This note studies the global optimization of controller mappings in discrete-time stochastic control problems including Witsenhausen’s celebrated 1968 counter-example. We propose a generally applicable non-convex numerical optimization method based on the concept of deterministic annealing – which is derived from information theoretic principles and was successfully employed in several problems...

In this work, we will establish some relations between variational-like inequality problems and vectorial optimization problems in Banach spaces under invexity hypotheses. This paper extends the earlier work of Ruiz-Garzón et al. [G. Ruiz-Garzón, R. OsunaGómez, A. Rufián-Lizana, Relationships between vector variational-like inequality and optimization problems, European J. Oper. Res. 157 (2004)...

there are many numerous methods for solving large-scale problems in which some of them are very flexible and efficient in both linear and non-linear cases. league championship algorithm is such algorithm which may be used in the mentioned problems. in the current paper, a new play-off approach will be adapted on league championship algorithm for solving large-scale problems. the proposed algori...

We present an algorithm for approximately solving bounded convex vector optimization problems. The provides both outer and inner polyhedral approximation of the upper image. It is a modification primal presented by Löhne, Rudloff, Ulus in 2014. There, vertices already known are successively cutoff to improve error. propose new efficient selection rule deciding which vertex cutoff. Numerical exa...

There is no doubt that one of the most important domains of optimization theory is concave maximization, the most delicate problems of which are the duality theory and the necessary and sufficient optimality conditions. Duality theory for one-objective concave maximization is, how it is generally known, already completely developed. For vector optimization, however, the duality question is mote...