Optional Decomposition and Lagrange Multipliers

Let Q be the set of equivalent martingale measures for a given process S, and let X be a process which is a local supermartingale with respect to any measure in Q. The optional decomposition theorem for X states that there exists a predictable integrand ф such that the difference X−ф•S is a decreasing process. In this paper we give a new proof which uses techniques from stochastic calculus rather than functional analysis, and which removes any boundedness assumption

Revisiting lagrange relaxation (LR) for processing large-scale mixed integer programming (MIP) problems

Lagrangean Relaxation has been successfully applied to process many well known instances of NP-hard Mixed Integer Programming problems. In this paper we present a Lagrangean Relaxation based generic solver for processing Mixed Integer Programming problems. We choose the constraints, which are relaxed using a constraint classification scheme. The tactical issue of updating the Lagrange multiplier is addressed through sub-gradient optimisation; alternative rules for updating their values are investigated. The Lagrangean relaxation provides a lower bound to the original problem and the upper bound is calculated using a heuristic technique. The bounds obtained by the Lagrangean Relaxation based generic solver were used to warm-start the Branch and Bound algorithm; the performance of the generic solver and the effect of the alternative control settings are reported for a wide class of benchmark models. Finally, we present an alternative technique to calculate the upper bound, using a genetic algorithm that benefits from the mathematical structure of the constraints. The performance of the genetic algorithm is also presented

Unified and Distributed QoS-Driven Cell Association Algorithms in Heterogeneous Networks

This paper addresses the cell association problem in the downlink of a multi-tier heterogeneous network (HetNet), where base stations (BSs) have finite number of resource blocks (RBs) available to distribute among their associated users. Two problems are defined and treated in this paper: sum utility of long term rate maximization with long term rate quality of service (QoS) constraints, and global outage probability minimization with outage QoS constraints. The first problem is well-suited for low mobility environments, while the second problem provides a framework to deal with environments with fast fading. The defined optimization problems in this paper are solved in two phases: cell association phase followed by the optional RB distribution phase. We show that the cell association phase of both problems have the same structure. Based on this similarity, we propose a unified distributed algorithm with low levels of message passing to for the cell association phase. This distributed algorithm is derived by relaxing the association constraints and using Lagrange dual decomposition method. In the RB distribution phase, the remaining RBs after the cell association phase are distributed among the users. Simulation results show the superiority of our distributed cell association scheme compared to schemes that are based on maximum signal to interference plus noise ratio (SINR)

Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources

In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market with N firms. The investment processes are subject to a time-dependent stochastic constraint. Rather than using a dynamic programming approach, we exploit the concavity of the profit functional to derive some necessary and sufficient first order conditions for the corresponding Social Planner optimal policy. Our conditions are a stochastic infinite-dimensional generalization of the Kuhn-Tucker Theorem. The Lagrange multiplier takes the form of a nonnegative optional random measure on [0,T] which is flat off the set of times for which the constraint is binding, i.e. when all the fuel is spent. As a subproduct we obtain an enlightening interpretation of the first order conditions for a single firm in Bank (2005). In the infinite-horizon case, with operating profit functions of Cobb-Douglas type, our method allows the explicit calculation of the optimal policy in terms of the `base capacity' process, i.e. the unique solution of the Bank and El Karoui representation problem (2004).Comment: 25 page

Automated dynamic analytical model improvement for damped structures

A method is described to improve a linear nonproportionally damped analytical model of a structure. The procedure finds the smallest changes in the analytical model such that the improved model matches the measured modal parameters. Features of the method are: (1) ability to properly treat complex valued modal parameters of a damped system; (2) applicability to realistically large structural models; and (3) computationally efficiency without involving eigensolutions and inversion of a large matrix