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A fast algorithm for the two dimensional HJB equation of stochastic control

J. Frédéric Bonnans, Élisabeth Ottenwaelter, Housnaa Zidani (2004)

ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique

This paper analyses the implementation of the generalized finite differences method for the HJB equation of stochastic control, introduced by two of the authors in [Bonnans and Zidani, SIAM J. Numer. Anal. 41 (2003) 1008–1021]. The computation of coefficients needs to solve at each point of the grid (and for each control) a linear programming problem. We show here that, for two dimensional problems, this linear programming problem can be solved in O ( p m a x ) operations, where p m a x is the size of the stencil....

A fast algorithm for the two dimensional HJB equation of stochastic control

J. Frédéric Bonnans, Élisabeth Ottenwaelter, Housnaa Zidani (2010)

ESAIM: Mathematical Modelling and Numerical Analysis

This paper analyses the implementation of the generalized finite differences method for the HJB equation of stochastic control, introduced by two of the authors in [Bonnans and Zidani, SIAM J. Numer. Anal.41 (2003) 1008–1021]. The computation of coefficients needs to solve at each point of the grid (and for each control) a linear programming problem. We show here that, for two dimensional problems, this linear programming problem can be solved in O(pmax) operations, where pmax is the size of...

A fast iteration for uniform approximation

Ferenc Kálovics (1988)

Aplikace matematiky

The paper gives such an iterative method for special Chebyshev approxiamtions that its order of convergence is 2 . Somewhat comparable results are found in [1] and [2], based on another idea.

A fast Lagrangian heuristic for large-scale capacitated lot-size problems with restricted cost structures

Kjetil K. Haugen, Guillaume Lanquepin-Chesnais, Asmund Olstad (2012)

Kybernetika

In this paper, we demonstrate the computational consequences of making a simple assumption on production cost structures in capacitated lot-size problems. Our results indicate that our cost assumption of increased productivity over time has dramatic effects on the problem sizes which are solvable. Our experiments indicate that problems with more than 1000 products in more than 1000 time periods may be solved within reasonable time. The Lagrangian decomposition algorithm we use does of course not...

A fast numerical test of multivariate polynomial positiveness with applications

Petr Augusta, Petra Augustová (2018)

Kybernetika

The paper presents a simple method to check a positiveness of symmetric multivariate polynomials on the unit multi-circle. The method is based on the sampling polynomials using the fast Fourier transform. The algorithm is described and its possible applications are proposed. One of the aims of the paper is to show that presented algorithm is significantly faster than commonly used method based on the semi-definite programming expression.

A fictitious domain method for the numerical two-dimensional simulation of potential flows past sails

Alfredo Bermúdez, Rodolfo Rodríguez, María Luisa Seoane (2011)

ESAIM: Mathematical Modelling and Numerical Analysis

This paper deals with the mathematical and numerical analysis of a simplified two-dimensional model for the interaction between the wind and a sail. The wind is modeled as a steady irrotational plane flow past the sail, satisfying the Kutta-Joukowski condition. This condition guarantees that the flow is not singular at the trailing edge of the sail. Although for the present analysis the position of the sail is taken as data, the final aim of this research is to develop tools to compute the sail...

A fictitious domain method for the numerical two-dimensional simulation of potential flows past sails

Alfredo Bermúdez, Rodolfo Rodríguez, María Luisa Seoane (2011)

ESAIM: Mathematical Modelling and Numerical Analysis

This paper deals with the mathematical and numerical analysis of a simplified two-dimensional model for the interaction between the wind and a sail. The wind is modeled as a steady irrotational plane flow past the sail, satisfying the Kutta-Joukowski condition. This condition guarantees that the flow is not singular at the trailing edge of the sail. Although for the present analysis the position of the sail is taken as data, the final aim of this research is to develop tools to compute the sail...

Currently displaying 201 – 220 of 1948