We consider solving nonlinear optimization problems with a stochastic objective and deterministic equality constraints. assume for the that its evaluation, gradient, Hessian are inaccessible, while one can compute their estimates by, example, subsampling. propose algorithm based on sequential quadratic programming (SQP) uses differentiable exact augmented Lagrangian as merit function. To motiva...

Our goal is to identify the volatility function in Dupire’s equation from given option prices. Following an optimal control approach in a Lagrangian framework, we propose a globalized sequential quadratic programming (SQP) algorithm with a modified Hessian – to ensure that every SQP step is a descent direction – and implement a line search strategy. In each level of the SQP method a linear–quad...

Introduction Since its popularization in the late s Sequential Quadratic Program ming SQP has arguably become the most successful method for solving nonlinearly constrained optimization problems As with most optimization methods SQP is not a single algorithm but rather a conceptual method from which numerous speci c algorithms have evolved Backed by a solid theoretical and computational foundat...

Ten years ago, the broad consensus among researchers in constrained optimization was that sequential quadratic programming (SQP) methods were the methods of choice. While, in the long term, this position may be justiied, the past ten years have exposed a number of diiculties with the SQP approach. Moreover, alternative methods have shown themselves capable of solving large-scale problems. In th...

one of the most important fuel cells (fcs) is proton exchange membrane fuel cells (pemfcs). the outputvoltage of this fc depends on current loads. this paper tries to introduce, implement and control the voltage ofpemfc, during load variations. the output voltage of fuel cell should be constant during load variation. toachieve this goal, a controller should be designed. here, the lead-lag contr...

voltage profile and losses are important factors in a distribution network in which there arevariety of ways to improve them. in this paper, distributed generation (dg) is used as a solutionto improve the above characteristics. backward/forward sweep load flow algorithm is used dueto the inefficiency of usual load flow algorithms because of high r/x ratio and their lack ofconvergence in distrib...

Abstract— The aim of this paper is to study the tuning of a PID controller using swarm optimization techniques. In this paper, comparative performance of PSO and BF-PSO based PID controller is analyzed. PSO algorithm converges rapidly during the initial stages of a global search, but around global optimum, the search process slows down. In order to overcome this problem and to further enhance t...

A new model for evolving the structure of a Particle Swarm Optimization (PSO) algorithm is proposed in this paper. The model is a hybrid technique that combines a Genetic Algorithm (GA) and a PSO algorithm. Each GA chromosome is an array encoding a meaning for updating the particles of the PSO algorithm. The evolved PSO algorithm is compared to a human-designed PSO algorithm by using ten artifi...