Risk management often plays an important role in decision making un-der uncertainty.In quantitative risk management,assessing and optimizing risk metrics requires eficient computing techniques and reliable theoretical...Risk management often plays an important role in decision making un-der uncertainty.In quantitative risk management,assessing and optimizing risk metrics requires eficient computing techniques and reliable theoretical guarantees.In this pa-per,we introduce several topics on quantitative risk management and review some of the recent studies and advancements on the topics.We consider several risk metrics and study decision models that involve the metrics,with a main focus on the related com-puting techniques and theoretical properties.We show that stochastic optimization,as a powerful tool,can be leveraged to effectively address these problems.展开更多
Intelligent Traffic Management(ITM)has progressively developed into a critical component of modern transportation networks,significantly enhancing traffic flow and reducing congestion in urban environments.This resear...Intelligent Traffic Management(ITM)has progressively developed into a critical component of modern transportation networks,significantly enhancing traffic flow and reducing congestion in urban environments.This research proposes an enhanced framework that leverages Deep Q-Learning(DQL),Game Theory(GT),and Stochastic Optimization(SO)to tackle the complex dynamics in transportation networks.The DQL component utilizes the distribution of traffic conditions for epsilon-greedy policy formulation and action and choice reward calculation,ensuring resilient decision-making.GT models the interaction between vehicles and intersections through probabilistic distributions of various features to enhance performance.Results demonstrate that the proposed framework is a scalable solution for dynamic optimization in transportation networks.展开更多
Wireless sensor network deployment optimization is a classic NP-hard problem and a popular topic in academic research.However,the current research on wireless sensor network deployment problems uses overly simplistic ...Wireless sensor network deployment optimization is a classic NP-hard problem and a popular topic in academic research.However,the current research on wireless sensor network deployment problems uses overly simplistic models,and there is a significant gap between the research results and actual wireless sensor networks.Some scholars have now modeled data fusion networks to make them more suitable for practical applications.This paper will explore the deployment problem of a stochastic data fusion wireless sensor network(SDFWSN),a model that reflects the randomness of environmental monitoring and uses data fusion techniques widely used in actual sensor networks for information collection.The deployment problem of SDFWSN is modeled as a multi-objective optimization problem.The network life cycle,spatiotemporal coverage,detection rate,and false alarm rate of SDFWSN are used as optimization objectives to optimize the deployment of network nodes.This paper proposes an enhanced multi-objective mongoose optimization algorithm(EMODMOA)to solve the deployment problem of SDFWSN.First,to overcome the shortcomings of the DMOA algorithm,such as its low convergence and tendency to get stuck in a local optimum,an encircling and hunting strategy is introduced into the original algorithm to propose the EDMOA algorithm.The EDMOA algorithm is designed as the EMODMOA algorithm by selecting reference points using the K-Nearest Neighbor(KNN)algorithm.To verify the effectiveness of the proposed algorithm,the EMODMOA algorithm was tested at CEC 2020 and achieved good results.In the SDFWSN deployment problem,the algorithm was compared with the Non-dominated Sorting Genetic Algorithm II(NSGAII),Multiple Objective Particle Swarm Optimization(MOPSO),Multi-Objective Evolutionary Algorithm based on Decomposition(MOEA/D),and Multi-Objective Grey Wolf Optimizer(MOGWO).By comparing and analyzing the performance evaluation metrics and optimization results of the objective functions of the multi-objective algorithms,the algorithm outperforms the other algorithms in the SDFWSN deployment results.To better demonstrate the superiority of the algorithm,simulations of diverse test cases were also performed,and good results were obtained.展开更多
A chance-constrained energy dispatch model based on the distributed stochastic model predictive control(DSMPC)approach for an islanded multi-microgrid system is proposed.An ambiguity set considering the inherent uncer...A chance-constrained energy dispatch model based on the distributed stochastic model predictive control(DSMPC)approach for an islanded multi-microgrid system is proposed.An ambiguity set considering the inherent uncertainties of renewable energy sources(RESs)is constructed without requiring the full distribution knowledge of the uncertainties.The power balance chance constraint is reformulated within the framework of the distributionally robust optimization(DRO)approach.With the exchange of information and energy flow,each microgrid can achieve its local supply-demand balance.Furthermore,the closed-loop stability and recursive feasibility of the proposed algorithm are proved.The comparative results with other DSMPC methods show that a trade-off between robustness and economy can be achieved.展开更多
In this paper,based on the SVIQR model we develop a stochastic epidemic model with multiple vaccinations and time delay.Firstly,we prove the existence and uniqueness of the global positive solution of the model,and co...In this paper,based on the SVIQR model we develop a stochastic epidemic model with multiple vaccinations and time delay.Firstly,we prove the existence and uniqueness of the global positive solution of the model,and construct suitable functions to obtain sufficient conditions for disease extinction.Secondly,in order to effectively control the spread of the disease,appropriate control strategies are formulated by using optimal control theory.Finally,the results are verified by numerical simulation.展开更多
In this paper,the problem of online distributed optimization subject to a convex set is studied via a network of agents.Each agent only has access to a noisy gradient of its own objective function,and can communicate ...In this paper,the problem of online distributed optimization subject to a convex set is studied via a network of agents.Each agent only has access to a noisy gradient of its own objective function,and can communicate with its neighbors via a network.To handle this problem,an online distributed stochastic mirror descent algorithm is proposed.Existing works on online distributed algorithms involving stochastic gradients only provide the expectation bounds of the regrets.Different from them,we study the high probability bound of the regrets,i.e.,the sublinear bound of the regret is characterized by the natural logarithm of the failure probability's inverse.Under mild assumptions on the graph connectivity,we prove that the dynamic regret grows sublinearly with a high probability if the deviation in the minimizer sequence is sublinear with the square root of the time horizon.Finally,a simulation is provided to demonstrate the effectiveness of our theoretical results.展开更多
We are investigating the distributed optimization problem,where a network of nodes works together to minimize a global objective that is a finite sum of their stored local functions.Since nodes exchange optimization p...We are investigating the distributed optimization problem,where a network of nodes works together to minimize a global objective that is a finite sum of their stored local functions.Since nodes exchange optimization parameters through the wireless network,large-scale training models can create communication bottlenecks,resulting in slower training times.To address this issue,CHOCO-SGD was proposed,which allows compressing information with arbitrary precision without reducing the convergence rate for strongly convex objective functions.Nevertheless,most convex functions are not strongly convex(such as logistic regression or Lasso),which raises the question of whether this algorithm can be applied to non-strongly convex functions.In this paper,we provide the first theoretical analysis of the convergence rate of CHOCO-SGD on non-strongly convex objectives.We derive a sufficient condition,which limits the fidelity of compression,to guarantee convergence.Moreover,our analysis demonstrates that within the fidelity threshold,this algorithm can significantly reduce transmission burden while maintaining the same convergence rate order as its no-compression equivalent.Numerical experiments further validate the theoretical findings by demonstrating that CHOCO-SGD improves communication efficiency and keeps the same convergence rate order simultaneously.And experiments also show that the algorithm fails to converge with low compression fidelity and in time-varying topologies.Overall,our study offers valuable insights into the potential applicability of CHOCO-SGD for non-strongly convex objectives.Additionally,we provide practical guidelines for researchers seeking to utilize this algorithm in real-world scenarios.展开更多
To avoid the aerodynamic performance loss of airfoil at non-design state which often appears in single point design optimization, and to improve the adaptability to the uncertain factors in actual flight environment, ...To avoid the aerodynamic performance loss of airfoil at non-design state which often appears in single point design optimization, and to improve the adaptability to the uncertain factors in actual flight environment, a two-dimensional stochastic airfoil optimization design method based on neural networks is presented. To provide highly efficient and credible analysis, four BP neural networks are built as surrogate models to predict the airfoil aerodynamic coefficients and geometry parameter. These networks are combined with the probability density function obeying normal distribution and the genetic algorithm, thus forming an optimization design method. Using the method, for GA（W）-2 airfoil, a stochastic optimization is implemented in a two-dimensional flight area about Mach number and angle of attack. Compared with original airfoil and single point optimization design airfoil, results show that the two-dimensional stochastic method can improve the performance in a specific flight area, and increase the airfoil adaptability to the stochastic changes of multiple flight parameters.展开更多
Simulation optimization is a widely used tool in the analysis and optimization of complex stochastic systems.The majority of the previous works on simulation optimization rely heavily on detailed system information,su...Simulation optimization is a widely used tool in the analysis and optimization of complex stochastic systems.The majority of the previous works on simulation optimization rely heavily on detailed system information,such as the distributions of input variables and the system dynamics.However,it is usually costly and even unrealistic to obtain such detailed information in practice.To overcome this difficulty,new methods are needed to solve stochastic optimization problems based on simulation outputs or real-world data and fairly limited knowledge of the underlying system,i.e.,in a blackbox setting.In this paper,we provide an up-to-date overview of the subject of blackbox simulation optimization,which has only been attracting attention from the simulation community in recent years.We discuss some of the new stochastic approximation algorithms developed recently for blackbox stochastic optimization.We also discuss challenges and potential future research opportunities.展开更多
This special issue focuses on simulation optimization(SO),which combines stochastic simulation with optimization techniques to address complex decisionmaking problems under uncertainty.SO has gained increasing importa...This special issue focuses on simulation optimization(SO),which combines stochastic simulation with optimization techniques to address complex decisionmaking problems under uncertainty.SO has gained increasing importance in areas such as transportation,supply chain and manufacturing,providing solutions where traditional analytical methods may fail.Recent advances in computing,data analytics,and artificial intelligence have significantly enhanced the efficiency and capability of SO methods,enabling the development of innovative techniques.This special issue aims to highlight recent theoretical and practical advancements in SO,showcasing its potential to solve real-world problems and inspiring further research and application in this dynamic field.展开更多
With the rapid advancements in technology and science,optimization theory and algorithms have become increasingly important.A wide range of real-world problems is classified as optimization challenges,and meta-heurist...With the rapid advancements in technology and science,optimization theory and algorithms have become increasingly important.A wide range of real-world problems is classified as optimization challenges,and meta-heuristic algorithms have shown remarkable effectiveness in solving these challenges across diverse domains,such as machine learning,process control,and engineering design,showcasing their capability to address complex optimization problems.The Stochastic Fractal Search(SFS)algorithm is one of the most popular meta-heuristic optimization methods inspired by the fractal growth patterns of natural materials.Since its introduction by Hamid Salimi in 2015,SFS has garnered significant attention from researchers and has been applied to diverse optimization problems acrossmultiple disciplines.Its popularity can be attributed to several factors,including its simplicity,practical computational efficiency,ease of implementation,rapid convergence,high effectiveness,and ability to address singleandmulti-objective optimization problems,often outperforming other established algorithms.This review paper offers a comprehensive and detailed analysis of the SFS algorithm,covering its standard version,modifications,hybridization,and multi-objective implementations.The paper also examines several SFS applications across diverse domains,including power and energy systems,image processing,machine learning,wireless sensor networks,environmental modeling,economics and finance,and numerous engineering challenges.Furthermore,the paper critically evaluates the SFS algorithm’s performance,benchmarking its effectiveness against recently published meta-heuristic algorithms.In conclusion,the review highlights key findings and suggests potential directions for future developments and modifications of the SFS algorithm.展开更多
Heuristic optimization algorithms have been widely used in solving complex optimization problems in various fields such as engineering,economics,and computer science.These algorithms are designed to find high-quality ...Heuristic optimization algorithms have been widely used in solving complex optimization problems in various fields such as engineering,economics,and computer science.These algorithms are designed to find high-quality solutions efficiently by balancing exploration of the search space and exploitation of promising solutions.While heuristic optimization algorithms vary in their specific details,they often exhibit common patterns that are essential to their effectiveness.This paper aims to analyze and explore common patterns in heuristic optimization algorithms.Through a comprehensive review of the literature,we identify the patterns that are commonly observed in these algorithms,including initialization,local search,diversity maintenance,adaptation,and stochasticity.For each pattern,we describe the motivation behind it,its implementation,and its impact on the search process.To demonstrate the utility of our analysis,we identify these patterns in multiple heuristic optimization algorithms.For each case study,we analyze how the patterns are implemented in the algorithm and how they contribute to its performance.Through these case studies,we show how our analysis can be used to understand the behavior of heuristic optimization algorithms and guide the design of new algorithms.Our analysis reveals that patterns in heuristic optimization algorithms are essential to their effectiveness.By understanding and incorporating these patterns into the design of new algorithms,researchers can develop more efficient and effective optimization algorithms.展开更多
Investors are always willing to receive more data.This has become especially true for the application of modern portfolio theory to the institutional asset allocation process,which requires quantitative estimates of r...Investors are always willing to receive more data.This has become especially true for the application of modern portfolio theory to the institutional asset allocation process,which requires quantitative estimates of risk and return.When long-term data series are unavailable for analysis,it has become common practice to use recent data only.The danger is that these data may not be representative of future performance.Although longer data series are of poorer quality,are difficult to obtain,and may reflect various political and economic regimes,they often paint a very different picture of emerging market performance.This paper presents an application of a stochastic non-linear optimization model of portfolios including transaction costs in the Brazilian financial market.In order to have that,portfolio theory and optimal control were used as theoretical basis.The first strategy tries to allocate the whole available wealth,not considering the risk associated to portfolio(deterministic result).In this case the investor obtained profits of 7.23%a month,taking into account the three risk aversion levels during the whole planning period.On the contrary,the results from the stochastic algorithm obtain profits of 1.34%a month and 18.06%a year,if the investor has low risk aversion.The profits would be 0.88%a month and 11.02%a year for a medium risk aversion investor.And with high risk aversion,the investor obtains 0.62%a month and 7.68%a year.展开更多
Enhancing the accuracy of real-time ship roll prediction is crucial for maritime safety and operational efficiency.To address the challenge of accurately predicting the ship roll status with nonlinear time-varying dyn...Enhancing the accuracy of real-time ship roll prediction is crucial for maritime safety and operational efficiency.To address the challenge of accurately predicting the ship roll status with nonlinear time-varying dynamic characteristics,a real-time ship roll prediction scheme is proposed on the basis of a data preprocessing strategy and a novel stochastic trainer-based feedforward neural network.The sliding data window serves as a ship time-varying dynamic observer to enhance model prediction stability.The variational mode decomposition method extracts effective information on ship roll motion and reduces the non-stationary characteristics of the series.The energy entropy method reconstructs the mode components into high-frequency,medium-frequency,and low-frequency series to reduce model complexity.An improved black widow optimization algorithm trainer-based feedforward neural network with enhanced local optimal avoidance predicts the high-frequency component,enabling accurate tracking of abrupt signals.Additionally,the deterministic algorithm trainer-based neural network,characterized by rapid processing speed,predicts the remaining two mode components.Thus,real-time ship roll forecasting can be achieved through the reconstruction of mode component prediction results.The feasibility and effectiveness of the proposed hybrid prediction scheme for ship roll motion are demonstrated through the measured data of a full-scale ship trial.The proposed prediction scheme achieves real-time ship roll prediction with superior prediction accuracy.展开更多
The novel aircraft engine-off taxi towing system featuring aircraft power integration has demonstrated significant advantages,including reduced energy consumption,diminished emissions,and enhanced efficiency.However,t...The novel aircraft engine-off taxi towing system featuring aircraft power integration has demonstrated significant advantages,including reduced energy consumption,diminished emissions,and enhanced efficiency.However,the aircraft engine-off taxi towing system lacks the consideration of attendant constraints in the trajectory generation process,which can potentially lead to ground accidents and constrain the improvement of traction speed.Addressing this challenge,the present work investigates the optimal control problem of trajectory generation for the taxiing traction system in the complex stochastic environment in the airport flight area.For the stochastic constraints,a strategy of deterministic processing is proposed to describe the stochastic constraints using random constraints.Furthermore,an adaptive pseudo-spectral method is introduced to transform the optimal control problem into a nonlinear programming problem,enabling its effective resolution.Simulation results substantiate that the generated trajectory can efficiently handle the stochastic constraints and accomplish the given task towards the time-optimization objective,thereby effectively enhancing the stability and efficiency of the taxiing traction system,ensuring the safety of the aircraft system,and improving the ground access capacity and efficiency of the airport.展开更多
In this paper we study optimal advertising problems that model the introduction of a new product into the market in the presence of carryover effects of the advertisement and with memory effects in the level of goodwi...In this paper we study optimal advertising problems that model the introduction of a new product into the market in the presence of carryover effects of the advertisement and with memory effects in the level of goodwill. In particular, we let the dynamics of the product goodwill to depend on the past, and also on past advertising efforts. We treat the problem by means of the stochastic Pontryagin maximum principle, that here is considered for a class of problems where in the state equation either the state or the control depend on the past. Moreover the control acts on the martingale term and the space of controls U can be chosen to be non-convex but now the space of controls U can be chosen to be non-convex. The maximum principle is thus formulated using a first-order adjoint Backward Stochastic Differential Equations (BSDEs), which can be explicitly computed due to the specific characteristics of the model, and a second-order adjoint relation.展开更多
A novel optimization algorithm called stochastic focusing search （SFS） for the real-parameter optimization is proposed. The new algorithm is a swarm intelligence algorithm, which is based on simulating the act of hu...A novel optimization algorithm called stochastic focusing search （SFS） for the real-parameter optimization is proposed. The new algorithm is a swarm intelligence algorithm, which is based on simulating the act of human randomized searching, and the human searching behaviors. The algorithm＇s performance is studied using a challenging set of typically complex functions with comparison of differential evolution （DE） and three modified particle swarm optimization （PSO） algorithms, and the simulation results show that SFS is competitive to solve most parts of the benchmark problems and will become a promising candidate of search algorithms especially when the existing algorithms have some difficulties in solving certain problems.展开更多
Wind power has an increasing share of the Brazilian energy market and may represent 11.6% of total capacity by 2024. For large hydro-thermal systems having high-storage capacity, a complementarity between hydro and wi...Wind power has an increasing share of the Brazilian energy market and may represent 11.6% of total capacity by 2024. For large hydro-thermal systems having high-storage capacity, a complementarity between hydro and wind production could have important effects. The current optimization models are applied to dispatch power plants to meet the market demand and optimize the generation dispatches considering only hydroelectric and thermal power plants. The remaining sources, including wind power, small-hydroelectric plants and biomass plants, are excluded from the optimization model and are included deterministically. This work introduces a general methodology to represent the stochastic behavior of wind production aimed at the planning and operation of large interconnected power systems. In fact, considering the generation of the wind power source stochastically could show the complementarity between the hydro and wind power production, reducing the energy price in the spot market with the reduction of thermal power dispatches. In addition to that, with a reduction in wind power and a simultaneous dry-season occurrence, this model, is able to show the need of thermal power plants dispatches as well as the reduction of the risk of energy shortages.展开更多
Stochastic optimization offers a means of considering the objectives and constrains with stochastic parameters. However, it is generally difficult to solve the stochastic optimization problem by employing conventional...Stochastic optimization offers a means of considering the objectives and constrains with stochastic parameters. However, it is generally difficult to solve the stochastic optimization problem by employing conventional methods for nonlinear programming when the number of random variables involved is very large. Neural network models and algorithms were applied to solve the stochastic optimization problem on the basis of the stability theory. Stability for stochastic programs was discussed. If random vector sequence converges to the random vector in the original problem in distribution, the optimal value of the corresponding approximation problems converges to the optimal value of the original stochastic optimization problem.展开更多
This paper considers distributed stochastic optimization,in which a number of agents cooperate to optimize a global objective function through local computations and information exchanges with neighbors over a network...This paper considers distributed stochastic optimization,in which a number of agents cooperate to optimize a global objective function through local computations and information exchanges with neighbors over a network.Stochastic optimization problems are usually tackled by variants of projected stochastic gradient descent.However,projecting a point onto a feasible set is often expensive.The Frank-Wolfe(FW)method has well-documented merits in handling convex constraints,but existing stochastic FW algorithms are basically developed for centralized settings.In this context,the present work puts forth a distributed stochastic Frank-Wolfe solver,by judiciously combining Nesterov's momentum and gradient tracking techniques for stochastic convex and nonconvex optimization over networks.It is shown that the convergence rate of the proposed algorithm is O(k^(-1/2))for convex optimization,and O(1/log_(2)(k))for nonconvex optimization.The efficacy of the algorithm is demonstrated by numerical simulations against a number of competing alternatives.展开更多
文摘Risk management often plays an important role in decision making un-der uncertainty.In quantitative risk management,assessing and optimizing risk metrics requires eficient computing techniques and reliable theoretical guarantees.In this pa-per,we introduce several topics on quantitative risk management and review some of the recent studies and advancements on the topics.We consider several risk metrics and study decision models that involve the metrics,with a main focus on the related com-puting techniques and theoretical properties.We show that stochastic optimization,as a powerful tool,can be leveraged to effectively address these problems.
基金the Deanship of Scientific Research at King Khalid University for funding this research through the Large Group Research Project under grant number RGP2/324/46.
文摘Intelligent Traffic Management(ITM)has progressively developed into a critical component of modern transportation networks,significantly enhancing traffic flow and reducing congestion in urban environments.This research proposes an enhanced framework that leverages Deep Q-Learning(DQL),Game Theory(GT),and Stochastic Optimization(SO)to tackle the complex dynamics in transportation networks.The DQL component utilizes the distribution of traffic conditions for epsilon-greedy policy formulation and action and choice reward calculation,ensuring resilient decision-making.GT models the interaction between vehicles and intersections through probabilistic distributions of various features to enhance performance.Results demonstrate that the proposed framework is a scalable solution for dynamic optimization in transportation networks.
基金supported by the National Natural Science Foundation of China under Grant Nos.U21A20464,62066005Innovation Project of Guangxi Graduate Education under Grant No.YCSW2024313.
文摘Wireless sensor network deployment optimization is a classic NP-hard problem and a popular topic in academic research.However,the current research on wireless sensor network deployment problems uses overly simplistic models,and there is a significant gap between the research results and actual wireless sensor networks.Some scholars have now modeled data fusion networks to make them more suitable for practical applications.This paper will explore the deployment problem of a stochastic data fusion wireless sensor network(SDFWSN),a model that reflects the randomness of environmental monitoring and uses data fusion techniques widely used in actual sensor networks for information collection.The deployment problem of SDFWSN is modeled as a multi-objective optimization problem.The network life cycle,spatiotemporal coverage,detection rate,and false alarm rate of SDFWSN are used as optimization objectives to optimize the deployment of network nodes.This paper proposes an enhanced multi-objective mongoose optimization algorithm(EMODMOA)to solve the deployment problem of SDFWSN.First,to overcome the shortcomings of the DMOA algorithm,such as its low convergence and tendency to get stuck in a local optimum,an encircling and hunting strategy is introduced into the original algorithm to propose the EDMOA algorithm.The EDMOA algorithm is designed as the EMODMOA algorithm by selecting reference points using the K-Nearest Neighbor(KNN)algorithm.To verify the effectiveness of the proposed algorithm,the EMODMOA algorithm was tested at CEC 2020 and achieved good results.In the SDFWSN deployment problem,the algorithm was compared with the Non-dominated Sorting Genetic Algorithm II(NSGAII),Multiple Objective Particle Swarm Optimization(MOPSO),Multi-Objective Evolutionary Algorithm based on Decomposition(MOEA/D),and Multi-Objective Grey Wolf Optimizer(MOGWO).By comparing and analyzing the performance evaluation metrics and optimization results of the objective functions of the multi-objective algorithms,the algorithm outperforms the other algorithms in the SDFWSN deployment results.To better demonstrate the superiority of the algorithm,simulations of diverse test cases were also performed,and good results were obtained.
基金Supported by the National Natural Science Foundation of China(No.U24B20156)the National Defense Basic Scientific Research Program of China(No.JCKY2021204B051)the National Laboratory of Space Intelligent Control of China(Nos.HTKJ2023KL502005 and HTKJ2024KL502007)。
文摘A chance-constrained energy dispatch model based on the distributed stochastic model predictive control(DSMPC)approach for an islanded multi-microgrid system is proposed.An ambiguity set considering the inherent uncertainties of renewable energy sources(RESs)is constructed without requiring the full distribution knowledge of the uncertainties.The power balance chance constraint is reformulated within the framework of the distributionally robust optimization(DRO)approach.With the exchange of information and energy flow,each microgrid can achieve its local supply-demand balance.Furthermore,the closed-loop stability and recursive feasibility of the proposed algorithm are proved.The comparative results with other DSMPC methods show that a trade-off between robustness and economy can be achieved.
基金supported by the Fundamental Research Funds for the Central Universities(No.3122025090)。
文摘In this paper,based on the SVIQR model we develop a stochastic epidemic model with multiple vaccinations and time delay.Firstly,we prove the existence and uniqueness of the global positive solution of the model,and construct suitable functions to obtain sufficient conditions for disease extinction.Secondly,in order to effectively control the spread of the disease,appropriate control strategies are formulated by using optimal control theory.Finally,the results are verified by numerical simulation.
文摘In this paper,the problem of online distributed optimization subject to a convex set is studied via a network of agents.Each agent only has access to a noisy gradient of its own objective function,and can communicate with its neighbors via a network.To handle this problem,an online distributed stochastic mirror descent algorithm is proposed.Existing works on online distributed algorithms involving stochastic gradients only provide the expectation bounds of the regrets.Different from them,we study the high probability bound of the regrets,i.e.,the sublinear bound of the regret is characterized by the natural logarithm of the failure probability's inverse.Under mild assumptions on the graph connectivity,we prove that the dynamic regret grows sublinearly with a high probability if the deviation in the minimizer sequence is sublinear with the square root of the time horizon.Finally,a simulation is provided to demonstrate the effectiveness of our theoretical results.
基金supported in part by the Shanghai Natural Science Foundation under the Grant 22ZR1407000.
文摘We are investigating the distributed optimization problem,where a network of nodes works together to minimize a global objective that is a finite sum of their stored local functions.Since nodes exchange optimization parameters through the wireless network,large-scale training models can create communication bottlenecks,resulting in slower training times.To address this issue,CHOCO-SGD was proposed,which allows compressing information with arbitrary precision without reducing the convergence rate for strongly convex objective functions.Nevertheless,most convex functions are not strongly convex(such as logistic regression or Lasso),which raises the question of whether this algorithm can be applied to non-strongly convex functions.In this paper,we provide the first theoretical analysis of the convergence rate of CHOCO-SGD on non-strongly convex objectives.We derive a sufficient condition,which limits the fidelity of compression,to guarantee convergence.Moreover,our analysis demonstrates that within the fidelity threshold,this algorithm can significantly reduce transmission burden while maintaining the same convergence rate order as its no-compression equivalent.Numerical experiments further validate the theoretical findings by demonstrating that CHOCO-SGD improves communication efficiency and keeps the same convergence rate order simultaneously.And experiments also show that the algorithm fails to converge with low compression fidelity and in time-varying topologies.Overall,our study offers valuable insights into the potential applicability of CHOCO-SGD for non-strongly convex objectives.Additionally,we provide practical guidelines for researchers seeking to utilize this algorithm in real-world scenarios.
文摘To avoid the aerodynamic performance loss of airfoil at non-design state which often appears in single point design optimization, and to improve the adaptability to the uncertain factors in actual flight environment, a two-dimensional stochastic airfoil optimization design method based on neural networks is presented. To provide highly efficient and credible analysis, four BP neural networks are built as surrogate models to predict the airfoil aerodynamic coefficients and geometry parameter. These networks are combined with the probability density function obeying normal distribution and the genetic algorithm, thus forming an optimization design method. Using the method, for GA（W）-2 airfoil, a stochastic optimization is implemented in a two-dimensional flight area about Mach number and angle of attack. Compared with original airfoil and single point optimization design airfoil, results show that the two-dimensional stochastic method can improve the performance in a specific flight area, and increase the airfoil adaptability to the stochastic changes of multiple flight parameters.
基金supported in part by the National Natural Science Foundation of China(Nos.7203300372350710219).
文摘Simulation optimization is a widely used tool in the analysis and optimization of complex stochastic systems.The majority of the previous works on simulation optimization rely heavily on detailed system information,such as the distributions of input variables and the system dynamics.However,it is usually costly and even unrealistic to obtain such detailed information in practice.To overcome this difficulty,new methods are needed to solve stochastic optimization problems based on simulation outputs or real-world data and fairly limited knowledge of the underlying system,i.e.,in a blackbox setting.In this paper,we provide an up-to-date overview of the subject of blackbox simulation optimization,which has only been attracting attention from the simulation community in recent years.We discuss some of the new stochastic approximation algorithms developed recently for blackbox stochastic optimization.We also discuss challenges and potential future research opportunities.
文摘This special issue focuses on simulation optimization(SO),which combines stochastic simulation with optimization techniques to address complex decisionmaking problems under uncertainty.SO has gained increasing importance in areas such as transportation,supply chain and manufacturing,providing solutions where traditional analytical methods may fail.Recent advances in computing,data analytics,and artificial intelligence have significantly enhanced the efficiency and capability of SO methods,enabling the development of innovative techniques.This special issue aims to highlight recent theoretical and practical advancements in SO,showcasing its potential to solve real-world problems and inspiring further research and application in this dynamic field.
基金supported by Prince Sattam bin Abdulaziz University for funding this research work through the project number(2024/RV/06).
文摘With the rapid advancements in technology and science,optimization theory and algorithms have become increasingly important.A wide range of real-world problems is classified as optimization challenges,and meta-heuristic algorithms have shown remarkable effectiveness in solving these challenges across diverse domains,such as machine learning,process control,and engineering design,showcasing their capability to address complex optimization problems.The Stochastic Fractal Search(SFS)algorithm is one of the most popular meta-heuristic optimization methods inspired by the fractal growth patterns of natural materials.Since its introduction by Hamid Salimi in 2015,SFS has garnered significant attention from researchers and has been applied to diverse optimization problems acrossmultiple disciplines.Its popularity can be attributed to several factors,including its simplicity,practical computational efficiency,ease of implementation,rapid convergence,high effectiveness,and ability to address singleandmulti-objective optimization problems,often outperforming other established algorithms.This review paper offers a comprehensive and detailed analysis of the SFS algorithm,covering its standard version,modifications,hybridization,and multi-objective implementations.The paper also examines several SFS applications across diverse domains,including power and energy systems,image processing,machine learning,wireless sensor networks,environmental modeling,economics and finance,and numerous engineering challenges.Furthermore,the paper critically evaluates the SFS algorithm’s performance,benchmarking its effectiveness against recently published meta-heuristic algorithms.In conclusion,the review highlights key findings and suggests potential directions for future developments and modifications of the SFS algorithm.
文摘Heuristic optimization algorithms have been widely used in solving complex optimization problems in various fields such as engineering,economics,and computer science.These algorithms are designed to find high-quality solutions efficiently by balancing exploration of the search space and exploitation of promising solutions.While heuristic optimization algorithms vary in their specific details,they often exhibit common patterns that are essential to their effectiveness.This paper aims to analyze and explore common patterns in heuristic optimization algorithms.Through a comprehensive review of the literature,we identify the patterns that are commonly observed in these algorithms,including initialization,local search,diversity maintenance,adaptation,and stochasticity.For each pattern,we describe the motivation behind it,its implementation,and its impact on the search process.To demonstrate the utility of our analysis,we identify these patterns in multiple heuristic optimization algorithms.For each case study,we analyze how the patterns are implemented in the algorithm and how they contribute to its performance.Through these case studies,we show how our analysis can be used to understand the behavior of heuristic optimization algorithms and guide the design of new algorithms.Our analysis reveals that patterns in heuristic optimization algorithms are essential to their effectiveness.By understanding and incorporating these patterns into the design of new algorithms,researchers can develop more efficient and effective optimization algorithms.
文摘Investors are always willing to receive more data.This has become especially true for the application of modern portfolio theory to the institutional asset allocation process,which requires quantitative estimates of risk and return.When long-term data series are unavailable for analysis,it has become common practice to use recent data only.The danger is that these data may not be representative of future performance.Although longer data series are of poorer quality,are difficult to obtain,and may reflect various political and economic regimes,they often paint a very different picture of emerging market performance.This paper presents an application of a stochastic non-linear optimization model of portfolios including transaction costs in the Brazilian financial market.In order to have that,portfolio theory and optimal control were used as theoretical basis.The first strategy tries to allocate the whole available wealth,not considering the risk associated to portfolio(deterministic result).In this case the investor obtained profits of 7.23%a month,taking into account the three risk aversion levels during the whole planning period.On the contrary,the results from the stochastic algorithm obtain profits of 1.34%a month and 18.06%a year,if the investor has low risk aversion.The profits would be 0.88%a month and 11.02%a year for a medium risk aversion investor.And with high risk aversion,the investor obtains 0.62%a month and 7.68%a year.
基金supported by the National Natural Science Foundation of China(Grant Nos.52231014 and 52271361)the Natural Science Foundation of Guangdong Province of China(Grant No.2023A1515010684).
文摘Enhancing the accuracy of real-time ship roll prediction is crucial for maritime safety and operational efficiency.To address the challenge of accurately predicting the ship roll status with nonlinear time-varying dynamic characteristics,a real-time ship roll prediction scheme is proposed on the basis of a data preprocessing strategy and a novel stochastic trainer-based feedforward neural network.The sliding data window serves as a ship time-varying dynamic observer to enhance model prediction stability.The variational mode decomposition method extracts effective information on ship roll motion and reduces the non-stationary characteristics of the series.The energy entropy method reconstructs the mode components into high-frequency,medium-frequency,and low-frequency series to reduce model complexity.An improved black widow optimization algorithm trainer-based feedforward neural network with enhanced local optimal avoidance predicts the high-frequency component,enabling accurate tracking of abrupt signals.Additionally,the deterministic algorithm trainer-based neural network,characterized by rapid processing speed,predicts the remaining two mode components.Thus,real-time ship roll forecasting can be achieved through the reconstruction of mode component prediction results.The feasibility and effectiveness of the proposed hybrid prediction scheme for ship roll motion are demonstrated through the measured data of a full-scale ship trial.The proposed prediction scheme achieves real-time ship roll prediction with superior prediction accuracy.
基金supported by the Fundamental Research Funds for the Central Universities(No.3122024QD06)。
文摘The novel aircraft engine-off taxi towing system featuring aircraft power integration has demonstrated significant advantages,including reduced energy consumption,diminished emissions,and enhanced efficiency.However,the aircraft engine-off taxi towing system lacks the consideration of attendant constraints in the trajectory generation process,which can potentially lead to ground accidents and constrain the improvement of traction speed.Addressing this challenge,the present work investigates the optimal control problem of trajectory generation for the taxiing traction system in the complex stochastic environment in the airport flight area.For the stochastic constraints,a strategy of deterministic processing is proposed to describe the stochastic constraints using random constraints.Furthermore,an adaptive pseudo-spectral method is introduced to transform the optimal control problem into a nonlinear programming problem,enabling its effective resolution.Simulation results substantiate that the generated trajectory can efficiently handle the stochastic constraints and accomplish the given task towards the time-optimization objective,thereby effectively enhancing the stability and efficiency of the taxiing traction system,ensuring the safety of the aircraft system,and improving the ground access capacity and efficiency of the airport.
文摘In this paper we study optimal advertising problems that model the introduction of a new product into the market in the presence of carryover effects of the advertisement and with memory effects in the level of goodwill. In particular, we let the dynamics of the product goodwill to depend on the past, and also on past advertising efforts. We treat the problem by means of the stochastic Pontryagin maximum principle, that here is considered for a class of problems where in the state equation either the state or the control depend on the past. Moreover the control acts on the martingale term and the space of controls U can be chosen to be non-convex but now the space of controls U can be chosen to be non-convex. The maximum principle is thus formulated using a first-order adjoint Backward Stochastic Differential Equations (BSDEs), which can be explicitly computed due to the specific characteristics of the model, and a second-order adjoint relation.
基金supported by the Doctor Students Innovation Foundation of Southwest Jiaotong University.
文摘A novel optimization algorithm called stochastic focusing search （SFS） for the real-parameter optimization is proposed. The new algorithm is a swarm intelligence algorithm, which is based on simulating the act of human randomized searching, and the human searching behaviors. The algorithm＇s performance is studied using a challenging set of typically complex functions with comparison of differential evolution （DE） and three modified particle swarm optimization （PSO） algorithms, and the simulation results show that SFS is competitive to solve most parts of the benchmark problems and will become a promising candidate of search algorithms especially when the existing algorithms have some difficulties in solving certain problems.
文摘Wind power has an increasing share of the Brazilian energy market and may represent 11.6% of total capacity by 2024. For large hydro-thermal systems having high-storage capacity, a complementarity between hydro and wind production could have important effects. The current optimization models are applied to dispatch power plants to meet the market demand and optimize the generation dispatches considering only hydroelectric and thermal power plants. The remaining sources, including wind power, small-hydroelectric plants and biomass plants, are excluded from the optimization model and are included deterministically. This work introduces a general methodology to represent the stochastic behavior of wind production aimed at the planning and operation of large interconnected power systems. In fact, considering the generation of the wind power source stochastically could show the complementarity between the hydro and wind power production, reducing the energy price in the spot market with the reduction of thermal power dispatches. In addition to that, with a reduction in wind power and a simultaneous dry-season occurrence, this model, is able to show the need of thermal power plants dispatches as well as the reduction of the risk of energy shortages.
基金The National Natural Science Foundation of China(No70271039)
文摘Stochastic optimization offers a means of considering the objectives and constrains with stochastic parameters. However, it is generally difficult to solve the stochastic optimization problem by employing conventional methods for nonlinear programming when the number of random variables involved is very large. Neural network models and algorithms were applied to solve the stochastic optimization problem on the basis of the stability theory. Stability for stochastic programs was discussed. If random vector sequence converges to the random vector in the original problem in distribution, the optimal value of the corresponding approximation problems converges to the optimal value of the original stochastic optimization problem.
基金supported in part by the National Key R&D Program of China(2021YFB1714800)the National Natural Science Foundation of China(62222303,62073035,62173034,61925303,62088101,61873033)+1 种基金the CAAI-Huawei MindSpore Open Fundthe Chongqing Natural Science Foundation(2021ZX4100027)。
文摘This paper considers distributed stochastic optimization,in which a number of agents cooperate to optimize a global objective function through local computations and information exchanges with neighbors over a network.Stochastic optimization problems are usually tackled by variants of projected stochastic gradient descent.However,projecting a point onto a feasible set is often expensive.The Frank-Wolfe(FW)method has well-documented merits in handling convex constraints,but existing stochastic FW algorithms are basically developed for centralized settings.In this context,the present work puts forth a distributed stochastic Frank-Wolfe solver,by judiciously combining Nesterov's momentum and gradient tracking techniques for stochastic convex and nonconvex optimization over networks.It is shown that the convergence rate of the proposed algorithm is O(k^(-1/2))for convex optimization,and O(1/log_(2)(k))for nonconvex optimization.The efficacy of the algorithm is demonstrated by numerical simulations against a number of competing alternatives.
