626 research outputs found
Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems
In this paper we prove that there exists a smooth classical solution to the
HJB equation for a large class of constrained problems with utility functions
that are not necessarily differentiable or strictly concave. The value function
is smooth if admissible controls satisfy an integrability condition or if it is
continuous on the closure of its domain. The key idea is to work on the dual
control problem and the dual HJB equation. We construct a smooth, strictly
convex solution to the dual HJB equation and show that its conjugate function
is a smooth, strictly concave solution to the primal HJB equation satisfying
the terminal and boundary conditions.Comment: 18 page
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Using EPECs to model bilevel games in restructured electricity markets with locational prices
CWPE0619 (EPRG0602) Xinmin Hu and Daniel Ralph (Feb 2006) Using EPECs to model bilevel games in restructured electricity markets with locational prices We study a bilevel noncooperative game-theoretic model of electricity markets with locational marginal prices. Each player faces a bilevel optimization problem that we remodel as a mathematical program with equilibrium constraints, MPEC. This gives an EPEC, equilibrium problem with equilibrium constraints. We establish sufficient conditions for existence of pure strategy Nash equilibria for this class of bilevel games and give some applications. We show by examples the effect of network transmission limits, i.e. congestion, on existence of equilibria. Then we study, for more general EPECs, the weaker pure strategy concepts of local Nash and Nash stationary equilibria. We model the latter via complementarity problems, CPs. Finally, we present numerical examples of methods that attempt to find local Nash or Nash stationary equilibria of randomly generated electricity market games. The CP solver PATH is found to be rather effective in this context
Decomposition by Successive Convex Approximation: A Unifying Approach for Linear Transceiver Design in Heterogeneous Networks
We study the downlink linear precoder design problem in a multi-cell dense
heterogeneous network (HetNet). The problem is formulated as a general
sum-utility maximization (SUM) problem, which includes as special cases many
practical precoder design problems such as multi-cell coordinated linear
precoding, full and partial per-cell coordinated multi-point transmission,
zero-forcing precoding and joint BS clustering and beamforming/precoding. The
SUM problem is difficult due to its non-convexity and the tight coupling of the
users' precoders. In this paper we propose a novel convex approximation
technique to approximate the original problem by a series of convex
subproblems, each of which decomposes across all the cells. The convexity of
the subproblems allows for efficient computation, while their decomposability
leads to distributed implementation. {Our approach hinges upon the
identification of certain key convexity properties of the sum-utility
objective, which allows us to transform the problem into a form that can be
solved using a popular algorithmic framework called BSUM (Block Successive
Upper-Bound Minimization).} Simulation experiments show that the proposed
framework is effective for solving interference management problems in large
HetNet.Comment: Accepted by IEEE Transactions on Wireless Communicatio
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