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Concept# Optimization problem

Résumé

In mathematics, computer science and economics, an optimization problem is the problem of finding the best solution from all feasible solutions.
Optimization problems can be divided into two categories, depending on whether the variables are continuous or discrete:

- An optimization problem with discrete variables is known as a discrete optimization, in which an object such as an integer, permutation or graph must be found from a countable set.
- A problem with continuous variables is known as a continuous optimization, in which an optimal value from a continuous function must be found. They can include constrained problems and multimodal problems.

- f : ℝn → ℝ is the ob

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thumb|Algorithme de découpe d'un polygone quelconque en triangles (triangulation).
Un algorithme est une suite finie et non ambiguë d'instructions et d’opérations permettant de résoudre une classe de

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L'optimisation est une branche des mathématiques cherchant à modéliser, à analyser et à résoudre analytiquement ou numériquement les problèmes qui consistent à minimiser ou maximiser une fonction sur

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L’optimisation combinatoire, (sous-ensemble à nombre de solutions finies de l'optimisation discrète), est une branche de l'optimisation en mathématiques appliquées et en informatique, également liée

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ME-454: Modelling and optimization of energy systems

The goal of the lecture is to present and apply techniques for the modelling and the thermo-economic optimisation of industrial process and energy systems. The lecture covers the problem statement, the solving methods for the simulation and the single and multi-objective optimisation problems.

EE-556: Mathematics of data: from theory to computation

This course provides an overview of key advances in continuous optimization and statistical analysis for machine learning. We review recent learning formulations and models as well as their guarantees, describe scalable solution techniques and algorithms, and illustrate the trade-offs involved.

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Introduction to major operations research models and optimization algorithms

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Since the 2008 Global Financial Crisis, the financial market has become more unpredictable than ever before, and it seems set to remain so in the forseeable future. This means an investor faces unprecedented risks, hence the increasing need for robust portfolio optimization to protect them against uncertainty, which is potentially devastating if unattended yet ignored in the classical Markowitz model, whose another deficiency is the absence of higher moments in its assumption of the distribution of asset returns. We establish an equivalence between the Markowitz model and the portfolio return value-at-risk optimization problem under multivariate normality of asset returns, so that we can add these excluded features into the former implicitly by incorporating them into the latter. We also provide a probabilistic smoothing spline approximation method and a deterministic model within the location-scale framework under elliptical distribution of the asset returns to solve the robust portfolio return value-at-risk optimization problem. In particular for the deterministic model, we introduce a novel eigendecomposition uncertainty set which lives in the positive definite space for the scale matrix without compromising on the computational complexity and conservativeness of the optimization problem, invent a method to determine the size of the involved uncertainty sets, test it out on real data, and explore its diversification properties. Although the value-at-risk has been the standard risk measure adopted by the banking and insurance industry since the early nineties, it has since attracted many criticisms, in particular from McNeil et al. (2005) and the Basel Committee on Banking Supervision in 2012, also known as Basel 3.5. Basel 4 even suggests a move away from the

`what" value-at-risk to the `

what-if" conditional value-at-risk' measure. We shall see that the former may be replaced with the latter or even other risk measures in our formulations easily.Mika Tapani Göös, Siddhartha Jain

We exhibit an unambiguous k-DNF formula that requires CNF width (Omega) over tilde (k(2)), which is optimal up to logarithmic factors. As a consequence, we get a near-optimal solution to the Alon-Saks-Seymour problem in graph theory (posed in 1991), which asks: How large a gap can there be between the chromatic number of a graph and its biclique partition number? Our result is also known to imply several other improved separations in query and communication complexity.

Our brain continuously self-organizes to construct and maintain an internal representation of the world based on the information arriving through sensory stimuli. Remarkably, cortical areas related to different sensory modalities appear to share the same functional unit, the neuron, and develop through the same learning mechanism, synaptic plasticity. It motivates the conjecture of a unifying theory to explain cortical representational learning across sensory modalities. In this thesis we present theories and computational models of learning and optimization in neural networks, postulating functional properties of synaptic plasticity that support the apparent universal learning capacity of cortical networks. In the past decades, a variety of theories and models have been proposed to describe receptive field formation in sensory areas. They include normative models such as sparse coding, and bottom-up models such as spike-timing dependent plasticity. We bring together candidate explanations by demonstrating that in fact a single principle is sufficient to explain receptive field development. First, we show that many representative models of sensory development are in fact implementing variations of a common principle: nonlinear Hebbian learning. Second, we reveal that nonlinear Hebbian learning is sufficient for receptive field formation through sensory inputs. A surprising result is that our findings are independent of specific details, and allow for robust predictions of the learned receptive fields. Thus nonlinear Hebbian learning and natural statistics can account for many aspects of receptive field formation across models and sensory modalities. The Hebbian learning theory substantiates that synaptic plasticity can be interpreted as an optimization procedure, implementing stochastic gradient descent. In stochastic gradient descent inputs arrive sequentially, as in sensory streams. However, individual data samples have very little information about the correct learning signal, and it becomes a fundamental problem to know how many samples are required for reliable synaptic changes. Through estimation theory, we develop a novel adaptive learning rate model, that adapts the magnitude of synaptic changes based on the statistics of the learning signal, enabling an optimal use of data samples. Our model has a simple implementation and demonstrates improved learning speed, making this a promising candidate for large artificial neural network applications. The model also makes predictions on how cortical plasticity may modulate synaptic plasticity for optimal learning. The optimal sampling size for reliable learning allows us to estimate optimal learning times for a given model. We apply this theory to derive analytical bounds on times for the optimization of synaptic connections. First, we show this optimization problem to have exponentially many saddle-nodes, which lead to small gradients and slow learning. Second, we show that the number of input synapses to a neuron modulates the magnitude of the initial gradient, determining the duration of learning. Our final result reveals that the learning duration increases supra-linearly with the number of synapses, suggesting an effective limit on synaptic connections and receptive field sizes in developing neural networks.