69 research outputs found
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Numerical Techniques for Optimization Problems with PDE Constraints
The development, analysis and implementation of efficient and robust numerical techniques for optimization problems associated with partial differential equations (PDEs) is of utmost importance for the optimal control of processes and the optimal design of structures and systems in modern technology. The successful realization of such techniques invokes a wide variety of challenging mathematical tasks and thus requires the application of adequate methodologies from various mathematical disciplines. During recent years, significant progress has been made in PDE constrained optimization both concerning optimization in function space according to the paradigm ’Optimize first, then discretize’ and with regard to the fast and reliable solution of the large-scale problems that typically arise from discretizations of the optimality conditions. The contributions at this Oberwolfach workshop impressively reflected the progress made in the field. In particular, new insights have been gained in the analysis of optimal control problems for PDEs that have led to vastly improved numerical solution methods. Likewise, breakthroughs have been made in the optimal design of structures and systems, for instance, by the socalled ’all-at-once’ approach featuring simultaneous optimization and solution of the underlying PDEs. Finally, new methodologies have been developed for the design of innovative materials and the identification of parameters in multi-scale physical and physiological processes
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Optimal Control of Coupled Systems of PDE
The Workshop Optimal Control of Coupled Systems of PDE was held from April 17th – April 23rd, 2005 in the Mathematisches Forschungsinstitut Oberwolfach. The scientific program covered various topics such as controllability, feedback control, optimality conditions,analysis and control of Navier-Stokes equations, model reduction of large systems, optimal shape design, and applications in crystal growth, chemical reactions and aviation
B-Spline Based Methods: From Monotone Multigrid Schemes for American Options to Uncertain Volatility Models
In the first part of this thesis, we consider B-spline based methods for pricing American options in the Black-Scholes and Heston model. The difference between these two models is the assumption on the volatility of the underlying asset. While in the Black-Scholes model the volatility is assumed to be constant, the Heston model includes a stochastic volatility variable. The underlying problems are formulated as parabolic variational inequalities. Recall that, in finance, to determine optimal risk strategies, one is not only interested in the solution of the variational inequality, i.e., the option price, but also in its partial derivatives up to order two, the so-called Greeks. A special feature for these option price problems is that initial conditions are typically given as piecewise linear continuous functions. Consequently, we have derived a spatial discretization based on cubic B-splines with coinciding knots at the points where the initial condition is not differentiable. Together with an implicit time stepping scheme, this enables us to
achieve an accurate pointwise approximation of the partial derivatives up to order two. For the efficient numerical solution of the discrete variational inequality, we propose a monotone multigrid method for (tensor product) B-splines with possible internal coinciding knots. Corresponding numerical results show that the monotone multigrid method is robust with respect to the refinement level and mesh size.
In the second part of this thesis, we consider the pricing of a European option in the uncertain volatility model. In this model the volatility of the underlying asset is a priori unknown and is assumed to lie within a range of extreme values. Mathematically, this problem can be formulated as a one dimensional parabolic Hamilton-Jacobi-Bellman equation and is also called Black-Scholes-Barenblatt equation. In the resulting non-linear equation, the diffusion coefficient is given by a volatility function which depends pointwise on the second derivative. This kind of non-linear partial differential equation does not admit a weak H^1-formulation. This is due to the fact that the non-linearity depends pointwise on the second derivative of the solution and, thus, no integration by parts is possible to pass the partial derivative onto a test function. But in the discrete setting this pointwise second derivative can be approximated in H^1 by L^1-normalized B-splines. It turns out that the approximation of the volatility function leads to discontinuities in the partial derivatives. In order to improve the approximation of the solution and its partial derivatives for cubic B-splines, we develop a Newton like algorithm within a knot insertion step. Corresponding numerical results show that the convergence of the solution and its partial derivatives are nearly optimal in the L^2-norm, when the location of volatility change is approximated with desired accuracy
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
Variational Multiscale Nonparametric Regression: Algorithms and Implementation
Many modern statistically efficient methods come with tremendous
computational challenges, often leading to large-scale optimisation problems.
In this work, we examine such computational issues for recently developed
estimation methods in nonparametric regression with a specific view on image
denoising. We consider in particular certain variational multiscale estimators
which are statistically optimal in minimax sense, yet computationally
intensive. Such an estimator is computed as the minimiser of a smoothness
functional (e.g., TV norm) over the class of all estimators such that none of
its coefficients with respect to a given multiscale dictionary is statistically
significant. The so obtained multiscale Nemirowski-Dantzig estimator (MIND) can
incorporate any convex smoothness functional and combine it with a proper
dictionary including wavelets, curvelets and shearlets. The computation of MIND
in general requires to solve a high-dimensional constrained convex optimisation
problem with a specific structure of the constraints induced by the statistical
multiscale testing criterion. To solve this explicitly, we discuss three
different algorithmic approaches: the Chambolle-Pock, ADMM and semismooth
Newton algorithms. Algorithmic details and an explicit implementation is
presented and the solutions are then compared numerically in a simulation study
and on various test images. We thereby recommend the Chambolle-Pock algorithm
in most cases for its fast convergence. We stress that our analysis can also be
transferred to signal recovery and other denoising problems to recover more
general objects whenever it is possible to borrow statistical strength from
data patches of similar object structure.Comment: Codes are available at https://github.com/housenli/MIN
Stable numerical methodology for variational inequalities with application in quantitative finance and computational mechanics
Coercivity is a characteristic property of the bilinear term in a weak form of a partial differential equation in both infinite space and the corresponding finite space utilized by a numerical scheme. This concept implies \textit{stability} and \textit{well-posedness} of the weak form in both the exact solution and the numerical solution. In fact, the loss of this property especially in finite dimension cases leads to instability of the numerical scheme. This phenomenon occurs in three major families of problems consisting of advection-diffusion equation with dominant advection term, elastic analysis of very thin beams, and associated plasticity and non-associated plasticity problems. There are two main paths to overcome the loss of coercivity, first manipulating and stabilizing a weak form to ensure that the discrete weak form is coercive, second using an automatically stable method to estimate the solution space such as the Discontinuous Petrov Galerkin (DPG) method in which the optimal test space is attained during the design of the method in such a way that the scheme keeps the coercivity inherently. In this dissertation, A stable numerical method for the aforementioned problems is proposed. A stabilized finite element method for the problem of migration risk problem which belongs to the family of the advection-diffusion problems is designed and thoroughly analyzed. Moreover, DPG method is exploited for a wide range of valuing option problems under the black-Scholes model including vanilla options, American options, Asian options, double knock barrier options where they all belong to family of advection-diffusion problem, and elastic analysis of Timoshenko beam theory. Besides, The problem of American option pricing, migration risk, and plasticity problems can be categorized as a free boundary value problem which has their extra complexity, and optimization theory and variational inequality are the main tools to study these families of the problems. Thus, an overview of the classic definition of variational inequalities and different tools and methods to study analytically and numerically this family of problems is provided and a novel adjoint sensitivity analysis of variational inequalities is proposed
Model Order Reduction by Proper Orthogonal Decomposition
We provide an introduction to POD-MOR with focus on (nonlinear) parametric
PDEs and (nonlinear) time-dependent PDEs, and PDE constrained optimization with
POD surrogate models as application. We cover the relation of POD and SVD, POD
from the infinite-dimensional perspective, reduction of nonlinearities,
certification with a priori and a posteriori error estimates, spatial and
temporal adaptivity, input dependency of the POD surrogate model, POD basis
update strategies in optimal control with surrogate models, and sketch related
algorithmic frameworks. The perspective of the method is demonstrated with
several numerical examples.Comment: arXiv admin note: substantial text overlap with arXiv:1701.0505
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