SQG-Differential Evolution for difficult optimization problems under a tight function evaluation budget

In the context of industrial engineering, it is important to integrate efficient computational optimization methods in the product development process. Some of the most challenging simulation-based engineering design optimization problems are characterized by: a large number of design variables, the absence of analytical gradients, highly non-linear objectives and a limited function evaluation budget. Although a huge variety of different optimization algorithms is available, the development and selection of efficient algorithms for problems with these industrial relevant characteristics, remains a challenge. In this communication, a hybrid variant of Differential Evolution (DE) is introduced which combines aspects of Stochastic Quasi-Gradient (SQG) methods within the framework of DE, in order to improve optimization efficiency on problems with the previously mentioned characteristics. The performance of the resulting derivative-free algorithm is compared with other state-of-the-art DE variants on 25 commonly used benchmark functions, under tight function evaluation budget constraints of 1000 evaluations. The experimental results indicate that the new algorithm performs excellent on the 'difficult' (high dimensional, multi-modal, inseparable) test functions. The operations used in the proposed mutation scheme, are computationally inexpensive, and can be easily implemented in existing differential evolution variants or other population-based optimization algorithms by a few lines of program code as an non-invasive optional setting. Besides the applicability of the presented algorithm by itself, the described concepts can serve as a useful and interesting addition to the algorithmic operators in the frameworks of heuristics and evolutionary optimization and computing

Benchmarking for Metaheuristic Black-Box Optimization: Perspectives and Open Challenges

Research on new optimization algorithms is often funded based on the motivation that such algorithms might improve the capabilities to deal with real-world and industrially relevant optimization challenges. Besides a huge variety of different evolutionary and metaheuristic optimization algorithms, also a large number of test problems and benchmark suites have been developed and used for comparative assessments of algorithms, in the context of global, continuous, and black-box optimization. For many of the commonly used synthetic benchmark problems or artificial fitness landscapes, there are however, no methods available, to relate the resulting algorithm performance assessments to technologically relevant real-world optimization problems, or vice versa. Also, from a theoretical perspective, many of the commonly used benchmark problems and approaches have little to no generalization value. Based on a mini-review of publications with critical comments, advice, and new approaches, this communication aims to give a constructive perspective on several open challenges and prospective research directions related to systematic and generalizable benchmarking for black-box optimization

Proceedings of the second "international Traveling Workshop on Interactions between Sparse models and Technology" (iTWIST'14)

The implicit objective of the biennial "international - Traveling Workshop on Interactions between Sparse models and Technology" (iTWIST) is to foster collaboration between international scientific teams by disseminating ideas through both specific oral/poster presentations and free discussions. For its second edition, the iTWIST workshop took place in the medieval and picturesque town of Namur in Belgium, from Wednesday August 27th till Friday August 29th, 2014. The workshop was conveniently located in "The Arsenal" building within walking distance of both hotels and town center. iTWIST'14 has gathered about 70 international participants and has featured 9 invited talks, 10 oral presentations, and 14 posters on the following themes, all related to the theory, application and generalization of the "sparsity paradigm": Sparsity-driven data sensing and processing; Union of low dimensional subspaces; Beyond linear and convex inverse problem; Matrix/manifold/graph sensing/processing; Blind inverse problems and dictionary learning; Sparsity and computational neuroscience; Information theory, geometry and randomness; Complexity/accuracy tradeoffs in numerical methods; Sparsity? What's next?; Sparse machine learning and inference.Comment: 69 pages, 24 extended abstracts, iTWIST'14 website: http://sites.google.com/site/itwist1

Mathematical methods for portfolio management

Portfolio Management is the process of allocating an investor's wealth to in­ vestment opportunities over a given planning period. Not only should Portfolio Management be treated within a multi-period framework, but one should also take into consideration the stochastic nature of related parameters. After a short review of key concepts from Finance Theory, e.g. utility function, risk attitude, Value-at-rusk estimation methods, a.nd mean-variance efficiency, this work describes a framework for the formulation of the Portfolio Management problem in a Stochastic Programming setting. Classical solution techniques for the resolution of the resulting Stochastic Programs (e.g. L-shaped Decompo­ sition, Approximation of the probability function) are presented. These are discussed within both the two-stage and the multi-stage case with a special em­ phasis on the former. A description of how Importance Sampling and EVPI are used to improve the efficiency of classical methods is presented. Postoptimality Analysis, a sensitivity analysis method, is also described.StatisticsM. Sc. (Operations Research

Numerical Techniques for Stochastic Optimization

This is a comprehensive and timely overview of the numerical techniques that have been developed to solve stochastic programming problems. After a brief introduction to the field, where accent is laid on modeling questions, the next few chapters lay out the challenges that must be met in this area. They also provide the background for the description of the computer implementations given in the third part of the book. Selected applications are described next. Some of these have directly motivated the development of the methods described in the earlier chapters. They include problems that come from facilities location, exploration investments, control of ecological systems, energy distribution and generation. Test problems are collected in the last chapter. This is the first book devoted to this subject. It comprehensively covers all major advances in the field (both Western and Soviet). It is only because of the recent developments in computer technology, that we have now reached a point where our computing power matches the inherent size requirements faced in this area. The book demonstrates that a large class of stochastic programming problems are now in the range of our numerical capacities

Comparison of sea-ice freeboard distributions from aircraft data and cryosat-2

The only remote sensing technique capable of obtain- ing sea-ice thickness on basin-scale are satellite altime- ter missions, such as the 2010 launched CryoSat-2. It is equipped with a Ku-Band radar altimeter, which mea- sures the height of the ice surface above the sea level. This method requires highly accurate range measure- ments. During the CryoSat Validation Experiment (Cry- oVEx) 2011 in the Lincoln Sea, Cryosat-2 underpasses were accomplished with two aircraft, which carried an airborne laser-scanner, a radar altimeter and an electro- magnetic induction device for direct sea-ice thickness re- trieval. Both aircraft flew in close formation at the same time of a CryoSat-2 overpass. This is a study about the comparison of the sea-ice freeboard and thickness dis- tribution of airborne validation and CryoSat-2 measure- ments within the multi-year sea-ice region of the Lincoln Sea in spring, with respect to the penetration of the Ku- Band signal into the snow