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In this paper, we propose a sensitivity-based analysis to study the nonlinear behavior under nonexpected utility with probability distortions (or 'distorted utility' for short). We first discover the 'monolinearity' of distorted utility, which means that after properly changing the underlying probability measure, distorted utility becomes locally linear in probabilities, and the derivative of distorted utility is simply an expectation of the sample path derivative under the new measure. From the monolinearity property, simulation algorithms for estimating the derivative of distorted utility can be developed, leading to gradient-based search algorithms for the optimum of distorted utility. We then apply the sensitivity-based approach to the portfolio selection problem under distorted utility with complete and incomplete markets. For the complete markets case, the first-order condition is derived and optimal wealth deduced. For the incomplete markets case, a dual characterization of optimal policies is provided; a solvable incomplete market example with unhedgeable interest rate risk is also presented. We expect this sensitivity-based approach to be generally applicable to optimization problems involving probability distortions. [ABSTRACT FROM AUTHOR]

In practice, many systems exhibit load‐sharing behavior, where the surviving components share the total load imposed on the system. Different from general systems, the components of load‐sharing systems are interdependent in nature, in such a way that when one component fails, the system load has to be shared by the remaining components, which increases the failure rate or degradation rate of the remaining components. Because of the load‐sharing mechanism among components, parameter estimation and reliability assessment are usually complicated for load‐sharing systems. Although load‐sharing systems with components subject to sudden failures have been intensely studied in literatures with detailed estimation and analysis approaches, those with components subject to degradation are rarely investigated. In this paper, we propose the parameter estimation method for load‐sharing systems subject to continuous degradation with a constant load. Likelihood function based on the degradation data of components is established as a first step. The maximum likelihood estimators for unknown parameters are deduced and obtained via expectation‐maximization (EM) algorithm considering the nonclosed form of the likelihood function. Numerical examples are used to illustrate the effectiveness of the proposed method. [ABSTRACT FROM AUTHOR]

In this paper an inverse and iterative method for the identification of material behavior is presented, based on the Finite Element Model Updating (FEMU) strategy. The FE simulations are performed with a commercial FE software code, using a self-implemented elastic material model at finite strain. The iterative identification procedure is based on an experimental test (numerical) whose measured kinematic values are compared to the corresponding simulated ones. Through an optimization algorithm the material parameters are varied in a way that the least-squares sum of the kinematic values is minimized and the optimal material parameters yielding the material behavior are identified. (© 2014 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim) [ABSTRACT FROM AUTHOR]

For the scenario where the overall layout is known and the obstacle distribution information is unknown, a dynamic path planning algorithm combining the A* algorithm and the proximal policy optimization (PPO) algorithm is proposed. Simulation experiments show that in all six test environments, the proposed algorithm finds paths that are on average about 2.04% to 5.86% shorter compared to the state‐of‐the‐art algorithms in the literature, and reduces the number of training epochs before stabilization from tens of thousands to about 4000. [ABSTRACT FROM AUTHOR]

This study belongs to the barely explored research strand of "Econometric Mathematical Programming" and presents a simultaneous estimation of the cost function and of the farmers' risk attitude parameter in a programming model setup. Resource and policy constraints of the model are allowed to be not binding. We use crop shares as decision variables to avoid scale bias and we consider price and crop yield variances separately. The model is formulated as a bi‐level programming model and the empirical application concerns three unbalanced panels of specialized arable farms observed for at least three consecutive years in Northern Italy, in the Cologne‐Aachen area in Germany and in the Grandes‐Cultures area in France over the time period 1995–2007. We achieve a quite satisfactory fit in the estimation exercise and find own and cross price elasticities from sensitivity experiments in reasonable ranges. We also propose a novel approach to derive confidence intervals around parameter estimates for Econometric Mathematical Programming. [ABSTRACT FROM AUTHOR]

Abstract: Redundancy allocation is one of the adopted approaches that is used by system designers to improve the performance of systems. In this article, a new model and a novel‐solving method are provided to address the nonexponential redundancy allocation problem in series‐parallel systems with repairable components based on optimization via simulation approach and artificial neural network technique. Despite the previous researches, in this model the failure and repair times of the each component were considered to have nonnegative exponential distributions. This assumption makes the model closer to the reality where most of used components have greater chance to face a breakdown in comparison to new ones. The main aim of this research is the optimization of mean time to the first failure of the system via allocating the best redundant components for each subsystem. Since this objective function of the problem could not be explicitly mentioned, the simulation technique and artificial neural network were applied to model the problem, and different experimental designs were produced using design of experiment methods. To solve the problem, some metaheuristic algorithms were integrated with the simulation method. Several experiments were performed to test the proposed approach, and as the results show, the proposed approach is much more real than previous models, and also the near optimum solutions are promising. [ABSTRACT FROM AUTHOR]

The economic design of a distillation column or distillation sequences is a challenging problem that has been addressed by superstructure approaches. However, these methods have not been widely used because they lead to mixed-integer nonlinear programs that are hard to solve, and require complex initialization procedures. In this article, we propose to address this challenging problem by substituting the distillation columns by Kriging-based surrogate models generated via state of the art distillation models. We study different columns with increasing difficulty, and show that it is possible to get accurate Kriging-based surrogate models. The optimization strategy ensures that convergence to a local optimum is guaranteed for numerical noise-free models. For distillation columns (slightly noisy systems), Karush-Kuhn-Tucker optimality conditions cannot be tested directly on the actual model, but still we can guarantee a local minimum in a trust region of the surrogate model that contains the actual local minimum. © 2015 American Institute of Chemical Engineers AIChE J, 61: 2169-2187, 2015 [ABSTRACT FROM AUTHOR]