Fixed-point Iteration Research Articles

Optimal investment and reinsurance to reach a bequest goal with random time solvency regulation

ABSTRACT This paper studies optimal investment and proportional reinsurance policies for an insurer with Markov regime-switching model and random time solvency regulation. The goal of the insurer is to maximise the probability that its wealth exceeds a predetermined level l before the regulatory time arrives. By constructing an auxiliary control problem without regime switching, together with the classical results on Hamilton-Jacobi-Bellman (HJB) equation and fixed-point method, we prove the regularity of the value function. When the current state of the Markov chain is given, we found that the optimal policies for an insurer in a multiple-regime market is the same as those in a single-regime market. Explicit optimal policies can be derived when the premium is calculated by the expectation principle. For more general cases, numerical schemes for value functions and feedback optimal policies are given by the Markov chain approximating method.

Weak and Strong Convergence of Split Douglas-Rachford Algorithms for Monotone Inclusions

We are concerned in this paper with the convergence analysis of the primal-dual splitting (PDS) and the split Douglas-Rachford (SDR) algorithms for monotone inclusions by using an operator-oriented approach. We shall show that both PDS and SDR algorithms can be driven by a (firmly) nonexpansive mapping in a product Hilbert space. We are then able to apply the Krasnoselskii-Mann and Halpern fixed point algorithms to PDS and SDR to get weakly and strongly convergent algorithms for finding solutions of the primal and dual monotone inclusions. Moreover, an additional projection technique is used to derive strong convergence of a modified SDR algorithm.

A new inexact fixed point iteration method for solving tensor absolute value equation

The main purpose of this paper is to solve tensor absolute value equation by using preconditioned techniques and the inexact fixed point iteration method. For an existing preconditioner, we present a new inexact fixed point iteration method for solving tensor absolute value equation. Theoretically, we give the convergence of the proposed method. Numerically, we show the efficiency of the proposed method by two numerical examples.

Instantaneous Frequency Extraction for Nonstationary Signals via a Squeezing Operator with a Fixed-Point Iteration Method

Instantaneous Frequency Extraction for Nonstationary Signals via a Squeezing Operator with a Fixed-Point Iteration Method

The Stability of Multi-Coefficients Pexider Additive Functional Inequalities in Banach Spaces

The Hyers–Ulam stability of multi-coefficients Pexider additive functional inequalities in Banach spaces is investigated. In order to do this, the fixed point method and the direct method are used.

Analysis on nonlinear differential equation with a deviating argument via Faedo–Galerkin method

This article focuses on the impulsive fractional differential equation (FDE) of Sobolev type with a nonlocal condition. Existence and uniqueness of the approximations are determined via analytic semigroup and fixed point method. Convergence’s approximation is demonstrated by the idea of fractional power of a closed linear operator. Using an approximation procedure, a novel approach is reached. An illustration is used to clarify our key findings.

On a class of evolution problems driven by maximal monotone operators with integral perturbation

The present paper is dedicated to the study of a first-order differential inclusion driven by time and state-dependent maximal monotone operators with integral perturbation, in the context of Hilbert spaces. Based on a fixed point method, we derive a new existence theorem for this class of differential inclusions. Then, we investigate an optimal control problem subject to such a class, by considering control maps acting in the state of the operators and the integral perturbation.

Simplified Algorithm for the Worldvolume HMC and the Generalized Thimble HMC

Abstract The Worldvolume Hybrid Monte Carlo method (WV-HMC method) is a reliable and versatile algorithm towards solving the sign problem. Like the tempered Lefschetz thimble method, this method removes the ergodicity problem inherent in algorithms based on Lefschetz thimbles. In addition to this advantage, the WV-HMC method significantly reduces the computational cost because one need not compute the Jacobian of deformation in generating configurations. A crucial step in this method is the RATTLE algorithm, where the Newton method is used at each molecular dynamics step to project a transported configuration onto a submanifold (worldvolume) in the complex space. In this paper, we simplify the RATTLE algorithm by employing a simplified Newton method (the fixed-point method) along with iterative solvers for orthogonal decompositions of vectors, and show that this algorithm further reduces the computational cost. We also apply this algorithm to the HMC algorithm for the generalized thimble method (GT-HMC method). We perform a numerical test for the convergence of the simplified RATTLE algorithm, and show that the convergence depends on the system size only weakly. The application of this simplified algorithm to various models will be reported in subsequent papers.

Multi-consensus decentralized primal-dual fixed point algorithm for distributed learning

Multi-consensus decentralized primal-dual fixed point algorithm for distributed learning

FreeGSNKE: A Python-based dynamic free-boundary toroidal plasma equilibrium solver

We present a Python-based numerical solver for the two-dimensional dynamic plasma equilibrium problem. We model the time evolution of toroidally symmetric free-boundary tokamak plasma equilibria in the presence of the non-linear magnetohydrodynamic coupling with both currents in the “active” poloidal field coils, with assigned applied voltages, and eddy currents in the tokamak passive structures. FreeGSNKE (FreeGS Newton–Krylov Evolutive) builds and expands on the framework provided by the Python package FreeGS (Free boundary Grad–Shafranov). FreeGS solves the static free-boundary Grad–Shafranov (GS) problem, discretized in space using finite differences, by means of Picard iterations. FreeGSNKE introduces: (i) a solver for the static free-boundary GS problem based on the Newton–Krylov (NK) method, with improved stability and convergence properties; (ii) a solver for the linearized dynamic plasma equilibrium problem; and (iii) a solver for the non-linear dynamic problem, based on the NK method. We propose a novel “staggered” solution strategy for the non-linear problem, in which we make use of a set of equivalent formulations of the non-linear dynamic problem we derive. The alternation of NK solution steps in the currents and in the plasma flux lends this strategy an increased resilience to co-linearity and stagnation problems, resulting in favorable convergence properties. FreeGSNKE can be used for any user-defined tokamak geometry and coil configuration. FreeGSNKE's flexibility and ease of use make it a suitably robust control-oriented simulator of plasma magnetic equilibria. FreeGSNKE is entirely written in Python and easily interfaced with Python libraries, which facilitates machine learning based approaches to plasma control.

Simulation of Drying‐Rewetting Processes in Numerical Groundwater Models Using a New Picard Iteration‐Based Method

AbstractWhen simulating groundwater flow in unconfined and convertible aquifers using a groundwater model with the block‐centered finite‐difference approach, such as MODFLOW, it frequently encounters drying and rewetting of cells. Although many drying and rewetting simulation methods have been proposed in the past, balancing simulation accuracy and convergence capability all at once is difficult. MODFLOW‐2005, which has second‐order accuracy, employs a trial‐and‐error method, but it suffers from computational instability when large quantities of grid cells are dried. MODFLOW‐NWT adopts the upstream‐weighting approach and Newton iteration method to ensure the stability of the drying and rewetting simulations. However, the upstream‐weighting approach has only first‐order accuracy, and the Newton iteration method is complex to implement because it necessitates the establishment of an additional Jacobian matrix. The methods employed by MODFLOW‐NWT are also available in MODFLOW 6, therefore it inherits both the strengths and weaknesses of MODFLOW‐NWT. In this study, a new method, Picard iteration‐based always active cell (PAAC), is proposed. Similar to MODFLOW‐NWT, the PAAC method also uses dry cells as active cells. The PAAC method, however, does not use the upstream‐weighting approach and has second‐order accuracy. Moreover, it ensures good convergence stability even under the Picard iteration method. In addition to discussing the algorithm, five cases were used to comprehensively compare the simulation effects of the PAAC method with MODFLOW‐2005 and MODFLOW‐NWT, including an analytical solution, repeated drying‐rewetting of multi‐layer grids, pumping well problem, perched aquifer problem and a nearly dry single‐layer grid, which verified the practicability of the PACC method.

Characterisation and mathematical modelling of nonlinear mechanical behaviour of 3D printed short carbon fibre reinforced composites

Short carbon fibre reinforced plastic composites (SCFRP) that can be used in 3D printing exhibit excellent properties such as high specific strength and modulus, fatigue resistance, and efficient production at a lower cost. However, in the process of 3D printing, short carbon fibres tend to be distributed along the axial direction of the printed filament when they flow in the nozzle, leading to anisotropy and dispersity at the macro level. This brings difficulties to the design and application of materials. This paper developed a novel fix point iteration method based on classical laminate theory and Euler's integral method to accurate predict the nonlinear mechanical behaviour of SCFRP and verified via experiments. Results showed that the predicted curve and experimental data were in excellent agreement with only a 5 % error for 0°/90° laminate under uniaxial tensile loading. The accuracy of strength prediction for the -45°/45° laminate was improved and stabilised with the introduction of the fix point iteration method. These findings provide a useful framework for predicting the mechanical properties of the short fibre reinforced composited prepared by 3D printing.

The essentials of the finite element method to solve differential equations: an illustrative case in physics

Here we review the basic steps of the modern and accurate finite element method in its application to solve ordinary differential equations in physics. To exemplify this well-in-vogue numerical technique, we have chosen the second order Poisson-Boltzmann equation, which is a classic equation of colloid science. Aiming to formulate a viable, but didactic, implementation of the finite element technique, we have combined a linear basis of functions, the Galerkin weighted residuals method, the Swartz-Wendroff approximation and the Picard iteration algorithm. In summary, the finite element method transforms a differential equation into a simpler system of algebraic equations for the coefficients of the approximate solution in terms of a set of basis functions. We describe the full computational realisation of the finite element procedure and, also, we examine the corresponding Poisson-Boltzmann numerical predictions for various representative conditions.

Numerical analysis of 3D nonplanar hydraulic fracture propagation in fractured-vuggy formations using a hydromechanical coupled XFEM approach

In this paper, a hydromechanical coupled XFEM approach is developed for simulating 3D nonplanar hydraulic fracturing, fracture–vug interactions and natural crack intersection problems. The extended finite element method associated with a high-order tip enrichment function is used for describing rock deformation, and the finite element method is chosen for discretizing fluid flow at the fracture surface. Rock deformation and fluid flow are coupled and solved by the Picard iteration method. The hybrid explicit–implicit representation method is adopted to represent 3D nonplanar fracture surfaces, and the displacement correlation method is chosen for extracting the mixed-mode stress intensity factor. A new mixed-mode failure criterion is introduced for determining 3D nonplanar fracture growth. Analytical solutions and experimental investigations are employed to verify the validity and effectiveness of our model. The simulations of fracture–vug interactions show that fracture surface growth on the side without vugs is constrained, while vugs can aggravate the tortuousness of the fracture surface on the side with vugs. In addition, four new intersection patterns (penetration, partial arrest, partial diversion, full arrest, and vertical propagation) are found in the 3D nonplanar fracture intersection simulations. The numerical examples highlight the considerable impacts of vertical growth and the mixed-mode effect on hydraulic fracturing.

Existence of strong solutions for one-dimensional reflected mixed stochastic delay differential equations

Abstract Relying on the pathwise uniqueness property, we prove existence of the strong solution of a one-dimensional reflected stochastic delay equation driven by a mixture of independent Brownian and fractional Brownian motions. The difficulty is that on the one hand we cannot use the fixed-point and contraction mapping methods because of the stochastic and pathwise integrals, and on the other hand the non-continuity of the Skorokhod map with respect to the norms considered.

Fixed Point Label Attribution for Real-Time Bidding

Problem definition: Most of the display advertising inventory is sold through real-time auctions. The participants of these auctions are typically bidders (Google, Criteo, RTB House, and Trade Desk for instance) that participate on behalf of advertisers. In order to estimate the value of each display opportunity, they usually train advanced machine learning algorithms using historical data. In the labeled training set, the inputs are vectors of features representing each display opportunity, and the labels are the generated rewards. In practice, the rewards are given by the advertiser and are tied to whether a particular user converts. Consequently, the rewards are aggregated at the user level and never observed at the display level. A fundamental task that has, to the best of our knowledge, been overlooked is to account for this mismatch and split, or attribute, the rewards at the right granularity level before training a learning algorithm. We call this the label attribution problem. Methodology/results: In this paper, we develop an approach to the label attribution problem, which is both theoretically justified and practical. In particular, we develop a fixed point algorithm that allows for large-scale implementation and showcase our solution using a large-scale publicly available data set from Criteo, a large demand-side platform. We dub our approach the fixed point label attribution algorithm. Managerial implications: There is often a hidden leap of faith when transforming the advertiser’s signal into display labeling. Demand Side Platforms providers should be careful when building their machine learning pipeline and carefully solve the label attribution step.

Explicit Formulas for Optimum Parameters of Viscoelastic-type Tuned Mass Dampers

Tuned mass dampers (TMDs) are passive vibration control devices that are attached to a primary system to reduce the dynamic vibrations under exciting motion. The Voigt-type TMD, which is the most widely used one, is known as a standard model of dynamic vibration absorber (DVA). The purpose of this study is to improve the vibration control performance of passive control devices by using viscoelastic-type tuned mass dampers (V-TMDs). The study adopts the Zener model to represent the viscoelastic behavior of V-TMD. In this study, the fixed-point method is used to determine the optimum parameters of a V-TMD. The displacement amplification factor (DAF) of the coupled system is obtained in the frequency domain. The optimal parameters of the V-TMD system attached to an undamped single degree-of-freedom (sdof) main system are obtained by minimizing the DAF (symbolized with 𝛽) under the effect of base excitation. The optimum parameters, such as damping ratio (ξ) and stiffness ratio (𝜅) of the coupled system are derived, and explicit expressions corresponding to the optimum parameters are presented for engineering designs. Moreover, the change in DAF values for different mass ratios (µ) is also discussed. It is proven that V-TMD is very effective in reducing the amplitudes of vibration. The study also provides valuable insights for engineering practitioners who want to design and implement V-TMDs for vibration control applications because accurate expressions, which are simple and easy to use, are derived in order to obtain optimum parameters, and step-by-step procedures are explained.

The steady states of antitone electric systems

The steady states of an antitone electric system are described by an antitone function with respect to the componentwise order. When this function is bounded from below by a positive vector, it has only one fixed point. This fixed point is attractive for the fixed point iteration method. In the general case, we find existence and uniqueness results of fixed points using the set of ‐matrices.

Proper generalized decomposition-based iterative enrichment process combined with shooting method for steady-state forced response analysis of nonlinear dynamical systems

This paper presents a novel framework combining proper generalized decomposition (PGD) with the shooting method to determine the steady-state response of nonlinear dynamical systems upon a general periodic input. The proposed PGD approximates the response as a low-rank separated representation of the spatial and temporal dimensions. The Galerkin projection is employed to formulate the subproblem for each dimension, then the fixed-point iteration is applied. The subproblem for the spatial vector can be regarded as computing a set of reduced-order basis vectors, and the shooting problem projected onto the subspace spanned by these basis vectors is defined to obtain the temporal coefficients. From this procedure, the proposed framework replaces the complex nonlinear time integration of the full-order model with the series of solving simple iterative subproblems. The proposed framework is validated through two descriptive numerical examples considering the conventional linear normal mode method for comparison. The results show that the proposed shooting method based on PGD can accurately capture nonlinear characteristics within 10 modes, whereas linear modes cannot easily approximate these behaviors. In terms of computational efficiency, the proposed method enables CPU time savings of about one order of magnitude compared with the conventional shooting methods.

Green's Function for Laminar Flow in Channels With Porous Walls in the Presence of a Transverse Magnetic Field

Abstract Despite the significant and ongoing interest in Green's functions from scientists, engineers, and mathematicians, the area remains underdeveloped with respect to understanding problems from laminar fluid flow and magnetohydrodynamics (MHD) in porous media. The purpose of this paper is to partially address this gap by constructing a new and explicit representation of the Green's function for a boundary value problem that is derived from laminar flow in channels with porous walls in the presence of a transverse magnetic field. We discuss some interesting consequences of our constructed Green's function, including: the establishment of an equivalent integral equation; and the generation of new information regarding solutions to our boundary value problem. We discover that, for any given transverse magnetic field, our laminar flow problem has a unique solution in a particular location provided the Reynolds number is sufficiently small, and that the solution may be approximated by Picard iterations.