Applied Mathematics Commons^™

Optimal Control Of Delayed Differential-Algebraic Inclusions, Boris S. Mordukhovich, Lianwen Wang

Mathematics Research Reports

This paper concerns constrained dynamic optimization problems governed by delayed differential-algebraic systems. Dynamic constraints in such systems, which are particularly important for engineering applications, are described by interconnected delay-differential inclusions and algebraic equations. We pursue a two-hold goal: to study variational stability of such control systems with respect to discrete approximations and to derive necessary optimality conditions for both delayed differential-algebraic systems and their finite-difference counterparts using modern tools of variational analysis and generalized differentiation. We are not familiar with any results in these directions for differential-algebraic inclusions even in the delay-free case. In the first part of the paper …

The Approximate Maxium Principle In Constrained Optimal Control, Boris S. Mordukhovich, Ilya Shvartsman

Mathematics Research Reports

The paper concerns optimal control problems for dynamic systems governed by a parametric family of discrete approximations of control systems with continuous time. Discrete approximations play an important role in both qualitative and numerical aspects of optimal control and occupy an intermediate position between discrete-time and continuous-time control systems. The central result in optimal control of discrete approximations is the Approximate Maximum Principle (AMP), which is justified for smooth control problems with endpoint constraints under certain assumptions without imposing any convexity, in contrast to discrete systems with a fixed step. We show that these assumptions are essential for the validity …

Optimization And Feedback Control Of Constrained Parabolic Systems Under Uncertain Perturbations, Boris S. Mordukhovich, Ilya Shvartsman

Mathematics Research Reports

This paper concerns a minimax control design problem for a class of parabolic systems with nonregular boundary conditions and uncertain distributed perturbations under pointwise control and state constraints. We deal with boundary controllers acting through Dirichlet boundary conditions that are the most challenging for the parabolic dynamics.

Neumann Boundary Control Of Hyperbolic Equations With Pointwise State Constraints, Boris S. Mordukhovich, Jean-Pierre Raymond

Mathematics Research Reports

We consider optimal control problems for hyperbolic systems with controls in Neumann boundary conditions with pointwise (hard) constraints on control and state functions. Focusing on hyperbolic dynamics governed by the multidimensional wave equation with a nonlinear term, we derive new necessary optimality conditions in the pointwise form of the Pontryagin Maximum Principle for the state-constrained problem under consideration. Our approach is based on modern methods of variational analysis that allows us to obtain refined necessary optimality conditions with no convexity assumptions on integrands in the minimizing cost functional.

Dirichlet Boundary Control Of Hyperbolic Equations In The Presence Of State Constraints, Boris S. Mordukhovich, Jean-Pierre Raymond

Mathematics Research Reports

We study optimal control problems for hyperbolic equations (focusing on the multidimensional wave equation) with control functions in the Dirichlet boundary conditions under hard/pointwise control and state constraints. Imposing appropriate convexity assumptions on the cost integral functional, we establish the existence of optimal control and derive new necessary optimality conditions in the integral form of the Pontryagin Maximum Principle for hyperbolic state-constrained systems.

Optimization And Equilibrium Problems With Equilibrium Constraints, Boris S. Mordukhovich

Mathematics Research Reports

The paper concerns optimization and equilibrium problems with the so-called equilibrium constraints (MPEC and EPEC), which frequently appear in applications to operations research. These classes of problems can be naturally unified in the framework of multiobjective optimization with constraints governed by parametric variational systems (generalized equations, variational inequalities, complementarity problems, etc.). We focus on necessary conditions for optimal solutions to MPECs and EPECs under general assumptions in finite-dimensional spaces. Since such problems are intrinsically nonsmooth, we use advanced tools of generalized differentiation to study optimal solutions by methods of modern variational analysis. The general results obtained are concretized for special …

Optimal Control Of Differential-Algebraic Inclusions, Boris S. Mordukhovich, Lianwen Wang

Mathematics Research Reports

No abstract provided.

Natural Superconvergent Points Of Triangular Finite Elements, Zhimin Zhang, Runchang Lin

Mathematics Research Reports

In this work, we analytically identify natural superconvergent points of function values and gradients for triangular elements. Both the Poisson equation and the Laplace equation are discussed for polynomial finite element spaces (with degrees up to 8) under four different mesh patterns. Our results verify computer findings of [2], especially, we confirm that the computed data have 9 digits of accuracy with an exception of one pair (which has 8-7 digits of accuracy). In addition, we demonstrate that the function value superconvergent points predicted by the symmetry theory [14] are the only superconvergent points for the Poisson equation. Finally, we …

Validation Of The A Posteriori Error Estimator Based On Polynomial Preserving Recovery For Linear Elements, Zhimin Zhang, Ahmed Naga

Mathematics Research Reports

In this paper the quality of the error estimator based on the Polynomial Preserving Recovery (PPR) is investigated using the computer-based approach proposed by Babiiska et al. A comparison is made between the error estimator based on the PPR and the one based on the Superconvergence Patch Recovery (SPR). It was found that the PPR is at least as good as the SPR.

Subdifferential And Superdifferential Optimality Conditions In Nonsmooth Minimization, Boris S. Mordukhovich

Mathematics Research Reports

The paper concerns first-order necessary optimality conditions for problems of minimizing nonsmooth functions under various constraints in infinite-dimensional spaces. Based on advanced tools of variational analysis and generalized differential calculus, we derive general results of two independent types called subdifferential and superdifferential optimality conditions. The former ones involve basic/limiting subgradients of cost functions, while the latter conditions are expressed via Frechet superdifferentials provided that they are not empty. All the superdifferential and major subdifferential optimality conditions obtained in the paper are new even in finite dimensions. We give applications of general optimality conditions to mathematical programs with equilibrium constraints.

Pareto Optimal Allocations In Nonconvex Models Of Welfare Economics, Boris S. Mordukhovich

Mathematics Research Reports

The paper is devoted to applications of modern variational analysis to the study of Pareto (as well as weak and strong Pareto) optimal allocations in nonconvex models of welfare economics with infinite-dimensional commodity spaces. Our basic tool is the extremal principle of variational analysis that provides necessary conditions for set extremality and may be viewed as a variational extension of the classical convex separation principle to the case of nonconvex sets. In this way we obtain new versions of the generalized second welfare theorem for nonconvex economies in terms of appropriate concepts of normal cones.

The Cohomology Of The Steendrod Algebra And Representations Of The General Linear Groups, Nguyen H. V. Hu'ng

Mathematics Research Reports

Let Tr_k be the algebraic transfer that maps from the coinvariants of certain GL_k-representation to the cohomology of the Steenrod algebra. This transfer was defined by W. Singer as an algebraic version of the geometrical transfer tr_k : pi_*^S((B[doublestrike V]_k)_+) --> pi_*^S(S^0). It has been shown that the algebraic transfer is highly nontrivial, more precisely, that Tr_k is an isomorphism for k = 1, 2, 3 and that T_r = ⊕_k(Tr_k) is a homomorphism of algebras.

In this paper, we first recognize the phenomenon that if we start from any degree d, and apply Sq^0 repeatedly at most (k- 2) …

Optimal Control Of Neutral Functional-Differential Inclusions, Boris S. Mordukhovich, Lianwen Wang

Mathematics Research Reports

This paper deals with optimal control problems for dynamical systems governed by constrained functional-differential inclusions of neutral type. Such control systems contain time-delays not only in state variables but also in velocity variables, which make them essentially more complicated than delay-differential (or differential-difference) inclusions. Our main goal is to derive necessary optimality conditions for general optimal control problems governed by neutral functional-differential inclusions with endpoint constraints. While some results are available for smooth control systems governed by neutral functional-differential equations, we are not familiar with any results for neutral functional-differential inclusions, even with smooth cost functionals in the absence of …

Impulse Control Of Stochastic Navier-Stokes Equations, J. L. Menaldi, S. S. Sritharan

Mathematics Faculty Research Publications

In this paper we study stopping time and impulse control problems for stochastic Navier-Stokes equation. Exploiting a local monotonicity property of the nonlinearity, we establish existence and uniqueness of strong solutions in two dimensions which gives a Markov-Feller process. The variational inequality associated with the stopping time problem and the quasi-variational inequality associated with the impulse control problem are resolved in a weak sense, using semigroup approach with a convergence uniform over path.

A Posteriori Error Estimates Based On Polynomial Preserving Recovery, Zhimin Zhang, Ahmed Naga

Mathematics Research Reports

Superconvergence of order O(h^1+rho), for some rho is greater than 0, is established for gradients recovered using Polynomial Preserving Recovery technique when the mesh is mildly structured. Consequently this technique can be used in building a posteriori error estimator that is asymptotically exact.

Gradient Recovery And A Posteriori Estimate For Bilinear Element On Irregular Quadrilateral Meshes, Zhimin Zhang

Mathematics Research Reports

A polynomial preserving gradient recovery method is proposed and analyzed for bilinear element under general quadrilateral meshes. It has been proven that the recovered gradient converges at a rate O(h^{1+rho) for rho = min(alpha, 1) when the mesh is distorted O(h1+alpha) (alpha > 0) from a regular one. Consequently, the a posteriori error estimator based on the recovered gradient is asymptotically exact.}

Analysis Of Recovery Type A Posteriori Error Estimators For Mildly Structured Grids, Jinchao Xu, Zhimin Zhang

Mathematics Research Reports

Some recovery type error estimators for linear finite element method are analyzed under O(h^{1+alpha) (alpha greater than 0) regular grids. Superconvergence is established for recovered gradients by three different methods when solving general non-self-adjoint second-order elliptic equations. As a consequence, a posteriori error estimators based on those recovery methods are asymptotically exact.}

A Meshless Gradient Recovery Method Part I: Superconvergence Property, Zhiming Zhang, Ahmed Naga

Mathematics Research Reports

A new gradient recovery method is introduced and analyzed. It is proved that the method is superconvergent for translation invariant finite element spaces of any order. The method maintains the simplicity, efficiency, and superconvergence properties of the Zienkiewicz-Zhu patch recovery method. In addition, under uniform triangular meshes, the method is superconvergent for the Chevron pattern, and ultraconvergence at element edge centers for the regular pattern.

Discrete Maximum Principle For Nonsmooth Optimal Control Problems With Delays, Boris S. Mordukhovich, Ilya Shvartsman

Mathematics Research Reports

We consider optimal control problems for discrete-time systems with delays. The main goal is to derive necessary optimality conditions of the discrete maximum principle type in the case of nonsmooth minimizing functions. We obtain two independent forms of the discrete maximum principle with transversality conditions described in terms of subdifferentials and superdifferentials, respectively. The superdifferential form is new even for non-delayed systems and may be essentially stronger than a more conventional subdifferential form in some situations.

Ultraconvergence Of Zz Patch Recovery At Mesh Symmetry Points, Zhimin Zhang, Runchang Lin

Mathematics Research Reports

Ultraconvergence property of the Zienkiewicz-Zhu gradient patch recovery technique based on local discrete least squares fitting is established for a large class of even-order finite elements. The result is valid at all rectangular mesh symmetry points. Different smoothing strategies are discussed. Superconvergence recovery for the Q8 element is proved and ultraconvergence numerical examples are demonstrated.

Stochastic Hybrid Control, A. Bensoussan, J. L. Menaldi

Mathematics Faculty Research Publications

The objective of this paper is to study the stochastic version of a previous paper of the authors, in which hybrid control for deterministic systems was considered. The modelling is quite similar to the deterministic case. We have a system whose state is composed of a continuous part and a discrete part. They are affected by a continuous type control and an impulse control. The dynamics is moreover perturbed by noise, also a continuous and a discrete noise process. The Markovian character of the state process is preserved. We develop the model and show how the dynamic programming approach leads …

Invariant Measure For Diffusions With Jumps, Jose-Luis Menaldi, Maurice Robin

Mathematics Faculty Research Publications

Our purpose is to study an ergodic linear equation associated to diffusion processes with jumps in the whole space. This integro-differential equation plays a fundamental role in ergodic control problems of second order Markov processes. The key result is to prove the existence and uniqueness of an invariant density function for a jump diffusion, whose lower order coefficients are only Borel measurable. Based on this invariant probability, existence and uniqueness (up to an additive constant) of solutions to the ergodic linear equation are established.

Measurement Of Influence Of The Teacher’S Personality On Students In The Classroom, Shlomo S. Sawilowsky

Theoretical and Behavioral Foundations of Education Faculty Publications

The focus of this research is the assessment of pedagogical interaction as a dimension of the learning environment through the personal representation of a teacher in the student’s personality, and the assessment of the nature and extent to which teachers are involved in changes of interpersonal dimensions of their student’s personality. This was examined by the assessment of the shift in egograms of a teacher’s students, as measured by the Interpersonal Check List (ICL). A 2 x 9 doubly multivariate repeated measures analysis of variance was conducted on the adult, parent, and child ego states as self-assessed by 187 students …

On Optimal Ergodic Control Of Diffusions With Jumps, Jose-Luis Menaldi, Maurice Robin

Mathematics Faculty Research Publications

Our purpose is to study an optimal ergodic control problem where the state of the system is given by a diffusion process with jumps in the whole space. The corresponding dynamic programming (or Hamilton-Jacobi-Bellman) equation is a quasi-linear integro-differential equation of second order. A key result is to prove the existence and uniqueness of an invariant density function for a jump diffusion, whose lower order coefficients are only locally bounded and Borel measurable. Based on this invariant probability, existence and uniqueness (up to an additive constant) of solutions to the ergodic HJB equation is established.

Ergodic Control Of Reflected Diffusions With Jumps, Jose-Luis Menaldi, Maurice Robin

Mathematics Faculty Research Publications

No abstract provided.

Controlling Experiment-Wise Type I Error Of Meta-Analysis In The Solomon Four-Group Design, Shlomo S. Sawilowsky

Theoretical and Behavioral Foundations of Education Faculty Publications

Abstract. Stouffer=s Z, a meta-analytic technique, was proposed by W. Braver and Braver (1988) for analyzing data collected from a Solomon Four-group Design. Sawilowsky, Kelley, Blair, and Markman (1994) showed that this technique produces inflated Type I error rates. Recommendations are made to control the false positive inflation of their procedure.

On An Investment-Consumption Model With Transaction Costs, Marianne Akian, José Luis Menaldi, Agnès Sulem

Mathematics Faculty Research Publications

This paper considers the optimal consumption and investment policy for an investor who has available one bank account paying a fixed interest rate and n risky assets whose prices are log-normal diffusions. We suppose that transactions between the assets incur a cost proportional to the size of the transaction. The problem is to maximize the total utility of consumption. Dynamic programming leads to a variational inequality for the value function. Existence and uniqueness of a viscosity solution are proved. The variational inequality is solved by using a numerical algorithm based on policies, iterations, and multigrid methods. Numerical results are displayed …

Optimal Starting-Stopping Problems For Markov-Feller Processes, Jose-Luis Menaldi, Maurice Robin, Min Sun

Mathematics Faculty Research Publications

By means of nested inequalities in semigroup form we give a characterization of the value functions of the starting-stopping problem for general Markov-Feller processes. Next, we consider two versions of constrained problems on the nal state or on the final time. The plan is as follows:

1. Introduction
2. Nested variational inequalities
3. Solution of optimal starting-stopping problem
4. Problems with constraints

References.

Optimal Control And Differential Games With Measures, E. N. Barron, R. Jensen, J. L. Menaldi

Mathematics Faculty Research Publications

We consider control problems with trajectories which involve ordinary measureable control functions and controls which are measures. The payoff involves a running cost in time and a running cost against the control measures. In the optimal control problem we are trying to minimize this payoff with both controls. In the differential game problem we are trying to minimize the cost with the ordinary controls assuming that the measure controls are chosen to maximize the cost. We will characterize the value functions in both cases using viscosity solution theory by deriving the Bellman and Isaacs equations.

Singular Ergodic Control For Multidimensional Gaussian Processes, J. L. Menaldi, M. Robin, M. I. Taksar

Mathematics Faculty Research Publications

A multidimensional Wiener process is controlled by an additive process of bounded variation. A convex nonnegative function measures the cost associated with the position of the state process, and the cost of controlling is proportional to the displacement induced. We minimize a limiting time-average expected (ergodic) criterion. Under reasonable assumptions, we prove that the optimal discounted cost converges to the optimal ergodic cost. Moreover, under some additional conditions there exists a convex Lipschitz continuous function solution to the corresponding Hamilton-Jacobi-Bellman equation which provides an optimal stationary feedback control.