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GLOBAL OPTIMIZATION FOR THE PORTFOLIO SELECTION MODEL WITH HIGH-ORDER MOMENTS

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arXiv 2022年

作者： Yang, Liu Yang, Yi Zhong, Suhan Hunan Key Laboratory for Computation and Simulation in Science and Engineering Xiangtan University School of Mathematics and Computational Sciences Xiangtan University Hunan Xiangtan411105 China School of Mathematics Hunan City University Hunan Yiyang413000 China Department of Mathematics Texas A&M University College StationTX77843-3368 United States

In this paper, we study the global optimality of polynomial portfolio optimization (PPO). The PPO is a kind of portfolio selection model with high-order moments and flexible risk preference parameters. We introduce a perturbation sample average approximation method, which can give a robust approximation of the PPO in form of linear conic optimization. The approximated problem can be solved globally with Moment-SOS relaxations. We summarize a semidefinite algorithm, which can be used to find reliable approximations of the optimal value and optimizer set of the PPO. Numerical examples are given to show the efficiency of the algorithm. Copyright © 2022, The Authors. All rights reserved.

关键词： Global optimization

A convergence analysis of a structure-preserving gradient flow method for the all-electron Kohn-Sham model

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arXiv 2023年

作者： Shen, Yedan Wang, Ting Zhou, Jie Hu, Guanghui School of Mathematics and Information Science Guangzhou University Guangzhou China Faculty of Science and Technology University of Macau China Hunan Key Laboratory for Computation and Simulation in Science and Engineering Xiangtan University Xiangtan China School of Mathematical Computational Sciences Xiangtan University Xiangtan China Zhuhai UM Science & Technology Research Institute Zhuhai China Guangdong-Hong Kong-Macao Joint Laboratory for Data-Driven Fluid Mechanics and Engineering Applications University of Macau China

In [Dai et al, Multi. Model. Simul., 2020], a structure-preserving gradient flow method was proposed for the ground state calculation in Kohn–Sham density functional theory, based on which a linearized method was developed in [Hu, et al, EAJAM, accepted] for further improving the numerical efficiency. In this paper, a complete convergence analysis is delivered for such a linearized method for the all-electron Kohn–Sham model. Temporally, the convergence, the asymptotic stability, as well as the structure-preserving property of the linearized numerical scheme in the method is discussed following previous works, while spatially, the convergence of the h-adaptive mesh method is demonstrated following [Chen et al, Multi. Model. Simul., 201.], with a key study on the boundedness of the Kohn–Sham potential for the all-electron Kohn–Sham model. Numerical examples confirm the theoretical results very well. Copyright © 2023, The Authors. All rights reserved.

关键词： Asymptotic stability

A Jacobi Collocation Method for the Fractional Ginzburg-Landau Differential Equation

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Advances in Applied Mathematics and Mechanics 2020年第1期12卷 57-86页

作者： Yin Yang Jianyong Tao Shangyou Zhang Petr V.Sivtsev Hunan Key Laboratory for Computation and Simulation in Science and Engineering Key Laboratory of Intelligent Computing&Information Processing of Ministry of EducationSchool of Mathematics and Computational ScienceXiangtan UniversityXiangtanHunan 411105China Department of Mathematical Sciences University of DelawareNewarkDE 19716USA International Scientific and Research Laboratory of Multiscale Model Reduction and High Performance Computing Ammosov North Eastern UniversityKulakovskogo677013YakutskRussia

In this paper,we design a collocation method to solve the fractional Ginzburg-Landau equation.A Jacobi collocation method is developed and implemented in two ***,we space-discretize the equation by the Jacobi-Gauss-Lobatto collocation(JGLC)method in one-and two-dimensional *** equation is then converted to a system of ordinary differential equations(ODEs)with the time variable based on *** second step applies the Jacobi-Gauss-Radau collocation(JGRC)method for the time ***,we give a theoretical proof of convergence of this Jacobi collocation method and some numerical results showing the proposed scheme is an effective and high-precision algorithm.

关键词： The fractional Ginzburg-Landau equation Jacobi collocation method convergence

Adaptive finite element method for phase field fracture models based on recovery error estimates

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Journal of computational and Applied Mathematics 2026年 472卷

作者： Tian Tian Chunyu Chen Liang He Huayi Wei School of Mathematics and Computational Science Xiangtan University Xiangtan 411105 China National Center of Applied Mathematics in Hunan Hunan Key Laboratory for Computation and Simulation in Science and Engineering Xiangtan 411105 China

The phase-field model is a widely used mathematical approach for describing crack propagation in continuum damage fractures. In the context of phase field fracture simulations, adaptive finite element methods (AFEM) are often employed to address the mesh size dependency of the model. However, existing AFEM approaches for this application frequently rely on heuristic adjustments and empirical parameters for mesh refinement. In this paper, we introduce an adaptive finite element method based on a recovery type posteriori error estimates approach grounded in theoretical analysis. This method transforms the gradient of the numerical solution into a smoother function space, using the difference between the recovered gradient and the original numerical gradient as an error indicator for adaptive mesh refinement. This enables the automatic capture of crack propagation directions without the need for empirical parameters. We have implemented this adaptive method for the Hybrid formulation of the phase-field model using the open-source software package FEALPy. The accuracy and efficiency of the proposed approach are demonstrated through simulations of classical 2D and 3D brittle fracture examples, validating the robustness and effectiveness of our implementation.

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computationally efficient sandbox algorithm for multifractal analysis of large-scale complex networks with tens of millions of nodes

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Physical Review E 2021年第4期103卷 043303-043303页

作者： Yuemin Ding Jin-Long Liu Xiaohui Li Yu-Chu Tian Zu-Guo Yu Department of Energy and Process Engineering Norwegian University of Science and Technology 7049 Trondheim Norway School of Computer Science Queensland University of Technology Brisbane QLD 4000 Australia Key Laboratory of Intelligent Computing and Information Processing of Ministry of Education and Hunan Key Laboratory for Computation and Simulation in Science and Engineering Xiangtan University Xiangtan Hunan 411105 China School of Information Science and Engineering Wuhan University of Science and Technology Wuhan Hubei 430081 China

Among various algorithms of multifractal analysis (MFA) for complex networks, the sandbox MFA algorithm behaves with the best computational efficiency. However, the existing sandbox algorithm is still computationally expensive for MFA of large-scale networks with tens of millions of nodes. It is also not clear whether MFA results can be improved by a largely increased size of a theoretical network. To tackle these challenges, a computationally efficient sandbox algorithm (CESA) is presented in this paper for MFA of large-scale networks. Distinct from the existing sandbox algorithm that uses the shortest-path distance matrix to obtain the required information for MFA of networks, our CESA employs the compressed sparse row format of the adjacency matrix and the breadth-first search technique to directly search the neighbor nodes of each layer of center nodes, and then to retrieve the required information. A theoretical analysis reveals that the CESA reduces the time complexity of the existing sandbox algorithm from cubic to quadratic, and also improves the space complexity from quadratic to linear. Then the CESA is demonstrated to be effective, efficient, and feasible through the MFA results of (u,v)-flower model networks from the fifth to the 1.th generations. It enables us to study the multifractality of networks of the size of about 1. million nodes with a normal desktop computer. Furthermore, we have also found that increasing the size of (u,v)-flower model network does improve the accuracy of MFA results. Finally, our CESA is applied to a few typical real-world networks of large scale.

关键词： Network formation & growth Fractals Fractal dimension characterization

Diffeomorphic image registration with an optimal control relaxation and its implementation

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arXiv 2021年

作者： Zhang, Jianping Li, Yanyan School of Mathematics and Computational Science Hunan National Center for Applied Mathematics Hunan Key Laboratory for Computation and Simulation in Science and Engineering Xiangtan University Hunan Xiangtan411105 China School of Mathematics and Computational Science Xiangtan University Hunan Xiangtan411105 China

Image registration has played an important role in image processing problems, especially in medical imaging applications. It is well known that when the deformation is large, many variational models cannot ensure diffeomorphism. In this paper, we propose a new registration model based on an optimal control relaxation constraint for large deformation images, which can theoretically guarantee that the registration mapping is diffeomorphic. We present an analysis of optimal control relaxation for indirectly seeking the diffeomorphic transformation of Jacobian determinant equation and its registration applications, including the construction of diffeomorphic transformation as a special space. We also provide an existence result for the control increment optimization problem in the proposed diffeomorphic image registration model with an optimal control relaxation. Furthermore, a fast iterative scheme based on the augmented Lagrangian multipliers method (ALMM) is analyzed to solve the control increment optimization problem, and a convergence analysis is followed. Finally, a grid unfolding indicator is given, and a robust solving algorithm for using the deformation correction and backtrack strategy is proposed to guarantee that the solution is diffeomorphic. Numerical experiments show that the registration model we proposed can not only get a diffeomorphic mapping when the deformation is large, but also achieves the state-of-the-art performance in quantitative evaluations in comparing with other classical models. Copyright © 2021. The Authors. All rights reserved.

关键词： Dynamical systems

The Schur complements for SDD1.matrices and their application to linear complementarity problems

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arXiv 2025年

作者： Hu, Yang Liu, Jianzhou Zeng, Wenlong School of Mathematics and Computational Science Xiangtan University Hunan Xiangtan411105 China Hunan Key Laboratory for Computation and Simulation in Science and Engineering Xiangtan University Xiangtan China Department of Mathematics Shanghai University Shanghai200444 China

In this paper we propose a new scaling method to study the Schur complements of SDD1.matrices. Its core is related to the non-negative property of the inverse M-matrix, while numerically improving the Quotient formula. Based on the Schur complement and a novel norm splitting manner, we establish an upper bound for the infinity norm of the inverse of SDD1.matrices, which depends solely on the original matrix entries. We apply the new bound to derive an error bound for linear complementarity problems of B1.matrices. Additionally, new lower and upper bounds for the determinant of SDD1.matrices are presented. Numerical experiments validate the effectiveness and superiority of our results. © 2025, CC BY.

关键词： Matrix algebra

Two-level overlapping Schwarz methods based on local generalized eigenproblems for hermitian variational problems

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arXiv 2021年

作者： Lu, Qing Wang, Junxian Shu, Shi Peng, Jie School of Mathematics and Computational Science Hunan Key Laboratory for Computation and Simulation in Science and Engineering Xiangtan University Hunan Xiangtan411105 China School of Mathematical Sciences South China Normal University Guangzhou510631 China

The research of two-level overlapping Schwarz (TL-OS) method based on constrained energy minimizing coarse space is still in its infancy, and there exist some defects, e.g. mainly for second order elliptic problem and too heavy computational cost of coarse space construction. In this paper, by introducing appropriate assumptions, we propose more concise coarse basis functions for general Hermitian positive and definite discrete systems, and establish the algorithmic and theoretical frameworks of the corresponding TL-OS methods. Furthermore, to enhance the practicability of the algorithm, we design two economical TL-OS preconditioners and prove the condition number estimate. As the first application of the frameworks, we prove that the assumptions hold for the linear finite element discretization of second order elliptic problem with high contrast and oscillatory coefficient and the condition number of the TL-OS preconditioned system is robust with respect to the model and mesh parameters. In particular, we also prove that the condition number of the economically preconditioned system is independent of the jump range under a certain jump distribution. Experimental results show that the first kind of economical preconditioner is more efficient and stable than the existed one. Secondly, we construct TL-OS and the economical TL-OS preconditioners for the plane wave least squares discrete system of Helmholtz equation by using the frameworks. The numerical results for homogeneous and non-homogeneous cases illustrate that the PCG method based on the proposed preconditioners have good stability in terms of the angular frequency, mesh parameters and the number of degrees of freedom in each element. Copyright © 2021. The Authors. All rights reserved.

关键词： Number theory

Finite element methods for fractional diffusion equations

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International Journal of Modeling, simulation, and Scientific Computing 2020年第4期11卷 32-52页

作者： Yue Zhao Chen Shen Min Qu Weiping Bu Yifa Tang LSEC ICMSECAcademy of Mathematics and Systems Science Chinese Academy of SciencesBeijing 100190P.R.China School of Mathematical Sciences University of Chinese Academy of Sciences Beijing 100049 P.R.China School of Mathematics and Computational Science&Hunan Key Laboratory for Computation and Simulation in Science and Engineering Xiangtan University Hunan 411105P.R.China

Due to the successful applications in engineering,physics,biology,finance,etc.,there has been substantial interest in fractional diffusion equations over the past few decades,and literatures on developing and analyzing efficient and accurate numerical methods for reliably simulating such equations are vast and fast *** paper gives a concise overview on finite element methods for these equations,which are divided into time fractional,space fractional and time-space fractional diffusion ***,we also involve some relevant topics on the regularity theory,the well-posedness,and the fast algorithm.

关键词： Fractional diffusion equation finite element method regularity theory well-posedness fast algorithm.