模糊相关机会规划的蚁群优化算法及收敛性分析

模糊相关机会规划(Fuzzy dependent-chance programming, FDCP)因其非线性、非凸性及模糊性,对经典的优化理论提出了极大的挑战. 本文为解决复杂的模糊相关机会规划问题设计了一种基于模糊模拟的蚁群优化算法, 证明了该算法的收敛性,并通过估算期望收敛时间以分析蚁群优化算法的收敛速度. 数值案例研究验证了该算法的有效性、稳定性及准确性.     

A New Composite Algorithm for Clustering Problems

This paper presents a composite algorithm for solving a class of clustering problems. A quadratic programming formulation of these problems is considered to be solved by the proposed algorithm. In this algorithm a class of non-convex optimization techniques is applied to an approximated variation of the problem and subsequently a local search scheme is incorporated for the final improvement of obtained solutions. The efficiency of the proposed algorithm is evaluated in comparison with Simulated Annealing and Tabu Search algorithms by exploiting a series of real life data from the literature as well as randomly generated data.     

DC programming and DCA for solving Brugnano–Casulli piecewise linear systems

Piecewise linear optimization is one of the most frequently used optimization models in practice, such as transportation, finance and supply-chain management. In this paper, we investigate a particular piecewise linear optimization that is optimizing the norm of piecewise linear functions (NPLF). Specifically, we are interested in solving a class of Brugnano–Casulli piecewise linear systems (PLS), which can be reformulated as an NPLF problem. Speaking generally, the NPLF is considered as an optimization problem with a nonsmooth, nonconvex objective function. A new and efficient optimization approach based on DC (Difference of Convex functions) programming and DCA (DC Algorithms) is developed. With a suitable DC formulation, we design a DCA scheme, named ℓ₁-DCA, for the problem of optimizing the ℓ₁-norm of NPLF. Thanks to particular properties of the problem, we prove that under some conditions, our proposed algorithm converges to an exact solution after a finite number of iterations. In addition, when a nonglobal solution is found, a numerical procedure is introduced to find a feasible point having a smaller objective value and to restart ℓ₁-DCA at this point. Several numerical experiments illustrate these interesting convergence properties. Moreover, we also present an application to the free-surface hydrodynamic problem, where the correct numerical modeling often requires to have the solution of special PLS, with the aim of showing the efficiency of the proposed method.     

离散时间最优控制—–评论动态规划

阐述离散时间最优控制的特点.对比3种求解离散时间最优控制的解法,即:1)用非线性规划求解离散时间最优控制;2)用无约束优化求解离散时间最优控制;3)动态规划及其数值解.1)和2)都适用于多维静态优化,计算效率较高,是高级方法.在名义上,3)为动态优化.实际上,3)为一维分段无约束静态优化,计算效率较低,是初级方法.本文并用数字实例进一步阐明动态规划及其数值解在求解方面较差,故动态规划及其数值解已失去实用价值.在求解离散时间最优控制问题方面,无法与非线性规划求解相匹敌.     

基于Pareto支配的双目标优化求解非线性双层规划问题

双层规划问题是一类具有双层递阶结构的系统优化问题。采用Pareto支配的双目标优化策略求解非线性双层规划问题。利用K-T条件把双层规划问题等价转化单层规划问题,进而结合约束部分建立可行性度量目标形成双目标规划问题。在基本的差分进化算法框架中融入非负的最小二乘曲线拟合判断候选解的可行性,构造基于动态概率的Pareto支配选择策略挑选下一代个体,解决种群容易陷入局部最优的缺陷。15个标准函数的测试结果对比显示,该算法在求解非线性双层规划问题中具有较好的全局寻优能力、较低的计算复杂度、较强的稳定性和适用性,可以获得全局最优解。     

Large Scale Kernel Regression via Linear Programming

The problem of tolerant data fitting by a nonlinear surface, induced by a kernel-based support vector machine is formulated as a linear program with fewer number of variables than that of other linear programming formulations. A generalization of the linear programming chunking algorithm for arbitrary kernels is implemented for solving problems with very large datasets wherein chunking is performed on both data points and problem variables. The proposed approach tolerates a small error, which is adjusted parametrically, while fitting the given data. This leads to improved fitting of noisy data (over ordinary least error solutions) as demonstrated computationally. Comparative numerical results indicate an average time reduction as high as 26.0% over other formulations, with a maximal time reduction of 79.7%. Additionally, linear programs with as many as 16,000 data points and more than a billion nonzero matrix elements are solved.     

Genetic algorithm-based fuzzy goal programming for class of chance-constrained programming problems

This paper presents a procedure for solving a multiobjective chance-constrained programming problem. Random variables appearing on both sides of the chance constraint are considered as discrete random variables with a known probability distribution. The literature does not contain any deterministic equivalent for solving this type of problem. Therefore, classical multiobjective programming techniques are not directly applicable. In this paper, we use a stochastic simulation technique to handle randomness in chance constraints. A fuzzy goal programming formulation is developed by using a stochastic simulation-based genetic algorithm. The most satisfactory solution is obtained from the highest membership value of each of the membership goals. Two numerical examples demonstrate the feasibility of the proposed approach.     

Identification of hybrid and linear parameter‐varying models via piecewise affine regression using mixed integer programming

This article presents a two‐stage algorithm for piecewise affine (PWA) regression. In the first stage, a moving horizon strategy is employed to simultaneously estimate the model parameters and to classify the training data by solving a small‐size mixed‐integer quadratic programming problem. In the second stage, linear multicategory separation methods are used to partition the regressor space. The framework of PWA regression is adapted to the identification of PWA AutoRegressive with eXogenous input (PWARX) models as well as linear parameter‐varying (LPV) models. The performance of the proposed algorithm is demonstrated on an academic example and on two benchmark experimental case studies. The first experimental example concerns modeling the placement process in a pick‐and‐place machine, while the second one consists in the identification of an LPV model describing the input‐output relationship of an electronic bandpass filter with time‐varying resonant frequency.     

An interactive approach based on a discrete differential evolution algorithm for a class of integer bilevel programming problems

This paper presents an interactive approach based on a discrete differential evolution algorithm to solve a class of integer bilevel programming problems, in which integer decision variables are controlled by an upper-level decision maker and real-value or continuous decision variables are controlled by a lower-level decision maker. Using the Karush--Kuhn–Tucker optimality conditions in the lower-level programming, the original discrete bilevel formulation can be converted into a discrete single-level nonlinear programming problem with the complementarity constraints, and then the smoothing technique is applied to deal with the complementarity constraints. Finally, a discrete single-level nonlinear programming problem is obtained, and solved by an interactive approach. In each iteration, for each given upper-level discrete variable, a system of nonlinear equations including the lower-level variables and Lagrange multipliers is solved first, and then a discrete nonlinear programming problem only with inequality constraints is handled by using a discrete differential evolution algorithm. Simulation results show the effectiveness of the proposed approach.     

A double homotopy method for decentralised control design

An iterative algorithm that is based on the idea of two homotopy paths is proposed for output feedback decentralised ?_∞ control design. The approach follows a bilinear matrix inequality (BMI) formulation of the decentralised control problem. Along one homotopy path the BMI problem, which is non-convex, is locally linearised and solved. Along the second homotopy path the controller is deformed at each step so that in the end it attains a decentralised structure. The proposed computational algorithm can also be applied to obtain reduced-order decentralised controllers. Numerical examples are used to demonstrate the efficacy of the proposed algorithm.     

A hybrid direction algorithm for solving linear programs

In this paper we suggest a new ascent direction for the adaptive method developed by Gabasov et al. (A method of solving general linear programming problems, Doklady AN BSSR 23(3) (1979), pp. 197–200 (in Russian)) for solving linear programs with bounded variables. A quantity called optimality estimate is defined, necessary and sufficient conditions of optimality based on this estimate are derived. An algorithm called the adaptive method with hybrid direction (AMHD) is suggested and a numerical example is given for illustration purpose. In order to compare the suggested algorithm with the classical primal simplex algorithm employing Dantzig's rule (PSA), we have developed a numerical implementation under the MATLAB programming language. The experimental study involves the CPU time and the iterations number of the two algorithms applied to solve randomly generated test problems of different dimensions. It has been shown that when the problem dimension increases, the superiority of AMHD over primal simplex algorithm increases.     

信赖域共轭梯度法求解二次规划逆问题

为了有效地求解二次规划逆问题,提出了一种求解其对偶问题的子问题的光滑化信赖域共轭梯度法。该方法采用增广拉格朗日法求解其对偶问题,引入光滑函数将对偶问题的子问题转换成连续的无约束优化问题,将信赖域法与共轭梯度法结合,设计出求解二次规划逆问题的算法流程。数值实验结果表明,该方法可行且有效,与牛顿法相比,更适合求解大规模问题。     

Maximizing for the sum of ratios of two convex functions over a convex set

This paper presents an algorithm for globally maximizing a sum of convex–convex ratios problem with a convex feasible region, which does not require involving all the functions to be differentiable and requires that their sub-gradients can be calculated efficiently. To our knowledge, little progress has been made for globally solving this problem so far. The algorithm uses a branch and bound scheme in which the main computational effort involves solving a sequence of linear programming subproblems. Because of these properties, the algorithm offers a potentially attractive means for globally solving the sum of convex–convex ratios problem over a convex feasible region. It has been proved that the algorithm possesses global convergence. Finally, the numerical experiments are given to show the feasibility of the proposed algorithm.     

单层树型网格下独立任务的周期性调度

提出单层树型网格下单位独立任务的周期性调度方法,单位独立任务是大小相等的独立任务.首先,为单层树型网格下的单位独立任务调度建立线性规划模型,通过分析整数线性规划求解过程,发现一个单层树型网格平台在节点构成不同时,分别具有非饱和态、临界态或冗余态特征;并且,随着网格节点上任务数的增多,线性规划最优解呈线性增长,任务调度具有周期性特性.据此给出非饱和态、临界态或冗余态网格的定义、性质和判定方法,推导出单位独立任务调度的周期长度.最后,分析了周期性调度的时间复杂性,提出一种周期性调度算法Periodic-Sched.实验结果表明,周期性调度是有效的.单位独立任务的周期性调度将大规模的任务调度问题简化为一个周期内的任务调度,降低了调度问题的复杂度.该调度方法适用于对Hadoop平台的Map任务进行调度.     

Peak-to-peak filtering for periodic piecewise linear polytopic systems

In this paper, the robust peak-to-peak filtering problem for periodic piecewise systems with polytopic uncertainties is investigated. Attention is focused on designing of robust peak-to-peak filters that guarantee the robust asymptotic stability of periodic piecewise filtering error system and satisfy a prescribed peak-to-peak disturbance attenuation level for all admissible uncertainties. A sufficient condition is proposed for robust stability and peak-to-peak performance by employing the constructed time-varying Lyapunov function. Two design approaches based on the Lyapunov function with parameter-dependent matrices and parameter-independent matrices are utilised to solve this problem. An algorithm is proposed to compute the periodic filter parameters governed by non-convex feasibility conditions. Two numerical examples are presented to demonstrate the effectiveness of the proposed techniques.     

非线性过程自优化控制的快速算法

针对非线性过程的自优化控制问题,提出了一种求取被控变量的快速算法.不同于线性过程的自优化控制,本文方法基于系统的非线性模型,并且最小化全局平均损失.为快速求解得到的非凸非线性规划问题,作者对其进行了简化.讨论了被控变量解空间的相关特性,阐述了引入的正交酉约束的合理性,并进一步提出了求解次优被控变量的解析法.对一个数值算例和蒸发过程的研究结果表明,提出的快速算法是便捷的、有效的.     

An Integer Linear Programming Problem with Multi-Criteria and Multi-Constraint Levels: a Branch-and-Partition Algorithm

In this paper, we propose a branch-and-partition algorithm to solve the integer linear programming problem with multi-criteria and multi-constraint levels (MC-ILP). The procedure begins with the relaxation problem that is formed by ignoring the integer restrictions. In this branch-and-partition procedure, an MC linear programming problem is adopted by adding a restriction according to a basic decision variable that is not integer. Then the MC-simplex method is applied to locate the set of all potential solutions over possible changes of the objective coefficient parameter and the constraint parameter for a regular MC linear programming problem. We use parameter partition to divide the (λ, γ) space for integer solutions of MC problem. The branch-and-partition procedure terminates when every potential basis for the relaxation problem is a potential basis for the MC-ILP problem. A numerical example is used to demonstrate the proposed algorithm in solving the MC-ILP problems. The comparison study and discussion on the applicability of the proposed method are also provided.     

Portfolio selection with the effect of systematic risk diversification: formulation and accelerated gradient algorithm

In this paper, we propose an optimal trade-off model for portfolio selection with the effect of systematic risk diversification, measured by the maximum marginal systematic risk of all the risk contributors. First, the classical portfolio selection model with constraints on allocation of systematic risk is shown to be equivalent to our trade-off model under certain conditions. Then, we transform the trade-off model into a special non-convex and non-smooth composite problem equivalently. Thus a modified accelerated gradient (AG) algorithm can be introduced to solve the composite problem. The efficiency of the algorithm for solving the composite problem is demonstrated by theoretical results on both the convergence rate and the iteration complexity bound. Finally, empirical analysis demonstrates that the proposed model is a preferred tool for active portfolio risk management when compared with the existing models. We also carry out a series of numerical experiments to compare the performance of the modified AG algorithm with the other three first-order algorithms.     

多指标动态规划的交互式满意置换率法

提出了一种新的求解多指标动态规划问题的算法,它是由多目标静态规划的交互式满意 置换率法[1]推广得到的.通过增加附加状态变量进行数学模型转换,将单指标动态规划问题 转化为静态规划问题,再进行迭代.这样既减少了计算量,又使各指标间的置换关系易于求 得.所提方法在人机交互过程中对决策者的要求不高,对于一类常见的多指标动态规划问题, 可以迅速获得满意的解.     

A feasible method for sensor network localization

A nonlinear programming (NLP) model with partial orthogonality constraints, relaxed from the polynomial optimization problem, is proposed and analysed for solving sensor network localization. The NLP model is difficult to solve as the orthogonality constraints are not only non-convex but numerically expensive to preserve during iterations. To deal with this difficulty, we apply the Cayley transform (a Crank–Nicolson-like update scheme) to preserve it. Combining with the gradient descent method, we develop a curvilinear search algorithm, and analyse its convergence. In practice, we accelerate our method by taking nonlinear conjugate gradient method and Barzilai–Borwein steps. Numerical experiments are given to demonstrate the efficiency of the proposed method, for the problems with the number of sensors up to 15,000 and the distance constraints up to 135,817.