Bayesian Approach to Global Optimization


Book Description

·Et moi ... si j'avait su comment en revcnir. One service mathematics has rendered the je o'y semis point alle.' human race. It has put common sense back Jules Verne where it beloogs. on the topmost shelf next to the dusty canister labelled 'discarded non The series is divergent; therefore we may be sense', able to do something with it. Eric T. BclI O. Heaviside Mathematics is a tool for thought. A highly necessary tool in a world where both feedback and non linearities abound. Similarly, all kinds of parts of mathematics serve as tools for other parts and for other sciences. Applying a simple rewriting rule to the quote on the right above one finds such statements as: 'One service topology has rendered mathematical physics ... '; 'One service logic has rendered com puter science .. .'; 'One service category theory has rendered mathematics .. .'. All arguably true. And all statements obtainable this way form part of the raison d'etre of this series.




Stochastic and Global Optimization


Book Description

In the paper we propose a model of tax incentives optimization for inve- ment projects with a help of the mechanism of accelerated depreciation. Unlike the tax holidays which influence on effective income tax rate, accelerated - preciation affects on taxable income. In modern economic practice the state actively use for an attraction of - vestment into the creation of new enterprises such mechanisms as accelerated depreciation and tax holidays. The problem under our consideration is the following. Assume that the state (region) is interested in realization of a certain investment project, for ex- ple, the creation of a new enterprise. In order to attract a potential investor the state decides to use a mechanism of accelerated tax depreciation. The foll- ing question arise. What is a reasonable principle for choosing depreciation rate? From the state’s point of view the future investor’s behavior will be rat- nal. It means that while looking at economic environment the investor choose such a moment for investment which maximizes his expected net present value (NPV) from the given project. For this case both criteria and “investment rule” depend on proposed (by the state) depreciation policy. For the simplicity we will suppose that the purpose of the state for a given project is a maximi- tion of a discounted tax payments into the budget from the enterprise after its creation. Of course, these payments depend on the moment of investor’s entry and, therefore, on the depreciation policy established by the state.




Bayesian and High-Dimensional Global Optimization


Book Description

Accessible to a variety of readers, this book is of interest to specialists, graduate students and researchers in mathematics, optimization, computer science, operations research, management science, engineering and other applied areas interested in solving optimization problems. Basic principles, potential and boundaries of applicability of stochastic global optimization techniques are examined in this book. A variety of issues that face specialists in global optimization are explored, such as multidimensional spaces which are frequently ignored by researchers. The importance of precise interpretation of the mathematical results in assessments of optimization methods is demonstrated through examples of convergence in probability of random search. Methodological issues concerning construction and applicability of stochastic global optimization methods are discussed, including the one-step optimal average improvement method based on a statistical model of the objective function. A significant portion of this book is devoted to an analysis of high-dimensional global optimization problems and the so-called ‘curse of dimensionality’. An examination of the three different classes of high-dimensional optimization problems, the geometry of high-dimensional balls and cubes, very slow convergence of global random search algorithms in large-dimensional problems , and poor uniformity of the uniformly distributed sequences of points are included in this book.




Introduction to Global Optimization Exploiting Space-Filling Curves


Book Description

Introduction to Global Optimization Exploiting Space-Filling Curves provides an overview of classical and new results pertaining to the usage of space-filling curves in global optimization. The authors look at a family of derivative-free numerical algorithms applying space-filling curves to reduce the dimensionality of the global optimization problem; along with a number of unconventional ideas, such as adaptive strategies for estimating Lipschitz constant, balancing global and local information to accelerate the search. Convergence conditions of the described algorithms are studied in depth and theoretical considerations are illustrated through numerical examples. This work also contains a code for implementing space-filling curves that can be used for constructing new global optimization algorithms. Basic ideas from this text can be applied to a number of problems including problems with multiextremal and partially defined constraints and non-redundant parallel computations can be organized. Professors, students, researchers, engineers, and other professionals in the fields of pure mathematics, nonlinear sciences studying fractals, operations research, management science, industrial and applied mathematics, computer science, engineering, economics, and the environmental sciences will find this title useful . ​




Numerical Infinities and Infinitesimals in Optimization


Book Description

This book provides a friendly introduction to the paradigm and proposes a broad panorama of killing applications of the Infinity Computer in optimization: radically new numerical algorithms, great theoretical insights, efficient software implementations, and interesting practical case studies. This is the first book presenting to the readers interested in optimization the advantages of a recently introduced supercomputing paradigm that allows to numerically work with different infinities and infinitesimals on the Infinity Computer patented in several countries. One of the editors of the book is the creator of the Infinity Computer, and another editor was the first who has started to use it in optimization. Their results were awarded by numerous scientific prizes. This engaging book opens new horizons for researchers, engineers, professors, and students with interests in supercomputing paradigms, optimization, decision making, game theory, and foundations of mathematics and computer science. “Mathematicians have never been comfortable handling infinities... But an entirely new type of mathematics looks set to by-pass the problem... Today, Yaroslav Sergeyev, a mathematician at the University of Calabria in Italy solves this problem... ” MIT Technology Review “These ideas and future hardware prototypes may be productive in all fields of science where infinite and infinitesimal numbers (derivatives, integrals, series, fractals) are used.” A. Adamatzky, Editor-in-Chief of the International Journal of Unconventional Computing. “I am sure that the new approach ... will have a very deep impact both on Mathematics and Computer Science.” D. Trigiante, Computational Management Science. “Within the grossone framework, it becomes feasible to deal computationally with infinite quantities, in a way that is both new (in the sense that previously intractable problems become amenable to computation) and natural”. R. Gangle, G. Caterina, F. Tohmé, Soft Computing. “The computational features offered by the Infinity Computer allow us to dynamically change the accuracy of representation and floating-point operations during the flow of a computation. When suitably implemented, this possibility turns out to be particularly advantageous when solving ill-conditioned problems. In fact, compared with a standard multi-precision arithmetic, here the accuracy is improved only when needed, thus not affecting that much the overall computational effort.” P. Amodio, L. Brugnano, F. Iavernaro & F. Mazzia, Soft Computing




Bayesian Heuristic Approach to Discrete and Global Optimization


Book Description

Bayesian decision theory is known to provide an effective framework for the practical solution of discrete and nonconvex optimization problems. This book is the first to demonstrate that this framework is also well suited for the exploitation of heuristic methods in the solution of such problems, especially those of large scale for which exact optimization approaches can be prohibitively costly. The book covers all aspects ranging from the formal presentation of the Bayesian Approach, to its extension to the Bayesian Heuristic Strategy, and its utilization within the informal, interactive Dynamic Visualization strategy. The developed framework is applied in forecasting, in neural network optimization, and in a large number of discrete and continuous optimization problems. Specific application areas which are discussed include scheduling and visualization problems in chemical engineering, manufacturing process control, and epidemiology. Computational results and comparisons with a broad range of test examples are presented. The software required for implementation of the Bayesian Heuristic Approach is included. Although some knowledge of mathematical statistics is necessary in order to fathom the theoretical aspects of the development, no specialized mathematical knowledge is required to understand the application of the approach or to utilize the software which is provided. Audience: The book is of interest to both researchers in operations research, systems engineering, and optimization methods, as well as applications specialists concerned with the solution of large scale discrete and/or nonconvex optimization problems in a broad range of engineering and technological fields. It may be used as supplementary material for graduate level courses.




Advances in Stochastic and Deterministic Global Optimization


Book Description

Current research results in stochastic and deterministic global optimization including single and multiple objectives are explored and presented in this book by leading specialists from various fields. Contributions include applications to multidimensional data visualization, regression, survey calibration, inventory management, timetabling, chemical engineering, energy systems, and competitive facility location. Graduate students, researchers, and scientists in computer science, numerical analysis, optimization, and applied mathematics will be fascinated by the theoretical, computational, and application-oriented aspects of stochastic and deterministic global optimization explored in this book. This volume is dedicated to the 70th birthday of Antanas Žilinskas who is a leading world expert in global optimization. Professor Žilinskas's research has concentrated on studying models for the objective function, the development and implementation of efficient algorithms for global optimization with single and multiple objectives, and application of algorithms for solving real-world practical problems.




Models and Algorithms for Global Optimization


Book Description

The research of Antanas Zilinskas has focused on developing models for global optimization, implementing and investigating the corresponding algorithms, and applying those algorithms to practical problems. This volume, dedicated to Professor Zilinskas on the occasion of his 60th birthday, contains new survey papers in which leading researchers from the field present various models and algorithms for solving global optimization problems.




Average-Case Analysis of Numerical Problems


Book Description

The average-case analysis of numerical problems is the counterpart of the more traditional worst-case approach. The analysis of average error and cost leads to new insight on numerical problems as well as to new algorithms. The book provides a survey of results that were mainly obtained during the last 10 years and also contains new results. The problems under consideration include approximation/optimal recovery and numerical integration of univariate and multivariate functions as well as zero-finding and global optimization. Background material, e.g. on reproducing kernel Hilbert spaces and random fields, is provided.




Bayesian Data Analysis, Third Edition


Book Description

Now in its third edition, this classic book is widely considered the leading text on Bayesian methods, lauded for its accessible, practical approach to analyzing data and solving research problems. Bayesian Data Analysis, Third Edition continues to take an applied approach to analysis using up-to-date Bayesian methods. The authors—all leaders in the statistics community—introduce basic concepts from a data-analytic perspective before presenting advanced methods. Throughout the text, numerous worked examples drawn from real applications and research emphasize the use of Bayesian inference in practice. New to the Third Edition Four new chapters on nonparametric modeling Coverage of weakly informative priors and boundary-avoiding priors Updated discussion of cross-validation and predictive information criteria Improved convergence monitoring and effective sample size calculations for iterative simulation Presentations of Hamiltonian Monte Carlo, variational Bayes, and expectation propagation New and revised software code The book can be used in three different ways. For undergraduate students, it introduces Bayesian inference starting from first principles. For graduate students, the text presents effective current approaches to Bayesian modeling and computation in statistics and related fields. For researchers, it provides an assortment of Bayesian methods in applied statistics. Additional materials, including data sets used in the examples, solutions to selected exercises, and software instructions, are available on the book’s web page.