A comparison of arithmetic operations of two dynamic process optimization approaches called quasi-sequential approach and reduced Sequential Quadratic Programming(rSQP)simultaneous approach with respect to equality co...A comparison of arithmetic operations of two dynamic process optimization approaches called quasi-sequential approach and reduced Sequential Quadratic Programming(rSQP)simultaneous approach with respect to equality constrained optimization problems is presented.Through the detail comparison of arithmetic operations,it is concluded that the average iteration number within differential algebraic equations(DAEs)integration of quasi-sequential approach could be regarded as a criterion.One formula is given to calculate the threshold value of average iteration number.If the average iteration number is less than the threshold value,quasi-sequential approach takes advantage of rSQP simultaneous approach which is more suitable contrarily.Two optimal control problems are given to demonstrate the usage of threshold value.For optimal control problems whose objective is to stay near desired operating point,the iteration number is usually small.Therefore,quasi-sequential approach seems more suitable for such problems.展开更多
A problem of a hierarchy structure optimization is considered.Hierarchical structures arewidely used in the Analytic Hierarchy Process,conjoint analysis,and various other methods of multiplecriteria decision making.Th...A problem of a hierarchy structure optimization is considered.Hierarchical structures arewidely used in the Analytic Hierarchy Process,conjoint analysis,and various other methods of multiplecriteria decision making.The problem consists in finding a structure that needs a minimum number ofpair comparisons for a given total number of the alternatives.For an optimal hierarchy,the minimumefforts are needed for eliciting data and synthesizing the local preferences across the hierarchy to getthe global priorities or utilities.Special estimation techniques are developed and numerical simulationsperformed.Analytical and numerical results suggest optimal ways of priority evaluations for practicalmanagerial decisions in a complex environment.展开更多
In this paper, tile authors first study two kinds of stochastic differential equations （SDEs） with Levy processes as noise source. Based on the existence and uniqueness of the solutions of these SDEs and multi-dimen...In this paper, tile authors first study two kinds of stochastic differential equations （SDEs） with Levy processes as noise source. Based on the existence and uniqueness of the solutions of these SDEs and multi-dimensional backward stochastic differential equations （BSDEs） driven by Levy pro- cesses, the authors proceed to study a stochastic linear quadratic （LQ） optimal control problem with a Levy process, where the cost weighting matrices of the state and control are allowed to be indefinite. One kind of new stochastic Riccati equation that involves equality and inequality constraints is derived from the idea of square completion and its solvability is proved to be sufficient for the well-posedness and the existence of optimal control which can be of either state feedback or open-loop form of the LQ problems. Moreover, the authors obtain the existence and uniqueness of the solution to the Riccati equation for some special cases. Finally, two examples are presented to illustrate these theoretical results.展开更多
The paper is concerned with optimal control of backward stochastic differentiM equation （BSDE） driven by Teugel＇s martingales and an independent multi-dimensional Brownian motion, where Teugel＇s martingales are a ...The paper is concerned with optimal control of backward stochastic differentiM equation （BSDE） driven by Teugel＇s martingales and an independent multi-dimensional Brownian motion, where Teugel＇s martingales are a family of pairwise strongly orthonormal martingales associated with L6vy processes （see e.g., Nualart and Schoutens＇ paper in 2000）. We derive the necessary and sufficient conditions for the existence of the optimal control by means of convex variation methods and duality techniques. As an application, the optimal control problem of linear backward stochastic differential equation with a quadratic cost criteria （or backward linear-quadratic problem, or BLQ problem for short） is discussed and characterized by a stochastic Hamilton system.展开更多
Fault reconfiguration of shipboard power system is viewed as a typical nonlinear and multi-objective combinatorial optimization problem. A comprehensive reconfiguration model is presented in this paper, in which the r...Fault reconfiguration of shipboard power system is viewed as a typical nonlinear and multi-objective combinatorial optimization problem. A comprehensive reconfiguration model is presented in this paper, in which the restored loads, switch frequency and generator efficiency are taken into account. In this model, analytic hierarchy process(AHP) is proposed to determine the coefficients of these objective functions. Meanwhile, a quantum differential evolution algorithm with triple quantum bit code is proposed. This algorithm aiming at the characteristics of shipboard power system is different from the normal quantum bit representation. The individual polymorphic expression is realized, and the convergence performance can be further enhanced in combination with the global parallel search capacity of differential evolution algorithm and the superposition properties of quantum theory. The local optimum can be avoided by dynamic rotation gate. The validity of algorithm and model is verified by the simulation examples.展开更多
This paper studies the problem of partially observed optimal control for forward-backward stochastic systems which are driven both by Brownian motions and an independent Poisson random measure. Combining forward-backw...This paper studies the problem of partially observed optimal control for forward-backward stochastic systems which are driven both by Brownian motions and an independent Poisson random measure. Combining forward-backward stochastic differential equation theory with certain classical convex variational techniques, the necessary maximum principle is proved for the partially observed optimal control, where the control domain is a nonempty convex set. Under certain convexity assumptions, the author also gives the sufficient conditions of an optimal control for the aforementioned optimal optimal problem. To illustrate the theoretical result, the author also works out an example of partial information linear-quadratic optimal control, and finds an explicit expression of the corresponding optimal control by applying the necessary and sufficient maximum principle.展开更多
基金Supported by the National Natural Science Foundation of China（20676117） the National Creative Research Groups Science Foundation of China（60421002）
文摘A comparison of arithmetic operations of two dynamic process optimization approaches called quasi-sequential approach and reduced Sequential Quadratic Programming(rSQP)simultaneous approach with respect to equality constrained optimization problems is presented.Through the detail comparison of arithmetic operations,it is concluded that the average iteration number within differential algebraic equations(DAEs)integration of quasi-sequential approach could be regarded as a criterion.One formula is given to calculate the threshold value of average iteration number.If the average iteration number is less than the threshold value,quasi-sequential approach takes advantage of rSQP simultaneous approach which is more suitable contrarily.Two optimal control problems are given to demonstrate the usage of threshold value.For optimal control problems whose objective is to stay near desired operating point,the iteration number is usually small.Therefore,quasi-sequential approach seems more suitable for such problems.
文摘A problem of a hierarchy structure optimization is considered.Hierarchical structures arewidely used in the Analytic Hierarchy Process,conjoint analysis,and various other methods of multiplecriteria decision making.The problem consists in finding a structure that needs a minimum number ofpair comparisons for a given total number of the alternatives.For an optimal hierarchy,the minimumefforts are needed for eliciting data and synthesizing the local preferences across the hierarchy to getthe global priorities or utilities.Special estimation techniques are developed and numerical simulationsperformed.Analytical and numerical results suggest optimal ways of priority evaluations for practicalmanagerial decisions in a complex environment.
基金This work was supported by the National Basic Research Program of China (973 Program) under Grant No. 2007CB814904the Natural Science Foundation of China under Grant No. 10671112+1 种基金Shandong Province under Grant No. Z2006A01Research Fund for the Doctoral Program of Higher Education of China under Grant No. 20060422018
文摘In this paper, tile authors first study two kinds of stochastic differential equations （SDEs） with Levy processes as noise source. Based on the existence and uniqueness of the solutions of these SDEs and multi-dimensional backward stochastic differential equations （BSDEs） driven by Levy pro- cesses, the authors proceed to study a stochastic linear quadratic （LQ） optimal control problem with a Levy process, where the cost weighting matrices of the state and control are allowed to be indefinite. One kind of new stochastic Riccati equation that involves equality and inequality constraints is derived from the idea of square completion and its solvability is proved to be sufficient for the well-posedness and the existence of optimal control which can be of either state feedback or open-loop form of the LQ problems. Moreover, the authors obtain the existence and uniqueness of the solution to the Riccati equation for some special cases. Finally, two examples are presented to illustrate these theoretical results.
基金supported by National Natural Science Foundation of China (Grant No. 11101090, 11101140, 10771122)Specialized Research Fund for the Doctoral Program of Higher Education of China (Grant No. 20090071120002)+2 种基金Innovation Team Foundation of the Department of Education of Zhejiang Province (Grant No. T200924)Natural Science Foundation of Zhejiang Province (Grant No. Y6110775, Y6110789)Scientific Research Foundation for the Returned Overseas Chinese Scholars, State Education Ministry
文摘The paper is concerned with optimal control of backward stochastic differentiM equation （BSDE） driven by Teugel＇s martingales and an independent multi-dimensional Brownian motion, where Teugel＇s martingales are a family of pairwise strongly orthonormal martingales associated with L6vy processes （see e.g., Nualart and Schoutens＇ paper in 2000）. We derive the necessary and sufficient conditions for the existence of the optimal control by means of convex variation methods and duality techniques. As an application, the optimal control problem of linear backward stochastic differential equation with a quadratic cost criteria （or backward linear-quadratic problem, or BLQ problem for short） is discussed and characterized by a stochastic Hamilton system.
基金the National Natural Science Foundation of China(No.51175321)the Innovation Program of Shanghai Municipal Education Commission(No.12ZZ158)
文摘Fault reconfiguration of shipboard power system is viewed as a typical nonlinear and multi-objective combinatorial optimization problem. A comprehensive reconfiguration model is presented in this paper, in which the restored loads, switch frequency and generator efficiency are taken into account. In this model, analytic hierarchy process(AHP) is proposed to determine the coefficients of these objective functions. Meanwhile, a quantum differential evolution algorithm with triple quantum bit code is proposed. This algorithm aiming at the characteristics of shipboard power system is different from the normal quantum bit representation. The individual polymorphic expression is realized, and the convergence performance can be further enhanced in combination with the global parallel search capacity of differential evolution algorithm and the superposition properties of quantum theory. The local optimum can be avoided by dynamic rotation gate. The validity of algorithm and model is verified by the simulation examples.
基金This research is supported by the National Nature Science Foundation of China under Grant Nos 11001156, 11071144, the Nature Science Foundation of Shandong Province （ZR2009AQ017）, and Independent Innovation Foundation of Shandong University （IIFSDU）, China.
文摘This paper studies the problem of partially observed optimal control for forward-backward stochastic systems which are driven both by Brownian motions and an independent Poisson random measure. Combining forward-backward stochastic differential equation theory with certain classical convex variational techniques, the necessary maximum principle is proved for the partially observed optimal control, where the control domain is a nonempty convex set. Under certain convexity assumptions, the author also gives the sufficient conditions of an optimal control for the aforementioned optimal optimal problem. To illustrate the theoretical result, the author also works out an example of partial information linear-quadratic optimal control, and finds an explicit expression of the corresponding optimal control by applying the necessary and sufficient maximum principle.
