Displaying similar documents to “Conservation law constrained optimization based upon Front-Tracking”

Efficient calculation of sensitivities for optimization problems

Andreas Kowarz, Andrea Walther (2007)

Discussiones Mathematicae, Differential Inclusions, Control and Optimization

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Sensitivity information is required by numerous applications such as, for example, optimization algorithms, parameter estimations or real time control. Sensitivities can be computed with working accuracy using the forward mode of automatic differentiation (AD). ADOL-C is an AD-tool for programs written in C or C++. Originally, when applying ADOL-C, tapes for values, operations and locations are written during the function evaluation to generate an internal function...

The Mean-Variance-CVaR model for Portfolio Optimization Modeling using a Multi-Objective Approach Based on a Hybrid Method

R. Aboulaich, R. Ellaia, S. El Moumen (2010)

Mathematical Modelling of Natural Phenomena

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In this paper we present a new hybrid method, called SASP method. We propose the hybridization of two methods, the simulated annealing (SA), which belong to the class of global optimization based on the principles of thermodynamics, and the descent method were we estimate the gradient using the simultaneous perturbation. This hybrid method gives better results. We use the Normal Boundary Intersection approach (NBI) based on the SASP method...