Calculus of Tangent Sets and Derivatives of Set Valued Maps under Metric Subregularity Conditions

In this paper we intend to give some calculus rules for tangent sets in the sense of Bouligand and Ursescu, as well as for corresponding derivatives of set-valued maps. Both first and second order objects are envisaged and the assumptions we impose in order to get the calculus are in terms of metric subregularity of the assembly of the initial data. This approach is different from those used in alternative recent papers in literature and allows us to avoid compactness conditions. A special attention is paid for the case of perturbation set-valued maps which appear naturally in optimization problems.Comment: 17 page

Pareto Optimal Allocations in Nonconvex Models of Welfare Economics

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

Quelques thèmes en l'analyse variationnelle et optimisation

In this thesis, we first study the theory of [gamma]-limits. Besides some basic properties of [gamma]-limits,expressions of sequential [gamma]-limits generalizing classical results of Greco are presented. These limits also give us a clue to a unified classification of derivatives and tangent cones. Next, we develop an approach to generalized differentiation theory. This allows us to deal with several generalized derivatives of set-valued maps defined directly in primal spaces, such as variational sets, radial sets, radial derivatives, Studniarski derivatives. Finally, we study calculus rules of these derivatives and applications related to optimality conditions and sensitivity analysis.Dans cette thèse, j’étudie d’abord la théorie des [gamma]-limites. En dehors de quelques propriétés fondamentales des [gamma]-limites, les expressions de [gamma]-limites séquentielles généralisant des résultats de Greco sont présentées. En outre, ces limites nous donnent aussi une idée d’une classification unifiée de la tangence et la différentiation généralisée. Ensuite, je développe une approche des théories de la différentiation généralisée. Cela permet de traiter plusieurs dérivées généralisées des multi-applications définies directement dans l’espace primal, tels que des ensembles variationnels,des ensembles radiaux, des dérivées radiales, des dérivées de Studniarski. Finalement, j’étudie les règles de calcul de ces dérivées et les applications liées aux conditions d’optimalité et à l’analyse de sensibilité

International Conference on Continuous Optimization (ICCOPT) 2019 Conference Book

The Sixth International Conference on Continuous Optimization took place on the campus of the Technical University of Berlin, August 3-8, 2019. The ICCOPT is a flagship conference of the Mathematical Optimization Society (MOS), organized every three years. ICCOPT 2019 was hosted by the Weierstrass Institute for Applied Analysis and Stochastics (WIAS) Berlin. It included a Summer School and a Conference with a series of plenary and semi-plenary talks, organized and contributed sessions, and poster sessions. This book comprises the full conference program. It contains, in particular, the scientific program in survey style as well as with all details, and information on the social program, the venue, special meetings, and more

Dynamics of Macrosystems; Proceedings of a Workshop, September 3-7, 1984

There is an increasing awareness of the important and persuasive role that instability and random, chaotic motion play in the dynamics of macrosystems. Further research in the field should aim at providing useful tools, and therefore the motivation should come from important questions arising in specific macrosystems. Such systems include biochemical networks, genetic mechanisms, biological communities, neutral networks, cognitive processes and economic structures. This list may seem heterogeneous, but there are similarities between evolution in the different fields. It is not surprising that mathematical methods devised in one field can also be used to describe the dynamics of another. IIASA is attempting to make progress in this direction. With this aim in view this workshop was held at Laxenburg over the period 3-7 September 1984. These Proceedings cover a broad canvas, ranging from specific biological and economic problems to general aspects of dynamical systems and evolutionary theory

Mathematical control theory and Finance

Control theory provides a large set of theoretical and computational tools with applications in a wide range of fields, running from ”pure” branches of mathematics, like geometry, to more applied areas where the objective is to find solutions to ”real life” problems, as is the case in robotics, control of industrial processes or finance. The ”high tech” character of modern business has increased the need for advanced methods. These rely heavily on mathematical techniques and seem indispensable for competitiveness of modern enterprises. It became essential for the financial analyst to possess a high level of mathematical skills. Conversely, the complex challenges posed by the problems and models relevant to finance have, for a long time, been an important source of new research topics for mathematicians. The use of techniques from stochastic optimal control constitutes a well established and important branch of mathematical finance. Up to now, other branches of control theory have found comparatively less application in financial problems. To some extent, deterministic and stochastic control theories developed as different branches of mathematics. However, there are many points of contact between them and in recent years the exchange of ideas between these fields has intensified. Some concepts from stochastic calculus (e.g., rough paths) have drawn the attention of the deterministic control theory community. Also, some ideas and tools usual in deterministic control (e.g., geometric, algebraic or functional-analytic methods) can be successfully applied to stochastic control. We strongly believe in the possibility of a fruitful collaboration between specialists of deterministic and stochastic control theory and specialists in finance, both from academic and business backgrounds. It is this kind of collaboration that the organizers of the Workshop on Mathematical Control Theory and Finance wished to foster. This volume collects a set of original papers based on plenary lectures and selected contributed talks presented at the Workshop. They cover a wide range of current research topics on the mathematics of control systems and applications to finance. They should appeal to all those who are interested in research at the junction of these three important fields as well as those who seek special topics within this scope.info:eu-repo/semantics/publishedVersio