This paper contributes to the theoretical and numerical analysis of discrete time dynamic principal agent problems with continuous choice sets. We first provide a new and simplified proof for the recursive reformulation of the sequential dynamic principal agent relationship. Next we prove the existence of a unique solution for the principal’s value function, which solves the dynamic programming...

The Eigenvalue Complementarity Problem (EiCP) differs from the traditional eigenvalue problem in that the primal and dual variables belong to a closed and convex cone K and its dual, respectively, and satisfy a complementarity condition. In this paper we investigate the solution of the SecondOrder Cone EiCP (SOCEiCP) where K is the Lorentz cone. We first show that the SOCEiCP reduces to a speci...

we present a structured algorithm for solving constrained nonlinear least squares problems, and establish its local two-step q-superlinear convergence. the approach is based on an adaptive structured scheme due to mahdavi-amiri and bartels of the exact penalty method of coleman and conn for nonlinearly constrained optimization problems. the structured adaptation also makes use of the ideas of n...

Deterministic optimization approaches have been well developed and widely used in the process industry to accomplish off-line and on-line process optimization. The challenging task for the academic research currently is to address large-scale, complex optimization problems under various uncertainties. Therefore, investigations on the development of stochastic optimization approaches are necessi...

This dissertation deals with the development of computational strategies that enable the implementation of sophisticated first-principles dynamic models in on-line chemical process operations. During the last years, it has been recognized that first-principles models can lead to a tighter integration of the decision-making hierarchy and, consequently, to an increased process performance. The de...

‎in this paper‎, ‎some kkt type sufficient global optimality conditions‎ ‎for general mixed integer nonlinear programming problems with‎ ‎equality and inequality constraints (minpp) are established‎. ‎we achieve‎ ‎this by employing a lagrange function for minpp‎. ‎in addition‎, ‎verifiable sufficient global optimality conditions for general mixed‎ ‎integer quadratic programming problems are der...

the product rate variation problem minimizes the variation in the rate at which different models of a common base product are produced on the assembly lines with the assumption of negligible switch-over cost and unit processing time for each copy of each model. the assumption of significant setup and arbitrary processing times forces the problem to be a two phase problem. the first phase determ...