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一类分布鲁棒优化问题的线性化方法及其应用 被引量:2
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作者 纪颖 李一军 +1 位作者 芦鹏宇 周勇 《应用数学学报》 CSCD 北大核心 2013年第2期376-384,共9页
本文考虑一类特殊的极大极小化问题,即分布鲁棒优化问题.这类优化方法是不同于随机规划和鲁棒优化的一类方法,在这类问题中,不确定变量的概率分布往往是不能精确得知的,只知道概率分布所满足的一些条件,比如一次信息、二次信息以及支撑... 本文考虑一类特殊的极大极小化问题,即分布鲁棒优化问题.这类优化方法是不同于随机规划和鲁棒优化的一类方法,在这类问题中,不确定变量的概率分布往往是不能精确得知的,只知道概率分布所满足的一些条件,比如一次信息、二次信息以及支撑集合信息等.如此分布鲁棒优化问题便是寻求在所有满足条件的分布中找寻满足最坏可能分布的解.一般情况下,这类优化问题的求解都是NP难的.本文考虑一类简单的情形,即考虑不确定变量的概率分布只满足一次信息、支撑集合信息以及仿射一次信息,通过应用半无限规划问题的对偶性,本文指出这类分布鲁棒优化问题等价于线性规划问题,从而原分布鲁棒优化问题可以应用现成的求解线性规划的方法进行求解.为验证方法的有效性,本文将新方法应用于解决不确定条件下含有交易费用的利率管理问题. 展开更多
关键词 极大极小化问题 分布鲁棒优化 半无限规划 不确定条件 利率管理
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Primal-dual algorithms for total variation based image restoration under Poisson noise Dedicated to Professor Lin Qun on the Occasion of his 80th Birthday 被引量:6
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作者 WEN YouWei CHAN Raymond Honfu ZENG TieYong 《Science China Mathematics》 SCIE CSCD 2016年第1期141-160,共20页
We consider the problem of restoring images corrupted by Poisson noise. Under the framework of maximum a posteriori estimator, the problem can be converted into a minimization problem where the objective function is c... We consider the problem of restoring images corrupted by Poisson noise. Under the framework of maximum a posteriori estimator, the problem can be converted into a minimization problem where the objective function is composed of a Kullback-Leibler(KL)-divergence term for the Poisson noise and a total variation(TV) regularization term. Due to the logarithm function in the KL-divergence term, the non-differentiability of TV term and the positivity constraint on the images, it is not easy to design stable and efficiency algorithm for the problem. Recently, many researchers proposed to solve the problem by alternating direction method of multipliers(ADMM). Since the approach introduces some auxiliary variables and requires the solution of some linear systems, the iterative procedure can be complicated. Here we formulate the problem as two new constrained minimax problems and solve them by Chambolle-Pock's first order primal-dual approach. The convergence of our approach is guaranteed by their theory. Comparing with ADMM approaches, our approach requires about half of the auxiliary variables and is matrix-inversion free. Numerical results show that our proposed algorithms are efficient and outperform the ADMM approach. 展开更多
关键词 image restoration Poisson noise total variation (TV) alternating direction method of multipliers (ADMM) PRIMAL-DUAL minimax problem
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