to use evolutionary algorithms to solve the problem. A general approach to solving the terminal optimal control problem of evolutionary computational algorithms is presented. The paper presents a description of some evolutionary algorithms that were selected as the most effective for solving the optimal control problem. A hybrid evolutionary algorithm based on a combination of several evolutionary algorithms is considered. The computational experiment considers the terminal optimal control problems, for which optimal solutions were found by known classical numerical methods that use the gradient of the target functionality when searching. Comparison of the results obtained by classical and evolutionary methods by functional values and computational costs allows us to conclude that evolutionary algorithms are able to effectively solve the terminal optimal control problems

Analysis and design of control systems via parameter‐based approach

Analysis and design of control systems via parameter‐based approach

Machine-Synthesized Control of Nonlinear Dynamic Object Based on Optimal Positioning of Equilibrium Points

When solving an optimal control problem with both direct and indirect approaches, the main technique is to transfer the optimal control problem from the class of infinite-dimensional optimization to a finite-dimensional one. However, with all these approaches, the result is an open-loop program control that is sensitive to uncertainties, and for the implementation of which in a real object it is necessary to build a stabilization system. The introduction of the stabilization system changes the dynamics of the object, which means that the optimal control and the optimal trajectory should be calculated for the object already taking into account the stabilization system. As a result, it turns out that the initial optimal control problem is complex, and often the possibility of solving it is extremely dependent on the type of object and functionality, and if the object becomes more complex due to the introduction of a stabilization system, the complexity of the problem increases significantly and the application of classical approaches to solving the optimal control problem turns out to be time-consuming or impossible. In this paper, a synthesized optimal control method is proposed that implements the designated logic for developing optimal control systems, overcoming the computational complexity of the problem posed through the use of modern machine learning methods based on symbolic regression and evolutionary optimization algorithms. According to the approach, the object stabilization system is first built relative to some point, and then the position of this equilibrium point becomes a control parameter. Thus, it is possible to translate the infinite-dimensional optimization problem into a finite-dimensional optimization problem, namely, the optimal location of equilibrium points. The effectiveness of the approach is demonstrated by solving the problem of optimal control of a mobile robot.

Data-driven optimal control via linear transfer operators: A convex approach

This paper is concerned with the data-driven optimal control of nonlinear systems. We present a convex formulation of the optimal control problem with a discounted cost function. We consider optimal control problems with both positive and negative discount factors. The convex approach relies on lifting nonlinear system dynamics in the space of densities using the linear Perron–Frobenius operator. This lifting leads to an infinite-dimensional convex optimization formulation of the optimal control problem. The data-driven approximation of the optimization problem relies on the approximation of the Koopman operator and its dual: the Perron–Frobenius operator, using a polynomial basis function. We write the approximate finite-dimensional optimization problem as a polynomial optimization which is then solved efficiently using a sum-of-squares-based optimization framework. Simulation results demonstrate the efficacy of the developed data-driven optimal control framework.

Control parameterization approach to time-delay optimal control problems: A survey

<p style='text-indent:20px;'>Control parameterization technique is an effective method to solve optimal control problems. It works by approximating the control function by piece-wise constant (or linear) function. In this way, the optimal control problems are approximated by optimal parameter selection problems, which can be regarded as finite-dimensional optimization problems, where the control heights and switching times of the piece-wise constant function are taken as the decision variables. They can be solved by using gradient-based optimization methods. For this, it requires the gradient formulas of the objective and constraint functions with respect to the decision variables. There are two methods for deriving the required gradient formulas. The aim of this paper is to survey various numerical methods developed based on control parameterization for solving optimal control problems governed by time-delay systems. Particular focus is on those numerical methods for optimizing switching time points. This is because the process of optimizing the switching time points is much more complicated for optimal control problems with time delays. In addition, we shall also review the computational methods developed based on control parameterization technique for solving two optimal control problems involving more complicated time delays.</p>

Distributionally robust reinsurance with expectile

AbstractWe study a distributionally robust reinsurance problem with the risk measure being an expectile and under expected value premium principle. The mean and variance of the ground-up loss are known, but the loss distribution is otherwise unspecified. A minimax problem is formulated with its inner problem being a maximization problem over all distributions with known mean and variance. We show that the inner problem is equivalent to maximizing the problem over three-point distributions, reducing the infinite-dimensional optimization problem to a finite-dimensional optimization problem. The finite-dimensional optimization problem can be solved numerically. Numerical examples are given to study the impacts of the parameters involved.

Multi-objective optimal control of bioconversion process considering system sensitivity and control variation

This paper aims to determine a time-varying dilution rate of the feed medium which maximizes mean productivity while minimizing both system sensitivity and control cost in glycerol continuous culture. A multi-objective optimal control problem subjected to a nonlinear control system and its auxiliary system is proposed and transformed into a finite-dimensional large-scale multi-objective optimization problem via discretization and time-scaling transformation. A multi-objective competitive swarm optimization algorithm is constructed to solve this transformed problem based on pairwise competition, mutation operation and environment selection. The Pareto front obtained shows the distribution of the optimal target value which indicates the rationality and feasibility of the control system under the approximate optimal strategy. Numerical simulations verify the robustness of the optimal control system and the effectiveness of our numerical solution method. The value of IGD shows the good accuracy and distribution of the proposed multi-objective optimization algorithm.

Optimal control of nonlinear systems with integer‐valued control inputs and stochastic constraints

AbstractPractical industrial process is usually a dynamic process including uncertainty. Stochastic constraints can be used for industrial process modeling, when system sate and/or control input constraints cannot be strictly satisfied. Thus, optimal control of nonlinear systems with stochastic constraints can be available to address practical industrial process problems with integer‐valued control inputs. In general, obtaining an analytical solution of this optimal control problem is very difficult due to the discrete nature of the control inputs and the complexity of stochastic constraints. To obtain a numerical solution, this problem is formulated as a finite dimensional static constrained optimization problem. First, the integer‐valued control input is relaxed into a continuous‐valued control input by imposing a penalty term on the objective function. Convergence results show that the relaxed solution obtained is an integer solution as long as the penalty parameter is sufficiently large. In addition, it should be noted that no any constraint is introduced in the novel relaxation technique, which can effectively avoid introducing any extra extreme point for the original optimal control problem. Next, a novel smooth approximation function is used to construct a subset of feasible region for this optimal control problem. It is proved that the smooth approximation can converge uniformly to the stochastic constraints as the adjusting parameter reduces. Following that, a numerical computation method is proposed for solving the original optimal control problem. Finally, in order to illustrate the effectiveness of the proposed method, an electric vehicle energy management problem is extended by considering some stochastic constraints. The numerical results show that the proposed method is less conservative compared with the existing typical approaches and can obtain a stable and robust performance when considering the initial condition small perturbations.