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We investigate a nonstandard phase field
model of Cahn-Hilliard type. The model, which was introduced in
[16], describes two-species phase segregation and consists of a
system of two highly nonlinearly coupled PDEs. It has been studied
recently in
[5], [6] for the case of homogeneous Neumann
boundary conditions. In this paper, we investigate the case that the
boundary condition for one of the unknowns of the system is of third
kind and nonhomogeneous. For the resulting system, we show
well-posedness, and we study optimal boundary control
problems. Existence of optimal controls is shown, and the first-order
necessary optimality conditions are derived. Owing to the strong
nonlinear couplings in the PDE system, standard arguments of optimal
control theory do not apply directly, although the control constraints
and the cost functional will be of standard type.
This paper is concerned with a diffusion model of phase-field type, consisting
of a {parabolic} system of two partial differential equations{,} interpreted as balances
of microforces and microenergy{, for two unknowns: the problem's order parameter $\rho$}
and the chemical potential $\mu$; each equation includes a viscosity term -- respectively, $\varepsilon \,\partial_t\mu$ and $\delta\,\partial_t\rho$ -- with $\varepsilon$ and $\delta$ two positive parameters; the field equations are complemented by Neumann homogeneous boundary conditions and suitable initial conditions. In a recent paper \cite{CGPS3}, we proved that this problem is \wepo\ and investigated the \loti\ \bhv\ of its $(\varepsilon,\delta)-$solutions. Here we discuss the asymptotic limit of the system as $\eps$
tends to $0$. We prove convergence of
$(\varepsilon,\delta)-$solutions to the corresponding solutions for
the case $\eps =0$, whose long-time behavior we characterize; in the
proofs, we employ compactness and monotonicity arguments.
We study the expansion of the eigenfunctions of Schrödinger operators with smooth confinement potentials in Hermite functions; confinement potentials are potentials that become unbounded at infinity. The key result is that such eigenfunctions and all their derivatives decay more rapidly than any exponential function under some mild growth
conditions to the potential and its derivatives. Their expansion in Hermite functions converges therefore very fast, super-algebraically.
The mixed regularity of electronic wave functions in fractional order and weighted Sobolev spaces
(2012)
The paper continues the study of the regularity of electronic wave functions in Hilbert spaces of mixed derivatives. It is shown that the eigenfunctions of electronic Schr\"odinger operators and their
exponentially weighted counterparts possess, roughly speaking, square integrable mixed weak derivatives of fractional order $\vartheta$ for $\vartheta<3/4$. The bound $3/4$ is best possible and can neither be reached nor surpassed. Such results are important for the study
of sparse grid-like expansions of the wave functions and show that their asymptotic convergence rate measured in terms of the number of ansatz functions involved does not deteriorate with the number of electrons.
We present Undercover, a primal heuristic for nonconvex mixed-integer nonlinear programming (MINLP) that explores a mixed-integer linear subproblem (sub-MIP) of a given MINLP. We solve a vertex covering problem to identify a minimal set of variables that need to be fixed in order to linearize each constraint, a so-called cover. Subsequently, these variables are fixed to values obtained from a reference point, e.g., an optimal solution of a linear relaxation. We apply domain propagation and conflict analysis to try to avoid infeasibilities and learn from them, respectively. Each feasible solution of the sub-MIP corresponds to a feasible solution of the original problem.
We present computational results on a test set of mixed-integer quadratically constrained programs (MIQCPs) and general MINLPs from MINLPLib. It turns out that the majority of these instances allow for small covers. Although general in nature, the heuristic appears most promising for MIQCPs, and complements nicely with existing root node heuristics in different state-of-the-art solvers.
The slow processes of metastable stochastic dynamical systems are difficult to access by direct numerical simulation due the sampling problem. Here, we suggest an approach for modeling the slow parts of Markov processes by approximating the dominant eigenfunctions and eigenvalues of the propagator. To this end, a variational principle is derived that is based on the maximization of a Raleigh coefficient. It is shown that this Raleigh coefficient can be estimated from statistical observables that can be obtained from short distributed simulations starting from different parts of state space. The approach forms a basis for the development of adaptive and efficient computational algorithms for simulating and analyzing metastable Markov processes while avoiding the sampling problem. Since any stochastic process with finite memory can be transformed into a Markov process, the approach is applicable to a wide range of processes relevant for modeling complex real-world phenomena.
Folding and conformational changes of macromolecules often require the generation of large amounts of simulation data that are difficult to ana- lyze. Markov state models (MSMs) address this challenge by providing a systematic way to decompose the state space of the molecular system into substates and to estimate a transition matrix containing the transi- tion probabilities between these substates. This transition matrix can be analyzed to reveal the metastable, i.e. long-living, states of the system, its slowest relaxation timescales and transition pathways and rates e.g. from unfolded to folded, or from dissociated to bound states. To reduce the technical burden of constructing such MSMs we provide the software framework EMMA (available at https://simtk.org/home/emma) to con- struct, validate and analyse such Markov State Models.
While seemingly straightforward in principle, the reliable estimation of rate constants is seldom easy in practice. Numerous issues, such as the complication of poor reaction coordinates, cause obvious approaches to yield unreliable estimates. When a reliable order parameter is available, the reactive flux theory of Chandler allows the rate constant to be extracted from the plateau region of an appropriate reactive flux correlation function. However, when applied to real data from single- molecule experiments or molecular dynamics simulations, the reactive flux correlation function requires the numerical differentiation of a noisy empirical correlation function, which can result in an unacceptably poor estimate of the rate and pathological dependence on the sampling interval. We present a modified version of this theory which does not require numerical derivatives, allowing rate constants to be robustly estimated from the time-correlation function directly. We illustrate the approach using single-molecule passive force spectroscopy measurements of an RNA hairpin.
Single-molecule force spectroscopy has proven to be a powerful tool for studying the kinetic be- havior of biomolecules. Through application of an external force, conformational states with small or transient populations can be stabilized, allowing them to be characterized and the statistics of in- dividual trajectories studied to provide insight into biomolecular folding and function. Because the observed quantity (force or extension) is not necessarily an ideal reaction coordinate, individual ob- servations cannot be uniquely associated with kinetically distinct conformations. While maximum- likelihood schemes such as hidden Markov models have solved this problem for other classes of single-molecule experiments by using temporal information to aid in the inference of a sequence of distinct conformational states, these methods do not give a clear picture of how precisely the model parameters are determined by the data due to instrument noise and finite-sample statistics, both sig- nificant problems in force spectroscopy. We solve this problem through a Bayesian extension that allows the experimental uncertainties to be directly quantified, and build in detailed balance to fur- ther reduce uncertainty through physical constraints. We illustrate the utility of this approach in characterizing the three-state kinetic behavior of an RNA hairpin in a stationary optical trap.
In multicriteria optimization, a compromise solution is a feasible solution whose
cost vector minimizes the distance to the ideal point w.r.t. a given norm. The coor-
dinates of the ideal point are given by the optimal values for the single optimization
problem for each criterion.
We show that the concept of compromise solutions ts nicely into the existing
notion of Pareto optimality: For a huge class of norms, every compromise solution
is Pareto optimal, and under certain conditions on the norm all Pareto optimal so-
lution are also a compromise solution, for an appropriate weighting of the criteria.
Furthermore, under similar conditions on the norm, the existence of an FPTAS for
compromise solutions guarantees the approximability of the Pareto set.
These general results are completed by applications to classical combinatorial
optimization problems. In particular, we study approximation algorithms for the
multicriteria shortest path problem and the multicriteria minimum spanning tree
problem. On the one hand, we derive approximation schemes for both problems, on
the other hand we show that for the latter problem simple approaches like local search
and greedy techniques do not guarantee good approximation factors.
We solve Skorokhod's embedding problem for Brownian motion with linear drift $(W_t+ \kappa t)_{t\geq 0}$ by means of techniques of stochastic control theory. The search for a stopping time
$T$ such that the law of $W_T + \kappa T$ coincides with a prescribed law $\mu$ possessing the first
moment is based on solutions of backward stochastic differential equations of quadratic
type. This new approach generalizes an approach by Bass [Bas] of the classical version of
Skorokhod's embedding problem using martingale representation techniques.
We consider a dynamical system described by the differential equation $\dot{Y}_t = -U^'(Y_t)$
with a unique stable point at the origin. We perturb the system by L\'evy noise of
intensity $\varepsilon$, to obtain the stochastic differential equation $dX^\varepsilon_t = -U^'(X^\varepsilon_{t-})dt + \varepsilon dL_t}.
The process $L$ is a symmetric L\'evy process whose jump measure $\nu$ has exponentially
light tails, $\nu([u, \infty))\sim exp(-u^\alpha), \alpha > 0, u \to\infty$. We study the first exit problem for
the trajectories of the solutions of the stochastic differential equation from the interval
$[-1, 1]$. In the small noise limit $\varepsilon\to 0$ we determine the law and the mean value of the
first exit time, to discover an intriguing phase transition at the critical index $\alpha = 1$.
In a strong constant electric field, a dielectric particle immersed in a weakly conducting fluid exhibits spontaneous rotations. This phenomenon is known under the name of the Quincke effect. In the original setup the particle was suspended on a silk thread and performed torsional oscillations of remarkably high amplitude. We derive the governing equations for this experiment, and ascertain
that onset of oscillations from the quiescent state corresponds to the supercritical Hopf bifurcation.
For the case of a soft thread, we characterize the regime of large-scale torsional relaxation oscillations:
explicit estimates are derived for their period and amplitude, effects of bifurcation delay are described. In a stronger electric field, these relaxation oscillations yield to small-scale erratic rotations of the pendulum.
Markov state models have become very popular for the description of conformation dynamics of molecules over
long timescales. The construction of such models requires a partitioning of the configuration space such that the discretization
can serve as an approximation of metastable conformations. Since the computational complexity for the construction of a
Markov state model increases quadratically with the number of sets, it is desirable to obtain as few sets as necessary. In this
paper we propose an algorithm for the adaptive refinement of an initial coarse partitioning. A spectral clustering method is
applied to the final partitioning to detect the metastable conformations. We apply this method to the conformation analysis of
a model tri-peptide molecule, where metastable beta- and gamma-turn conformations can be identified.
Supercomputers can simulate complex molecular systems. However, there is a very large gap between the fastest oscillations of covalent bonds of a molecule and the time-scale of the dominant processes. In order to extract the dominant time-scales and to identify the dominant processes, a clustering of information is needed. This thesis shows that only the subspace-based Robust Perron Cluster Analysis (PCCA+) can solve this problem correctly by the construction of a Markov State Model. PCCA+ allows for time-extrapolation in molecular kinetics. This thesis shows the difference between molecular dynamics and molecular kinetics. Only in the molecular kinetics framework a definition of transition rates is possible. In this context, the existence of an infinitesimal generator of the dynamical processes is discussed. If the existence is assumed, the Theorem of Gauß can be applied in order to compute transition rates efficiently. Molecular dynamics, however, is not able to provide a suitable statistical basis for the determination of the transition pattern.
We introduce nonsmooth Schur-Newton methods for the solution of the nonlinear discrete saddle-point problems arising from discretized vector-valued Cahn-Hilliard equations with logarithmic and obstacle potentials. The discrete problems are obtained by semi-implicit discretization in time and a first order finite element discretization in space. We incorporate the linear constraints that enforce solutions to stay on the Gibbs simplex using Lagrangian multipliers and prove existence of these multipliers under the assumption of a non-trivial initial condition for the order parameters.
We formulate the static mechanical coupling of a geometrically exact Cosserat rod to an elastic continuum. The coupling conditions accommodate for the difference in dimension between the two models. Also, the Cosserat rod model incorporates director variables, which are not present in the elastic continuum model. Two alternative coupling conditions are proposed, which correspond to two different configuration trace spaces. For both we show existence of solutions of the coupled problems. We also derive the corresponding conditions for the dual variables and interpret them in mechanical terms.
Convergence Analysis of Smoothing Methods for Optimal Control of Stationary Variational Inequalities
(2012)
In the article an optimal control problem subject to a stationary variational inequality is investigated. The optimal control problem is complemented with pointwise
control constraints. The convergence of a smoothing scheme is analyzed. There, the variational inequality is replaced by a semilinear elliptic equation. It is shown that solutions of the regularized optimal control problem converge to solutions of the original one. Passing to
the limit in the optimality system of the regularized problem allows to prove C-stationarity of local solutions of the original problem. Moreover, convergence rates with respect to the regularization parameter for the error in the control are obtained. These rates coincide with
rates obtained by numerical experiments, which are included in the paper.
We derive a-priori estimates on the length of the primal-dual path that results from a Moreau-Yosida approximation of the feasible set for state constrained optimal control problems. These bounds depend on the regularity of the state and the dimension of the problem. Comparison with numerical results indicates that these bounds are sharp and are attained for the case of a single active point.
We analyze a remarkable class of centrally symmetric polytopes, the Hansen
polytopes of split graphs. We confirm Kalai's 3^d-conjecture for such polytopes
(they all have at least 3^d nonempty faces) and show that the Hanner polytopes
among them (which have exactly 3^d nonempty faces) correspond to threshold
graphs. Our study produces a new family of Hansen polytopes that have only
3^d+16 nonempty faces.
In this article we propose a novel approach to reduce the computational complexity
of the dual method for pricing American options. We consider a sequence of
martingales that converges to a given target martingale and decompose the original
dual representation into a sum of representations that correspond to dierent levels
of approximation to the target martingale. By next replacing in each representation
true conditional expectations with their Monte Carlo estimates, we arrive at what
one may call a multilevel dual Monte Carlo algorithm. The analysis of this algorithm
reveals that the computational complexity of getting the corresponding target upper
bound, due to the target martingale, can be signicantly reduced. In particular, it
turns out that using our new approach, we may construct a multilevel version of the
well-known nested Monte Carlo algorithm of Andersen and Broadie (2004) that is,
regarding complexity, virtually equivalent to a non-nested algorithm. The performance
of this multilevel algorithm is illustrated by a numerical example.
In this paper, we study the dual representation for generalized multiple stopping problems,
hence the pricing problem of general multiple exercise options. We derive a dual representation which allows for cashflows which are subject to volume constraints modeled by
integer valued adapted processes and refraction periods modeled by stopping times. As
such, this extends the works by Schoenmakers (2010), Bender (2011a), Bender (2011b),
Aleksandrov and Hambly (2010), and Meinshausen and Hambly (2004) on multiple exercise
options, which either take into consideration a refraction period or volume constraints, but
not both simultaneously. We also allow more flexible cashflow structures than the additive
structure in the above references. For example some exponential utility problems are covered
by our setting. We supplement the theoretical results with an explicit Monte Carlo algorithm
for constructing confidence intervals for the price of multiple exercise options and exemplify
it by a numerical study on the pricing of a swing option in an electricity market.
Optimal dual martingales, their analysis and application to new algorithms for Bermudan products
(2012)
In this paper we introduce and study the concept of optimal and surely
optimal dual martingales in the context of dual valuation of Bermudan
options, and outline the development of new algorithms in this context.
We provide a characterization theorem, a theorem which gives conditions
for a martingale to be surely optimal, and a stability theorem concerning martingales which are near to be surely optimal in a sense. Guided
by these results we develop a framework of backward algorithms for constructing such a martingale. In turn this martingale may then be utilized
for computing an upper bound of the Bermudan product. The methodology is pure dual in the sense that it doesn’t require certain (input)
approximations to the Snell envelope.
In an Ito-Levy environment we outline a particular regression based
backward algorithm which allows for computing dual upper bounds without nested Monte Carlo simulation. Moreover, as a by-product this algorithm also provides approximations to the continuation values of the
product, which in turn determine a stopping policy. Hence, we may obtain lower bounds at the same time.
In a first numerical study we demonstrate a backward dual regression algorithm in a Wiener environment that is easy to implement and
is regarding accuracy comparable with the method of Belomestny et. al.
(2009).
Primal-dual linear Monte Carlo algorithm for multiple stopping - An application to flexible caps
(2012)
In this paper we consider the valuation of Bermudan callable derivatives with
multiple exercise rights. We present in this context a new primal-dual linear
Monte Carlo algorithm that allows for ecient simulation of lower and upper price
bounds without using nested simulations (hence the terminology). The algorithm
is essentially an extension of a primal{dual Monte Carlo algorithm for standard
Bermudan options proposed in Schoenmakers et al. (2011), to the case of multiple
exercise rights. In particular, the algorithm constructs upwardly a system of dual
martingales to be plugged into the dual representation of Schoenmakers (2010).
At each level the respective martingale is constructed via a backward regression
procedure starting at the last exercise date. The thus constructed martingales are
nally used to compute an upper price bound. At the same time, the algorithm
also provides approximate continuation functions which may be used to construct
a price lower bound. The algorithm is applied to the pricing of
exible caps
in a Hull and White (1990) model setup. The simple model choice allows for
comparison of the computed price bounds with the exact price which is obtained
by means of a trinomial tree implementation. As a result, we obtain tight price
bounds for the considered application. Moreover, the algorithm is generically
designed for multi-dimensional problems and is tractable to implement.
We study minimal supersolutions of backward stochastic differential equations. We show the existence and uniqueness of the minimal supersolution, if the generator is jointly lower semicontinuous, bounded from below by an affine function of the control variable, and satisfies a specific normalization property. Semimartingale convergence is used to establish the main result.
We study a nonlinear operator defined via minimal supersolutions of backward stochastic differential equations with generators that are monotone in y, convex in z, jointly lower semicontinuous, and bounded below by an affine function of the control variable. We show existence, uniqueness, monotone convergence, Fatou’s Lemma and lower semicontinuity of this functional. We provide a comparison principle for the underlying minimal supersolutions of BSDEs, which we illustrate by maximizing expected exponential utility.
We provide results on the existence and uniqueness of equilibrium in dynamically incomplete financial markets in discrete time. Our framework allows for heterogeneous agents, unspanned random endowments and convex trading constraints. In the special case where all agents have preferences of the same type and all random endowments are replicable by trading in the financial market we show that a one-fund theorem holds and give an explicit expression for the equilibrium pricing kernel. If the underlying noise is generated by finitely many Bernoulli random walks, the equilibrium dynamics can be described by a system of coupled backward stochastic difference equations, which in the continuous-time limit becomes a multi-dimensional backward stochastic differential equation. If the market is complete in equilibrium, the system of equations decouples, but if not, one needs to keep track of the prices and continuation values of all agents to solve it. As an example we simulate option prices in the presence of stochastic volatility, demand pressure and short-selling constraints.
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have exponential utility functions and the individual endowments are spanned by the securities, an equilibrium exists and the agents’ optimal trading strategies are constant. Affine processes, and the theory of information-based asset pricing are used to model the endogenous asset price dynamics and the terminal payoff. The derived semi-explicit pricing formulae are applied to numerically analyze the impact of the agents’ risk aversion on the implied volatility of simultaneously-traded European-style options.
In the paradigm of VON N EUMANN AND M ORGENSTERN, a representation of affine pref-
erences in terms of an expected utility can be obtained under the assumption of weak continu-
ity. Since the weak topology is coarse, this requirement is a priori far from being negligible.
In this work, we replace the assumption of weak continuity by monotonicity. More precisely,
on the space of lotteries on an interval of the real line, it is shown that any affine preference
order which is monotone with respect to the first stochastic order admits a representation in
terms of an expected utility for some nondecreasing utility function. As a consequence, any
affine preference order on the subset of lotteries with compact support, which is monotone
with respect to the second stochastic order, can be represented in terms of an expected util-
ity for some nondecreasing concave utility function. We also provide such representations
for affine preference orders on the subset of those lotteries which fulfill some integrability
conditions. The subtleties of the weak topology are illustrated by some examples.
We consider backward stochastic differential equations with drivers of quadratic growth (qgBSDE). We prove several statements concerning path regularity and stochastic smooth-
ness of the solution processes of the qgBSDE, in particular we prove an extension of Zhang's path regularity theorem to the quadratic growth setting. We give explicit convergence rates for the difference between the solution of a qgBSDE and its truncation, filling an important gap in numerics for qgBSDE. We give an alternative proof of second order Malliavin differentiability for BSDE with drivers that are Lipschitz continuous (and differentiable), and
then derive the same result for qgBSDE.
We consider the problem of numerical approximation for forward-backward stochastic
differential equations with drivers of quadratic growth (qgFBSDE). To illustrate the significance
of qgFBSDE, we discuss a problem of cross hedging of an insurance related financial
derivative using correlated assets. For the convergence of numerical approximation schemes for
such systems of stochastic equations, path regularity of the solution processes is instrumental.
We present a method based on the truncation of the driver, and explicitly exhibit error estimates
as functions of the truncation height. We discuss a reduction method to FBSDE with globally
Lipschitz continuous drivers, by using the Cole-Hopf exponential transformation. We finally
illustrate our numerical approximation methods by giving simulations for prices and optimal
hedges of simple insurance derivatives.
The LIBOR market model is very popular for pricing inter-
est rate derivatives, but is known to have several pitfalls. In addition, if
the model is driven by a jump process, then the complexity of the drift
term is growing exponentially fast (as a function of the tenor length). In
this work, we consider a Levy-driven LIBOR model and aim at developing accurate and efficient log-Levy approximations for the dynamics of
the rates. The approximations are based on truncation of the drift term
and Picard approximation of suitable processes. Numerical experiments
for FRAs, caps and swaptions show that the approximations perform
very well. In addition, we also consider the log-Levy approximation of
annuities, which offers good approximations for high volatility regimes.
Optimal dual martingales, their analysis and application to new algorithms for Bermudan products
(2012)
In this paper we introduce and study the concept of optimal and surely
optimal dual martingales in the context of dual valuation of Bermudan
options, and outline the development of new algorithms in this context.
We provide a characterization theorem, a theorem which gives conditions
for a martingale to be surely optimal, and a stability theorem concerning martingales which are near to be surely optimal in a sense. Guided
by these results we develop a framework of backward algorithms for constructing such a martingale. In turn this martingale may then be utilized
for computing an upper bound of the Bermudan product. The methodology is pure dual in the sense that it doesn't require certain (input)
approximations to the Snell envelope.
In an Ito-Levy environment we outline a particular regression based
backward algorithm which allows for computing dual upper bounds with-
out nested Monte Carlo simulation. Moreover, as a by-product this algorithm also provides approximations to the continuation values of the
product, which in turn determine a stopping policy. Hence, we may obtain lower bounds at the same time.
In a first numerical study we demonstrate a backward dual regression algorithm in a Wiener environment that is easy to implement and
is regarding accuracy comparable with the method of Belomestny et. al.
(2009).
With an emphasis on generators with quadratic growth in the control variable we consider
measure solutions of BSDE, a solution concept corresponding to the notion of risk neutral
measure in mathematical finance. In terms of measure solutions, solving a BSDE reduces
to martingale representation with respect to an underlying filtration. Measure solutions
related to measures equivalent to the historical one provide classical solutions. We derive
the existence of measure solutions in scenarios in which the generating functions are just
continuous, of at most linear growth in the control variable (corresponding to generators of
at most quadratic growth in the usual sense), and with a random bound in the time parameter
whose stochastic integral is a BMO martingale. Our main tools include a stability property
of sequences of measure solutions, for which a limiting solution is obtained by means of the
weak convergence of measures.
Particle methods have become indispensible in conformation dynamics to compute transition rates in protein folding, binding processes and molecular design, to mention a few. Conformation dynamics requires at a decomposition of a molecule's position space into metastable conformations. In this paper, we show how this decomposition can be obtained via the design of either ``soft'' or ``hard'' molecular conformations. We show, that the soft approach results in a larger metastabilitiy of the decomposition and is thus more advantegous. This is illustrated by a simulation of Alanine Dipeptide.
This paper deals with the computation of regular coderivatives of
solution maps associated with a frequently arising class of generalized equations.
The constraint sets are given by (not necessarily convex) inequalities,
and we do not assume linear independence of gradients to active constraints.
The achieved results enable us to state several versions of sharp necessary optimality
conditions in optimization problems with equilibria governed by such
generalized equations. The advantages are illustrated by means of examples.
The article investigates the relation between global solutions of hyperbolic balance laws and viscous balance laws on the circle. It is thematically located at the crossroads of hyperbolic and parabolic partial differential equations with one-dimensional space variable and periodic boundary conditions. The two equations are given by:
u_t+f(u)_x=g(u)
and
u_t+f(u)_x=e u_{xx}+g(u).
The main result of the paper corrects a result on the persistence of heteroclinic connections by Fan and Hale from 1995 when viscosity vanishes: The "Connection Lemma" states that a connection can only persist if the zero number of the source state is a multiple of the zero number of the target state. The "Cascading Theorem" then yields convergence of heteroclinic connections to a sequence of heteroclinic connections and stationary solutions in case of non-persistence.
In addition a full description of the connection problem of rotating waves on the parabolic attractor is given.
A capillary surface in a negative gravitational field describes the shape of the surface of a hanging drop in a capillary tube with wetting material on the bottom. Mathematical modeling leads to the volume- and obstacle-constrained minimization of a nonconvex nonlinear energy functional of mean curvature type which is unbounded from below. In 1984 Huisken proved the existence and regularity of local minimizers of this energy under the condition on gravitation being sufficiently weak. We prove convergence of a first order finite element approximation of these minimizers. Numerical results demonstrating the theoretic convergence order are given.
Flows over time and generalized flows are two advanced network flow models of utmost importance, as they incorporate two crucial features occurring in numerous real-life networks. Flows over time feature time as a problem dimension and allow to realistically model the fact that commodities (goods, information, etc.) are routed through a network over time. Generalized flows allow for gain/loss factors on the arcs that model physical transformations of a commodity due to leakage, evaporation, breeding, theft, or interest rates. Although the latter effects are usually time-bound, generalized flow models featuring a temporal dimension have never been studied in the literature.
In this paper we introduce the problem of computing a generalized maximum flow over time in networks with both gain factors and transit times on the arcs. While generalized maximum flows and maximum flows over time can be computed efficiently, our combined problem turns out to be NP-hard and even completely non-approximable. A natural special case is given by lossy networks where the loss rate per time unit is identical on all arcs. For this case we present a (practically efficient) FPTAS that also reveals a surprising connection to so-called earliest arrival flows.
We consider a basic subproblem which arises in line planning,
and is of particular importance in the context of a high system
load or robustness: How much can be routed maximally along all possible
lines? The essence of this problem is the Path Constrained Network
Flow (PCN) problem. We explore the complexity of this problem and
its dual. In particular we show for the primal that it is as hard to
approximate as MAX CLIQUE and for the dual that it is as hard to
approximate as SET COVER. We also prove that the PCN problem is
hard for special graph classes, interesting both from a complexity and
from a practical perspective. Finally, we present a special graph class
for which there is a polynomial-time algorithm.
We consider a sorting problem from railway optimization
called train classification: incoming trains are split up into their single
cars and reassembled to form new outgoing trains. Trains are subject
to delay, which may turn a prepared sorting schedule infeasible for the
disturbed situation. The classification methods applied today deal with
this issue by completely disregarding the input order of cars, which provides
robustness against any amount of disturbance but also wastes the
potential contained in the a priori knowledge about the input.
We introduce a new method that provides a feasible sorting schedule for
the expected input and allows to
flexibly insert additional sorting steps
if the schedule has become infeasible after revealing the disturbed input.
By excluding disruptions that almost never occur from our consideration,
we obtain a classification process that is quicker than the current railway
practice but still provides robustness against realistic delays. In fact, our
algorithm allows
flexibly trading off fast classification against high degrees
of robustness depending on the respective need. We further explore
this
flexibility in experiments on real-world traffic data, underlining our
algorithm improves on the methods currently applied in practice.
The knapsack problem is one of the basic problems in combinatorial optimization. In real-world applications it is often part of a more complex problem. Examples are machine capacities in production planning or bandwidth restrictions in telecommunication network design. Due to unpredictable future settings or erroneous data, parameters of such a subproblem are subject to uncertainties.
In high risk situations a robust approach should be chosen to deal with these uncertainties.
Unfortunately, classical robust optimization outputs solutions with little profit by prohibiting any adaption of the solution when the actual realization of the uncertain parameters is known.
This ignores the fact that in most settings minor changes to a previously determined solution are possible. To overcome these drawbacks we allow a limited recovery of a previously fixed item set as soon as the data are known by deleting at most k items and adding up to l new items.
We consider the complexity status of this recoverable robust knapsack problem and extend the classical concept of cover inequalities to obtain stronger polyhedral descriptions. Finally, we present two extensive computational studies to investigate the influence of parameters k and l to the objective and evaluate the effectiveness of our new class of valid inequalities.
In this paper, we investigate the recoverable robust knapsack problem,
where the uncertainty of the item weights follows the approach of Bertsimas and
Sim. In contrast to the robust approach, a limited recovery action is allowed,
i.e., up to k items may be removed when the actual weights are known. This problem
is motivated by the assignment of traffic nodes to antennas in wireless network
planning. Starting from an exponential min-max optimization model, we derive an
integer linear programming formulation of quadratic size. In a preliminary computational
study, we evaluate the gain of recovery using realistic planning data.
In this paper we investigate two different recoverable robust models to deal with cost uncertainties in a shortest path problem. Recoverable robustness extends the classical concept of robustness to deal with uncertainties by incorporating limited recovery actions after the
full data are revealed. Our first model focuses on the case where the recovery actions are quite restricted: after a simple path is fixed in the first stage, in the second stage, after all data are revealed, any path containing at most k new arcs may be chosen.
Thus, the parameter k can be interpreted as a mediator between
robust optimization - no changes allowed - and optimization
on the fly - an arbitrary solution can be chosen. Considering three
classical scenario sets, which model uncertainties in the cost function,
we show that this new problem is strongly NP-hard in all
these cases and is not approximable, unless P=NP.
This is in contrast to the robust shortest path problem, where, for
example, an optimal solution can be computed efficiently for interval
and Gamma-scenarios. For series-parallel graphs and interval scenarios,
we present a polynomial time algorithm for this recoverable robust
setting.
In our second model the recovery set, i.e., the set of paths selectable
in the second stage is not limited, but deviating from the previous
choice comes at extra cost. Thus, a path chosen in the first stage
produces renting costs modeled as an alpha-fraction of the scenario
cost. For an arc taken in the second stage the remaining cost needs
to be paid in addition to some extra inflation cost modeled by a beta-fraction
of the scenario cost, if the arc was not reserved beforehand. The
complexity status of this problem is similar to the robust case. Yet,
for Gamma-scenarios the problem is again strongly NP-hard,
but can be approximated.
Recently, Khuller, Moss and Naor presented a greedy algorithm for the budgeted maximum coverage problem. In this note, we observe that this algorithm also approximates a special case of set-union knapsack problem within a constant factor. In the special case, an element is a member of less than a constant number of subsets. This guarantee naturally extends to densest k-subgraph problem on graphs of bounded degree.
Deformable surface models are often represented as triangular meshes in image segmentation applications. For a fast and easily regularized deformation onto the target object boundary, the vertices of the mesh are commonly moved along line segments (typically surface normals). However, in case of high mesh curvature, these lines may intersect with the target boundary at “non-corresponding” positions, or may not intersect at all. Consequently, certain deformations cannot be achieved. We propose omnidirectional displacements for deformable surfaces (ODDS) to overcome this limitation. ODDS allow each vertex to move not only along a line segment but within a surrounding sphere, and achieve globally optimal deformations subject to local regularization con-
straints. However, allowing a ball-shaped instead of a linear range of motion per vertex significantly increases runtime and memory. To alleviate this drawback, we propose a hybrid approach, fastODDS, with improved runtime and reduced memory requirements. Furthermore, fastODDS can also cope with simultaneous segmentation of multiple objects. We show the theoretical benefits of ODDS with experiments on synthetic data, and evaluate ODDS and fastODDS quantitatively on clinical image data of the mandible and the hip bones. There, we assess both the global segmentation accuracy as well as local accuracy in high curvature regions, such as the tip-shaped mandibular coronoid processes and the ridge-shaped acetabular rims of
the hip bones.
Genome-scale metabolic networks are useful tools for achieving a system-level understanding of metabolism. However, due to their large size, analysis of such networks may be difficult and algorithms can be very slow. Therefore, some authors have suggested to analyze subsystems instead of the original genome-scale models.
Flux coupling analysis (FCA) is a well-known method for detecting functionally related reactions in metabolic networks.
In this paper, we study how flux coupling relations may change if we analyze a subsystem instead of the original network. We show mathematically that a pair of fully, partially or directionally coupled reactions may be detected as uncoupled in certain subsystems. Interestingly, this behavior is the opposite of the flux coupling changes that may occur due to missing reactions, or equivalently, deletion of reactions.
Computational experiments suggest that the analysis of plastid (but not mitochondrial) subsystems may significantly influence the results of FCA. Therefore, the results of FCA for subsystems, especially plastid subsystems, should be interpreted with care.
We introduce an algorithm for
diffusion weighted magnetic resonance imaging data enhancement based on structural adaptive smoothing in both space and diffusion direction.
The method, called POAS, does not refer to a specific model for the data, like the diffusion tensor or higher order models.
It works by embedding the measurement space into a space with defined metric and group operations, in this case the Lie group of three-dimensional Euclidean motion SE(3).
Subsequently, pairwise comparisons of the values of the diffusion
weighted signal are used for adaptation.
The position-orientation adaptive smoothing preserves the edges of the observed fine and anisotropic structures.
The POAS-algorithm is designed to reduce noise directly in the diffusion weighted images and consequently also to reduce bias and
variability of quantities derived from the data for specific models.
We evaluate the algorithm on simulated and experimental data and demonstrate that it can be used to reduce the number of applied diffusion gradients and
hence acquisition time while achieving similar quality of data, or to improve the quality of data acquired in a clinically feasible scan time setting.
In recent years, substantial progress in shape analysis has been achieved through methods that use the spectra and eigenfunctions of discrete Laplace operators. In this work, we study spectra and eigenfunctions of discrete differential operators that can serve as an alternative to discrete Laplacians for applications in shape analysis. We construct such operators as the Hessians of surface energies or deformation energies. In particular, we design a quadratic energy such that, on the one hand, its Hessian equals the Laplace operator if the surface is a part of the Euclidean plane, and, on the other hand, the Hessian eigenfunctions are sensitive to the extrinsic curvature (e.g. sharp bends) on curved
surfaces. Furthermore, we consider eigenvibrations induced by deformation energies, and we derive a closed form representation for the Hessian (at the rest state of the energy) for a general class of deformation energies. Based on these spectra and eigenmodes, we derive two shape signatures. One that measures the similarity of points on a surface, and another that can be used to identify features of surfaces.
We present a unified computational framework for matching 3d geometric objects (points, lines, surfaces, volumes) of highly varying shape. Our approach is based on the Large Deformation Diffeomorphic Metric Mapping (LDDMM) method acting on $m$-currents. After stating an optimization algorithm in the function space of admissible morph generating velocity fields, two innovative aspects in this framework are presented: First, we spatially discretize the velocity field with conforming adaptive finite elements and discuss advantages of this new approach. Secondly, we directly compute the temporal evolution of discrete $m$-current attributes. Several numerical experiments demonstrate the effectiveness of this approach.
We derive and study a dynamical model for suspensions of negatively buoyant particles on an incline. Our theoretical model includes the settling/sedimentation due to gravity as well as the resuspension of particles induced by shear-induced migration, leading to disaggregation of the dense sediment layer. Out of the three different regimes observed in the experiments, we focus on the so-called settled case, where the particles settle out of the flow, and two distinct fronts, liquid and particle, form. Using an approach relying on asymptotics, we systematically connect our dynamic model with the previously developed equilibrium theory for particle-laden flows. We show that the resulting transport equations for the liquid and the particles are of hyperbolic type, and study the dilute limit, for which we derive the analytic solution. We also carry out a systematic experimental study of the settled regime, focusing on the motion of the liquid and the particle fronts. Finally, we carry out numerical simulations of our transport equations. We show that the model predictions for small to moderate values of the particle volume fraction and the inclination angle of the solid substrate agree well with the experimental data.
We investigate different dynamical regimes of neuronal network in the CA3 area of the hippocampus.
The proposed neuronal circuit includes two fast- and two slowly-spiking cells which are interconnected by means of dynamical synapses. On the individual level, each neuron is modeled by FitzHugh-Nagumo equations. Three basic rhythmic patterns are observed: gamma-rhythm in which the fast neurons are uniformly spiking, theta-rhythm in which the individual spikes are separated by quiet epochs, and theta/gamma rhythm with repeated patches of spikes. We analyze the influence of asymmetry of synaptic strengths on the synchronization in the network and demonstrate that
strong asymmetry reduces the variety of available dynamical states. The model network exhibits multistability; this results in occurrence of hysteresis in dependence on the conductances of individual connections. We show that switching between different rhythmic patterns in the network
depends on the degree of synchronization between the slow cells.
Traffic in communication networks fluctuates heavily over time. Thus, to avoid capacity bottlenecks,
operators highly overestimate the traffic volume during network planning. In this paper we consider
telecommunication network design under traffic uncertainty, adapting the robust optimization approach
of Bertsimas and Sim [21]. We present three different mathematical formulations for this problem, provide valid inequalities,
study the computational implications, and evaluate the realized robustness.
To enhance the performance of the mixed-integer programming solver we derive robust cutset inequalities generalizing their deterministic counterparts. Instead of a single cutset inequality for every
network cut, we derive multiple valid inequalities by exploiting the extra variables available in the robust formulations. We show that these inequalities define facets under certain conditions and that they
completely describe a projection of the robust cutset polyhedron if the cutset consists of a single edge.
For realistic networks and live traffic measurements we compare the formulations and report on the
speed up by the valid inequalities. We study the “price of robustness” and evaluate the approach by
analyzing the real network load. The results show that the robust optimization approach has the potential
to support network planners better than present methods.
In this paper, we deal with a hydraulic reservoir optimization problem with uncertainty on
inflows in a joint chance constrained programming setting. In particular, we will consider inflows with
a persistency effect, following a causal time series model, and examine the impact of the ”Gaussian”
assumption for such inflows. We present an iterative algorithm for solving similarly structured joint
chance constrained programming problems that requires a Slater point and the computation of gradients.
Several alternatives to the joint chance constraint problem are presented. In particular, we present an
individual chance constraint problem and a robust model. We illustrate the interest of joint chance
constrained programming by comparing results obtained on a realistic hydro-valley with those obtained
from the alternative models. Despite the fact that the alternative models often require less hypothesis
on the law of the inflows, we show that they yield conservative and costly solutions. The simpler models,
such as the individual chance constraint one, are shown to yield insufficient robustness and are therefore
not useful. We therefore conclude that Joint Chance Constrained programming appears as a technique
offering a good trade-off between cost and robustness and can be tractable for complex realistic models.
Analysis of the second phase of the GMRES convergence for a convection-diffusion model problem
(2012)
It is well konwn that GMRES applied to linear algebraic systems arising from a convection-diffusion model problem that has been discretized by the streamline upwind Petrov-Galerkin (SUPG) method, typically displays two distinct phases of convergence: a slow initial phase followed by a convergence acceleration in the second phase. This paper complements the known results on the length of the initial phase by analyzing how the acceleration in the second phase of convergence is related to the mesh Peclet number and the choice of the stabilization parameter in the SUPG discretization. The analysis is based on some new expressions and bounds for the GMRES residuals, which can be of general interest.
The paper examines the applicability of mathematical programming methods to the simultaneous optimization of the structure and the operational parameters of a combined-cycle-based cogeneration plant. The optimization problem is formulated as a nonconvex mixed-integer nonlinear problem (MINLP) and solved by the MINLP solver LaGO. The algorithm generates a convex relaxation of the MINLP and applies a Branch and Cut algorithm to the relaxation. Numerical results for different demands for electric power and process steam are discussed and a sensitivity analysis is performed.
We provide lower estimates for the norm of gradients of Gaussian
distribution functions and apply the results obtained to a special class of
probabilistically constrained optimization problems. In particular, it is shown
how the precision of computing gradients in such problems can be controlled
by the precision of function values for Gaussian distribution functions. Moreover,
a sensitivity result for optimal values with respect to perturbations of the
underlying random vector is derived. It is shown that the so-called maximal
increasing slope of the optimal value with respect to the Kolmogorov distance
between original and perturbed distribution can be estimated explicitly from
the input data of the problem.
Primal heuristics are an important component of state-of-the-art codes for mixed integer programming. In this paper, we focus on primal heuristics that only employ computationally inexpensive procedures such as rounding and logical deductions (propagation). We give an overview of eight different approaches. To assess the impact of these primal heuristics on the ability to find feasible solutions, in particular early during search, we introduce a new performance measure, the primal integral. Computational experiments evaluate this and other measures on MIPLIB~2010 benchmark instances.
Energetic reasoning is one of the most powerful propagation algorithms in cumulative scheduling. In practice, however, it is not commonly used because it has a high running time and its success highly depends on the tightness of the variable bounds. In order to speed up energetic reasoning, we provide an easy-to-check necessary condition for energetic reasoning to detect infeasibilities. We present an implementation of energetic reasoning that employs this condition and that can be parametrically adjusted to handle the trade-off between solving time and propagation overhead. Computational results on instances from the PSPLIB are provided. These results show that using this condition decreases the running time by more than a half, although more search nodes need to be explored.
We present Undercover, a primal heuristic for mixed-integer nonlinear programming (MINLP). The heuristic constructs a mixed-integer linear subproblem (sub-MIP) of a given MINLP by fixing a subset of the variables. We solve a set covering problem to identify a minimal set of variables which need to be fixed in order to linearise each constraint. Subsequently, these variables are fixed to approximate values, e.g. obtained from a linear outer approximation. The resulting sub-MIP is solved by a mixed-integer linear programming solver. Each feasible solution of the sub-MIP corresponds to a feasible solution of the original problem. Although general in nature, the heuristic seems most promising for mixed-integer quadratically constrained programmes (MIQCPs). We present computational results on a general test set of MIQCPs selected from the MINLPLib.
Large neighborhood search (LNS) heuristics are an important component of modern branch-and-cut algorithms for solving mixed-integer linear programs (MIPs). Most of these LNS heuristics use the LP relaxation as the basis for their search, which is a reasonable choice in case of MIPs. However, for more general problem classes, the LP relaxation alone may not contain enough information about the original problem to find feasible solutions with these heuristics, e.g., if the problem is nonlinear or not all constraints are present in the current relaxation. In this paper, we discuss a generic way to extend LNS heuristics that have been developed for MIP to constraint integer programming (CIP), which is a generalization of MIP in the direction of constraint programming (CP). We present computational results of LNS heuristics for three problem classes: mixed-integer quadratically constrained programs, nonlinear pseudo-Boolean optimization instances, and resource-constrained project scheduling problems. Therefore, we have implemented extended versions of the following LNS heuristics in the constraint integer programming framework SCIP: Local Branching, RINS, RENS, Crossover, and DINS. Our results indicate that a generic generalization of LNS heuristics to CIP considerably improves the success rate of these heuristics.
We propose a hybrid approach for solving the resource-constrained project scheduling problem which is an extremely hard to solve combinatorial optimization problem of practical relevance. Jobs have to be scheduled on (renewable) resources subject to precedence constraints such that the resource capacities are never exceeded and the latest completion time of all jobs is minimized. The problem has challenged researchers from different communities, such as integer programming (IP), constraint programming (CP), and satisfiability testing (SAT). Still, there are instances with 60 jobs which have not been solved for many years. The currently best known approach, lazyFD, is a hybrid between CP and SAT techniques. In this paper we propose an even stronger hybridization by integrating all the three areas, IP, CP, and SAT, into a single branch-and-bound scheme. We show that lower bounds from the linear relaxation of the IP formulation and conflict analysis are key ingredients for pruning the search tree. First computational experiments show very promising results. For five instances of the well-known PSPLIB we report an improvement of lower bounds. Our implementation is generic, thus it can be potentially applied to similar problems as well.
Learning during search allows solvers for discrete optimization problems to remember parts of the search that they have already performed and avoid revisiting redundant parts. Learning approaches pioneered by the SAT and CP communities have been successfully incorporated into the SCIP constraint integer programming platform. In this paper we show that performing a heuristic constraint programming search during root node processing of a binary program can rapidly learn useful nogoods, bound changes, primal solutions, and branching statistics that improve the remaining IP search.
Mixed integer programming (MIP) has become one of the most important techniques in Operations Research and Discrete Optimization. SCIP (Solving Constraint Integer Programs) is currently one of the fastest non-commercial MIP solvers. It is based on the branch-and-bound procedure in which the problem is recursively split into smaller subproblems, thereby creating a so-called branching tree. We present ParaSCIP, an extension of SCIP, which realizes a parallelization on a distributed memory computing environment. ParaSCIP uses SCIP solvers as independently running processes to solve subproblems (nodes of the branching tree) locally. This makes the parallelization development independent of the SCIP development. Thus, ParaSCIP directly profits from any algorithmic progress in future versions of SCIP. Using a first implementation of ParaSCIP, we were able to solve two previously unsolved instances from MIPLIB2003, a standard test set library for MIP solvers. For these computations, we used up to 2048 cores of the HLRN~II supercomputer.
We provide a computational study of the performance of a state-of-the-art solver for nonconvex mixed-integer quadratically constrained programs (MIQCPs). Since successful general-purpose solvers for large problem classes necessarily comprise a variety of algorithmic techniques, we focus especially on the impact of the individual solver components. The solver SCIP used for the experiments implements a branch-and-cut algorithm based on linear outer approximation to solve MIQCPs to global optimality. Our analysis is based on a set of 86 publicly available test instances.
MIPLIB 2010
(2012)
This paper reports on the fifth version of the Mixed Integer Programming Library. The MIPLIB 2010 is the first MIPLIB release that has been assembled by a large group from academia and from industry, all of whom work in integer programming. There was mutual consent that the concept of the library had to be expanded in order to fulfill the needs of the community. The new version comprises 361 instances sorted into several groups. This includes the main benchmark test set of 87 instances, which are all solvable by today's codes, and also the challenge test set with 164 instances, many of which are currently unsolved. For the first time, we include scripts to run automated tests in a predefined way. Further, there is a solution checker to test the accuracy of provided solutions using exact arithmetic.
In this paper we formulate a boundary layer approximation
for an Allen--Cahn-type equation involving a small parameter $\eps$. Here, $\eps$ is related to the thickness of the boundary layer and we are interested in the limit when $\eps$ tends to $0$ in order to derive nontrivial boundary conditions. The evolution of the system is written as an energy balance formulation of the L^2-gradient flow with the corresponding Allen--Cahn energy functional. By transforming the boundary layer to a fixed domain we show the convergence of the solutions to a solution of a limit system. This is done by using concepts related to Gamma- and Mosco convergence. By considering different scalings in the boundary layer we obtain different boundary conditions.
A theorem on error estimates for smooth nonlinear programming
problems in Banach spaces is proved that can be used to derive
optimal error estimates for optimal control problems. This theorem is applied
to a class of optimal control problems for quasilinear elliptic equations.
The state equation is approximated by a finite element scheme, while different
discretization methods are used for the control functions. The distance of
locally optimal controls to their discrete approximations is estimated.
Our model of the bovine estrous cycle is a set of ordinary differential equations which generates hormone profiles of successive estrous cycles with several follicular waves per cycle. It describes the growth and decay of the follicles and the corpus luteum, as well as the change of the key substances over time. In this work we describe recent improvements of this model, including the introduction of new components, and elimination of time delays. We validate our model by showing that the simulations agree with observations from synchronization studies and with measured progesterone data after a single dose administration of synthetic prostaglandin F2alpha.
Modelling, parameter identification, and simulation play an important rôle in Systems Biology. In recent years, various software packages have been established for scientific use in both licencing types, open source as well as commercial. Many of these codes are based on inefficient and mathematically outdated algorithms. By introducing the package BioPARKIN recently developed at ZIB, we want to improve this situation significantly. The development of the software BioPARKIN involves long standing mathematical ideas that, however, have not yet entered the field of Systems Biology, as well as new ideas and tools that are particularly important for the analysis of the dynamics of biological networks. BioPARKIN originates from the package PARKIN, written by P.Deuflhard and U.Nowak, that has been applied successfully for parameter identification in physical chemistry for many years.
This study presents a differential equation model for the feedback mechanisms between
Gonadotropin-releasing Hormone (GnRH), Follicle-Stimulating Hormone (FSH), Luteinizing
Hormone (LH), development of follicles and corpus luteum, and the production of estradiol
(E2), progesterone (P4), inhibin A (IhA), and inhibin B (IhB) during the female menstrual
cycle. In contrast to other models, this model does not involve delay differential equations
and is based on deterministic modelling of the GnRH pulse pattern, which allows for faster
simulation times and efficient parameter identification. These steps were essential to tackle
the task of developing a mathematical model for the administration of GnRH analogues. The
focus of this paper is on model development for GnRH receptor binding and the integration of
a pharmacokinetic/pharmacodynamic model for the GnRH agonist Nafarelin and the GnRH
antagonist Cetrorelix into the menstrual cycle model. The final mathematical model describes
the hormone profiles (LH, FSH, P4, E2) throughout the menstrual cycle in 12 healthy women.
Moreover, it correctly predicts the changes in the cycle following single and multiple dose
administration of Nafarelin or Cetrorelix at different stages in the cycle.
We propose a new approach to competitive analysis by introducing the novel concept of online approximation schemes. Such scheme algorithmically constructs an online algorithm with a competitive ratio arbitrarily close to the best possible competitive ratio for any online algorithm. We study the problem of scheduling jobs online to minimize the weighted sum of completion times on parallel, related, and unrelated machines, and we derive both deterministic and randomized algorithms which are almost best possible among all online algorithms of the respective settings. Our method relies on an abstract characterization of online algorithms combined with various simplifications and transformations. We also contribute algorithmic means to compute the actual value of the best possible competitive ratio up to an arbitrary accuracy. This strongly contrasts all previous manually obtained competitiveness results for algorithms and, most importantly, it reduces the search for the optimal competitive ratio to a question that a computer can answer. We believe that our method can also be applied to many other problems and yields a completely new and interesting view on online algorithms.
Some optimal control problems for linear and nonlinear ordinary differential equations related to the optimal switching between
different magnetic fields are considered. The main aim is to move an electrical initial current by a controllable
voltage in shortest time to a desired terminal current and to hold it afterwards. Necessary optimality conditions are derived by
Pontryagin's principle and a Lagrange technique. In the case of a linear system, the principal structure of time-optimal controls is
discussed. The associated optimality systems are solved by a one-shot strategy
using a multigrid software package. Various numerical examples are discussed.
Global higher integrability of minimizers of variational problems with mixed boundary conditions
(2012)
We consider integral functionals with densities of p-growth, with respect to gradients, on a Lipschitz domain with mixed boundary conditions. The aim of this paper is to prove that, under uniform estimates within certain classes of p-growth and coercivity assumptions on the density, the minimizers are of higher integrability order, meaning that they belong to the space of first order Sobolev functions with an integrability of order $p+\epsilon$ for a uniform $\epsilon >0$. The results are applied to a model describing damage evolution in a nonlinear elastic body and to a model for shape memory alloys.
Global spatial regularity for elasticity models with cracks, contact and other nonsmooth constraints
(2012)
A global higher differentiability result in Besov
spaces is proved for the displacement fields of linear elastic models
with self contact.
Domains with cracks are studied, where nonpenetration
conditions/Signorini conditions are imposed on the crack faces.
It is shown that
in a neighborhood of crack tips (in 2D) or
crack fronts (3D) the displacement fields are
$B^{3/2}_{2,\infty}$ regular.
The proof relies on a difference
quotient argument for the directions tangential to the crack. In order
to obtain the regularity estimates also in the normal direction, an
argument due to
Ebmeyer/Frehse/Kassmann is modified.
The methods are then applied to further examples like
contact problems with nonsmooth rigid foundations, to a model with
Tresca friction and
to minimization problems with
nonsmooth energies and constraints as they occur for instance in the modeling of
shape memory alloys.
Based on Falk's approximation Theorem for variational
inequalities, convergence rates for FE-discretizations of contact
problems are derived relying on the proven regularity properties.
Several numerical examples illustrate the theoretical results.
Existence result for a class of generalized standard materials with thermomechanical coupling
(2012)
This paper deals with the study of a three-dimensional model of thermomechanical coupling for viscous solids exhibiting hysteresis effects. This model is written in accordance with the formalism of generalized standard materials. It is composed by the momentum equilibrium equation combined with the flow rule, which describes some stress-strain dependance, and the heat-transfer equation. An existence result for this thermodynamically consistent problem is obtained by using a fixed-point argument and some qualitative properties of the solutions are established.
In this paper we revisit models for the description of the evolution of crystalline films with anisotropic surface energies.
We prove equivalences of symmetry properties of anisotropic surface energy models commonly used in the literature.
Then we systematically develop a framework for the derivation of surface diffusion models for the self-assembly of quantum dots during Stranski-Krastanov
growth that include surface energies also with large anisotropy as well as the effect of wetting energy,
elastic energy and a randomly perturbed atomic deposition flux.
A linear stability analysis for the resulting sixth-order semilinear evolution equation for the thin film surface shows that that the new model allows
for large anisotropy and gives rise to the formation of anisotropic quantum dots. The nonlinear three-dimensional evolution is investigated via numerical solutions.
These suggest that increasing anisotropy stabilizes the faceted surfaces and may lead to a dramatic slow-down of the coarsening of the dots.
A typical phase field approach for describing phase separation and
coarsening phenomena in alloys is the Cahn-Hilliard model. This
model has been generalized to the so-called Cahn-Larche system
by combining it with elasticity to capture non-neglecting deformation
phenomena,
which occur during phase separation and coarsening processes in the material.
In order to account for damage effects,
we extend the existing framework of Cahn-Hilliard and Cahn-Larche
systems by incorporating an internal damage variable of local character. This
damage variable allows to model the effect that damage of a material point is influenced by its local surrounding.
The damage process is described by a unidirectional rate-dependent evolution inclusion
for the internal variable.
For the introduced Cahn-Larche systems
coupled with rate-dependent
damage processes, we
establish a suitable notion of weak solutions and prove existence of weak solutions.
An electronic model for solar cells including active interfaces and energy resolved defect densities
(2011)
We introduce an electronic model for solar cells taking into account
heterostructures with active
interfaces and energy resolved volume and interface trap densities.
The model consists of continuity equations for electrons and holes with thermionic
emission transfer conditions at the interface and of ODEs for the trap
densities with energy level and spatial position as parameters,
where the right hand sides contain generation-recombination as well as
ionization reactions. This system is coupled with a Poisson
equation for the electrostatic potential.
We show the thermodynamic correctness of the model and prove a priori estimates
for the solutions to the evolution system. Moreover, existence and uniqueness
of weak solutions of the problem are proven. For this purpose we solve a
regularized problem and verify bounds of the corresponding solution
not depending on the regularization level.
Dissipativity is an important property of individual systems
that guarantees a stable interconnected system.
However, due to errors in the modeling process weakly non-dissipative
models may be constructed.
In this paper we introduce a method to perturb a non-dissipative LTI system in order to enforce dissipativity using spectral perturbation results for
para-Hermitian pencils.
Compared to earlier algorithms the new method
is applicable to a wider class of problems,
it utilizes a simpler framework, and
employs a larger class of allowable perturbations
resulting in smaller perturbations. Moreover, system stability can be enforced as well.
Numerical examples are provided to show the effectiveness of the new approach.
Time-stepping procedures for the solution of evolution equations can be performed on parallel architecture by parallelizing the space computation at each time step. This, however, requires heavy communication between processors and becomes inefficient when many time-steps are to be computed and many processors are available. In such
cases parallelization in time is advantageous.
In this paper we present a method for parallelization in time of linear multistep discretizations of linear evolution problems; we consider a model parabolic and a model hyperbolic problem, and their, respectively, A(theta)-stable and A-stable linear multistep discretizations. The method consists of a discrete decoupling procedure, whereby N+1 decoupled Helmholtz problems with complex frequencies are obtained; N being the number of time steps computed in parallel. The usefulness of the method rests on our ability to solve these Helmholtz problems efficiently. We discuss the theory and give numerical examples for multigrid preconditioned iterative solvers of relevant
complex frequency Helmholtz problems. The parallel
approach can easily be combined with a time-stepping procedure, thereby obtaining a block time-stepping method where each block of steps is computed in parallel. In this way we are able to optimize the algorithm with respect to the number of processors available, the difficulty of solving the Helmholtz problems, and the possibility of both time and space adaptivity. Extensions to other linear evolution problems and to Runge-Kutta time discretization
are briefly mentioned.
Affinely-Adjustable Robust Counterparts provide tractable alternatives to (two-stage) robust programs with arbitrary recourse. We apply them to robust network design with polyhedral demand uncertainty, introducing the affine routing principle. We compare the affine routing to the well-studied static and dynamic routing schemes for robust network design. All three schemes are embedded into the general framework of two-stage network design with recourse. It is shown that affine routing can be seen as a generalization of the widely used static routing still being tractable and providing cheaper solutions. We investigate properties on the demand polytope under which affine routings reduce to static routings and also develop conditions on the uncertainty set leading to dynamic routings being affine. We show however that affine routings suffer from the drawback that (even totally) dominated demand vectors are not necessarily supported by affine solutions. Uncertainty sets have to be designed accordingly. Finally, we present computational results on networks from SNDlib. We conclude that for these instances the optimal solutions based on affine routings tend to be as cheap as optimal network designs for dynamic routings. In this respect the affine routing principle can be used to approximate the cost for two-stage solutions with free recourse which are hard to compute.
This paper establishes the equivalence of conforming Courant finite element method and nonconforming Crouzeix-Raviart finite element method in the sense that the respective energy error norms are equivalent up to generic constants and higher-order data oscillations in a Poisson model problem. The Raviart-Thomas mixed finite element method is better than the previous two whereas the conjecture of the converse relation is proved to be false.
This paper completes the analysis of comparison initiated by Braess in Calcolo (2010). Two numerical benchmarks illustrate the comparison theorems and the possible strict superiority of the Raviart-Thomas mixed finite element method. Applications include least-squares finite element methods and equality of approximation classes for concepts of optimality for adaptive finite element methods.
This work concerns the approximation of the shape operator of smooth surfaces in $\mathbb{R}^{3}$ from polyhedral surfaces. We introduce two generalized shape operators that are vector-valued linear functionals on a Sobolev space of vector fields and can be rigorously defined on smooth and on polyhedral surfaces. We consider polyhedral surfaces that approximate smooth surfaces and prove two types of approximation estimates: one concerning the approximation of the generalized shape operators in the operator norm and one concerning the pointwise approximation of the (classic) shape operator, including mean and Gaussian curvature, principal curvatures, and principal curvature directions.
The estimates are confirmed by numerical experiments.
We propose a framework for deformation-based surface modeling that is interactive, robust and intuitive to use. The deformations are described by a non-linear optimization problem that models static states of elastic shapes under external forces which implement the user input. Interactive response is achieved by a combination of model reduction, a robust energy approximation, and an efficient quasi-Newton solver. Motivated by the observation that a typical modeling session requires only a fraction of the full shape
space of the underlying model, we use second and third derivatives of a deformation energy to construct a low-dimensional shape space that forms the feasible set for the optimization. Based on mesh coarsening, we propose an
energy approximation scheme with adjustable approximation quality. The quasi-Newton solver guarantees superlinear convergence without the need of costly Hessian evaluations during modeling. We demonstrate the effectiveness of the approach on different examples including the test suite introduced in [Botsch and Sorkine 2008].
This work concerns the approximation of the shape operator of smooth surfaces in R^3 from polyhedral surfaces. We introduce two generalized shape operators that are vector-valued linear functionals on a Sobolev space of vector fields and can be rigorously defined on smooth and on polyhedral surfaces. We consider polyhedral surfaces that approximate smooth surfaces and prove two types of approximation estimates: one concerning the approximation of the generalized shape operators in the operator norm and one concerning the pointwise approximation of the (classic) shape operator. We show experimental results that confirm our estimates.
Explicit Error Estimates for Courant, Crouzeix-Raviart and Raviart-Thomas Finite Element Methods
(2011)
The elementary analysis of this paper presents explicit expressions of the constants in the a priori error estimates for the lowest-order Courant, Crouzeix-Raviart nonconforming and Raviart-Thomas mixed finite element methods in the Poisson model problem. The three constants and their dependences on some maximal angle in the triangulation are indeed all comparable and allow accurate a priori error control.
We show that many couplings between parabolic systems for processes in solids can be formulated as a gradient system with respect to the total free energy or the total entropy. This includes Allen-Cahn, Cahn-Hilliard, and reaction-diffusion systems and the heat equation. For this, we write the coupled system as an Onsager system $(X,\Phi,K)$ defining the evolution $\dot{U} = -K(U)D\Phi(U)$. Here $\Phi$ is the driving functional, while the Onsager operator $K(U)$ is symmetric and positive semidefinite. If the inverse $G = K^{-1}$ exists, the triple $(X,\Phi,G)$ defines a gradient system. Onsager systems are well suited to model bulk-interface interactions by using the dual dissipation potential $\Psi^*(U,\Xi) = 1/2 <\Xi,K(U)\Xi>$. Then, the two functionals $\Phi$ and $\Psi^*$ can be written as a sum of a volume integral and a surface integral, respectively. The latter may contain interactions of the driving forces in the interface as well as the traces of the driving forces from the bulk. Thus, capture and escape mechanisms like thermionic emission appear naturally in Onsager systems, namely simply through integration by parts.
A new finite element method computes conductivity in some unstructured particle-reinforced composite material. The 2-phase material under consideration is composed of a poorly conducting matrix material filled by highly conducting circular inclusions which are randomly dispersed. The mathematical model is a Poisson-type problem with discontinuous coefficients. The discontinuities are huge in contrast and quantity.
The proposed method generalizes classical continuous piecewise affine finite elements to special computational meshes which encode the particles in a network structure. Important geometric parameters such as the volume fraction are preserved exactly.
The computational complexity of the resulting method is proportional to the number of inclusions and this is optimal in comparison to data complexity.
The discretization error is proportional to the particle distance and does not depend on the conductivity contrast in the medium.
Duality Results for Stationary Problems of Open Pit Mine Planning in a Continuous Function Framework
(2011)
Open Pit Mine Planning problems are usually considered in a Mixed Integer Programming
context. Characterizing each attainable profile by a continuous function yields a continuous
framework. It allows for a more detailed modeling of slope constraints and other material
properties of slanted layers. Although the resulting nonlinear programming problems are
in general non-convex and non-differentiable, they provide certain advantages as one can
directly compute sensitivities of optimal solutions w.r.t. small data perturbations. In this
work duality results are derived for the stationary problems of the continuous framework
employing an additional condition called convex-likeness.
An optimal control problem to find the fastest collision-free trajectory of a robot surrounded by obstacles is presented.
The collision avoidance is based on linear programming arguments and expressed as state constraints. The optimal control problem is
solved with a sequential programming method. In order to decrease the number of unknowns and constraints a backface culling active set
strategy is added to the resolution technique.