Bücher der Reihe Nonconvex Optimization and Its Applications

Probabilistic and percentile/quantile functions play an important role in several applications, such as finance (Value-at-Risk), nuclear safety, and the environment.

Many questions dealing with solvability, stability and solution methods for va- ational inequalities or equilibrium, optimization and complementarity problems lead to the analysis of certain (perturbed) equations. This often requires a - formulation of the initial model being under consideration. Due to the specific of the original problem, the resulting equation is usually either not differ- tiable (even if the data of the original model are smooth), or it does not satisfy the assumptions of the classical implicit function theorem. This phenomenon is the main reason why a considerable analytical inst- ment dealing with generalized equations (i.e., with finding zeros of multivalued mappings) and nonsmooth equations (i.e., the defining functions are not c- tinuously differentiable) has been developed during the last 20 years, and that under very different viewpoints and assumptions. In this theory, the classical hypotheses of convex analysis, in particular, monotonicity and convexity, have been weakened or dropped, and the scope of possible applications seems to be quite large. Briefly, this discipline is often called nonsmooth analysis, sometimes also variational analysis. Our book fits into this discipline, however, our main intention is to develop the analytical theory in close connection with the needs of applications in optimization and related subjects. Main Topics of the Book 1. Extended analysis of Lipschitz functions and their generalized derivatives, including "e;Newton maps"e; and regularity of multivalued mappings. 2. Principle of successive approximation under metric regularity and its - plication to implicit functions.

Researchers working with nonlinear programming often claim "e;the word is non- linear"e; indicating that real applications require nonlinear modeling. The same is true for other areas such as multi-objective programming (there are always several goals in a real application), stochastic programming (all data is uncer- tain and therefore stochastic models should be used), and so forth. In this spirit we claim: The word is multilevel. In many decision processes there is a hierarchy of decision makers, and decisions are made at different levels in this hierarchy. One way to handle such hierar- chies is to focus on one level and include other levels' behaviors as assumptions. Multilevel programming is the research area that focuses on the whole hierar- chy structure. In terms of modeling, the constraint domain associated with a multilevel programming problem is implicitly determined by a series of opti- mization problems which must be solved in a predetermined sequence. If only two levels are considered, we have one leader (associated with the upper level) and one follower (associated with the lower level).

There has been much recent progress in global optimization algo- rithms for nonconvex continuous and discrete problems from both a theoretical and a practical perspective. Convex analysis plays a fun- damental role in the analysis and development of global optimization algorithms. This is due essentially to the fact that virtually all noncon- vex optimization problems can be described using differences of convex functions and differences of convex sets. A conference on Convex Analysis and Global Optimization was held during June 5 -9, 2000 at Pythagorion, Samos, Greece. The conference was honoring the memory of C. Caratheodory (1873-1950) and was en- dorsed by the Mathematical Programming Society (MPS) and by the Society for Industrial and Applied Mathematics (SIAM) Activity Group in Optimization. The conference was sponsored by the European Union (through the EPEAEK program), the Department of Mathematics of the Aegean University and the Center for Applied Optimization of the University of Florida, by the General Secretariat of Research and Tech- nology of Greece, by the Ministry of Education of Greece, and several local Greek government agencies and companies. This volume contains a selective collection of refereed papers based on invited and contribut- ing talks presented at this conference. The two themes of convexity and global optimization pervade this book. The conference provided a forum for researchers working on different aspects of convexity and global opti- mization to present their recent discoveries, and to interact with people working on complementary aspects of mathematical programming.

A function is convex if its epigraph is convex. This geometrical structure has very strong implications in terms of continuity and differentiability. Separation theorems lead to optimality conditions and duality for convex problems. A function is quasiconvex if its lower level sets are convex. Here again, the geo- metrical structure of the level sets implies some continuity and differentiability properties for quasiconvex functions. Optimality conditions and duality can be derived for optimization problems involving such functions as well. Over a period of about fifty years, quasiconvex and other generalized convex functions have been considered in a variety of fields including economies, man- agement science, engineering, probability and applied sciences in accordance with the need of particular applications. During the last twenty-five years, an increase of research activities in this field has been witnessed. More recently generalized monotonicity of maps has been studied. It relates to generalized convexity off unctions as monotonicity relates to convexity. Generalized monotonicity plays a role in variational inequality problems, complementarity problems and more generally, in equilibrium prob- lems.

At the heart of the topology of global optimization lies Morse Theory: The study of the behaviour of lower level sets of functions as the level varies. Roughly speaking, the topology of lower level sets only may change when passing a level which corresponds to a stationary point (or Karush-Kuhn- Tucker point). We study elements of Morse Theory, both in the unconstrained and constrained case. Special attention is paid to the degree of differentiabil- ity of the functions under consideration. The reader will become motivated to discuss the possible shapes and forms of functions that may possibly arise within a given problem framework. In a separate chapter we show how certain ideas may be carried over to nonsmooth items, such as problems of Chebyshev approximation type. We made this choice in order to show that a good under- standing of regular smooth problems may lead to a straightforward treatment of "e;just"e; continuous problems by means of suitable perturbation techniques, taking a priori nonsmoothness into account. Moreover, we make a focal point analysis in order to emphasize the difference between inner product norms and, for example, the maximum norm. Then, specific tools from algebraic topol- ogy, in particular homology theory, are treated in some detail. However, this development is carried out only as far as it is needed to understand the relation between critical points of a function on a manifold with structured boundary. Then, we pay attention to three important subjects in nonlinear optimization.

In science, engineering and economics, decision problems are frequently modelled by optimizing the value of a (primary) objective function under stated feasibility constraints. In many cases of practical relevance, the optimization problem structure does not warrant the global optimality of local solutions; hence, it is natural to search for the globally best solution(s). Global Optimization in Action provides a comprehensive discussion of adaptive partition strategies to solve global optimization problems under very general structural requirements. A unified approach to numerous known algorithms makes possible straightforward generalizations and extensions, leading to efficient computer-based implementations. A considerable part of the book is devoted to applications, including some generic problems from numerical analysis, and several case studies in environmental systems analysis and management. The book is essentially self-contained and is based on the author's research, in cooperation (on applications) with a number of colleagues. Audience: Professors, students, researchers and other professionals in the fields of operations research, management science, industrial and applied mathematics, computer science, engineering, economics and the environmental sciences.

Due to the general complementary convex structure underlying most nonconvex optimization problems encountered in applications, convex analysis plays an essential role in the development of global optimization methods. This book develops a coherent and rigorous theory of deterministic global optimization from this point of view. Part I constitutes an introduction to convex analysis, with an emphasis on concepts, properties and results particularly needed for global optimization, including those pertaining to the complementary convex structure. Part II presents the foundation and application of global search principles such as partitioning and cutting, outer and inner approximation, and decomposition to general global optimization problems and to problems with a low-rank nonconvex structure as well as quadratic problems. Much new material is offered, aside from a rigorous mathematical development. Audience: The book is written as a text for graduate students in engineering, mathematics, operations research, computer science and other disciplines dealing with optimization theory. It is also addressed to all scientists in various fields who are interested in mathematical optimization.

Special tools are required for examining and solving optimization problems. The main tools in the study of local optimization are classical calculus and its modern generalizions which form nonsmooth analysis. The gradient and various kinds of generalized derivatives allow us to ac- complish a local approximation of a given function in a neighbourhood of a given point. This kind of approximation is very useful in the study of local extrema. However, local approximation alone cannot help to solve many problems of global optimization, so there is a clear need to develop special global tools for solving these problems. The simplest and most well-known area of global and simultaneously local optimization is convex programming. The fundamental tool in the study of convex optimization problems is the subgradient, which actu- ally plays both a local and global role. First, a subgradient of a convex function f at a point x carries out a local approximation of f in a neigh- bourhood of x. Second, the subgradient permits the construction of an affine function, which does not exceed f over the entire space and coincides with f at x. This affine function h is called a support func- tion. Since f(y) ~ h(y) for ally, the second role is global. In contrast to a local approximation, the function h will be called a global affine support.

In complementarity theory, which is a relatively new domain of applied mathematics, several kinds of mathematical models and problems related to the study of equilibrium are considered from the point of view of physics as well as economics. In this book the authors have combined complementarity theory, equilibrium of economical systems, and efficiency in Pareto's sense. The authors discuss the use of complementarity theory in the study of equilibrium of economic systems and present results they have obtained. In addition the authors present several new results in complementarity theory and several numerical methods for solving complementarity problems associated with the study of economic equilibrium. The most important notions of Pareto efficiency are also presented. Audience: Researchers and graduate students interested in complementarity theory, in economics, in optimization, and in applied mathematics.

The vast majority of important applications in science, engineering and applied science are characterized by the existence of multiple minima and maxima, as well as first, second and higher order saddle points. The area of Deterministic Global Optimization introduces theoretical, algorithmic and computational ad- vances that (i) address the computation and characterization of global minima and maxima, (ii) determine valid lower and upper bounds on the global minima and maxima, and (iii) address the enclosure of all solutions of nonlinear con- strained systems of equations. Global optimization applications are widespread in all disciplines and they range from atomistic or molecular level to process and product level representations. The primary goal of this book is three fold : first, to introduce the reader to the basics of deterministic global optimization; second, to present important theoretical and algorithmic advances for several classes of mathematical prob- lems that include biconvex and bilinear; problems, signomial problems, general twice differentiable nonlinear problems, mixed integer nonlinear problems, and the enclosure of all solutions of nonlinear constrained systems of equations; and third, to tie the theory and methods together with a variety of important applications.

The problem of "e;Shortest Connectivity"e;, which is discussed here, has a long and convoluted history. Many scientists from many fields as well as laymen have stepped on its stage. Usually, the problem is known as Steiner's Problem and it can be described more precisely in the following way: Given a finite set of points in a metric space, search for a network that connects these points with the shortest possible length. This shortest network must be a tree and is called a Steiner Minimal Tree (SMT). It may contain vertices different from the points which are to be connected. Such points are called Steiner points. Steiner's Problem seems disarmingly simple, but it is rich with possibilities and difficulties, even in the simplest case, the Euclidean plane. This is one of the reasons that an enormous volume of literature has been published, starting in 1 the seventeenth century and continuing until today. The difficulty is that we look for the shortest network overall. Minimum span- ning networks have been well-studied and solved eompletely in the case where only the given points must be connected. The novelty of Steiner's Problem is that new points, the Steiner points, may be introduced so that an intercon- necting network of all these points will be shorter. This also shows that it is impossible to solve the problem with combinatorial and geometric methods alone.

The present volume contains the proceedings of the workshop on "e;Minimax Theory and Applications"e; that was held during the week 30 September - 6 October 1996 at the "e;G. Stampacchia"e; International School of Mathematics of the "e;E. Majorana"e; Centre for Scientific Cul- ture in Erice (Italy) . The main theme of the workshop was minimax theory in its most classical meaning. That is to say, given a real-valued function f on a product space X x Y , one tries to find conditions that ensure the validity of the equality sup inf f(x,y) = inf sup f(x, y). yEY xEX xEX yEY This is not an appropriate place to enter into the technical details of the proofs of minimax theorems, or into the history of the contribu- tions to the solution of this basic problem in the last 7 decades. But we do want to stress its intrinsic interest and point out that, in spite of its extremely simple formulation, it conceals a great wealth of ideas. This is clearly shown by the large variety of methods and tools that have been used to study it. The applications of minimax theory are also extremely interesting. In fact, the need for the ability to "e;switch quantifiers"e; arises in a seemingly boundless range of different situations. So, the good quality of a minimax theorem can also be judged by its applicability. We hope that this volume will offer a rather complete account of the state of the art of the subject.

Optimization problems abound in most fields of science, engineering, and tech- nology. In many of these problems it is necessary to compute the global optimum (or a good approximation) of a multivariable function. The variables that define the function to be optimized can be continuous and/or discrete and, in addition, many times satisfy certain constraints. Global optimization problems belong to the complexity class of NP-hard prob- lems. Such problems are very difficult to solve. Traditional descent optimization algorithms based on local information are not adequate for solving these problems. In most cases of practical interest the number of local optima increases, on the aver- age, exponentially with the size of the problem (number of variables). Furthermore, most of the traditional approaches fail to escape from a local optimum in order to continue the search for the global solution. Global optimization has received a lot of attention in the past ten years, due to the success of new algorithms for solving large classes of problems from diverse areas such as engineering design and control, computational chemistry and biology, structural optimization, computer science, operations research, and economics. This book contains refereed invited papers presented at the conference on "e;State of the Art in Global Optimization: Computational Methods and Applications"e; held at Princeton University, April 28-30, 1995. The conference presented current re- search on global optimization and related applications in science and engineering. The papers included in this book cover a wide spectrum of approaches for solving global optimization problems and applications.

The volume, devoted to variational analysis and its applications, collects selected and refereed contributions, which provide an outline of the field. The meeting of the title "e;Equilibrium Problems and Variational Models"e;, which was held in Erice (Sicily) in the period June 23 - July 2 2000, was the occasion of the presentation of some of these papers; other results are a consequence of a fruitful and constructive atmosphere created during the meeting. New results, which enlarge the field of application of variational analysis, are presented in the book; they deal with the vectorial analysis, time dependent variational analysis, exact penalization, high order deriva- tives, geometric aspects, distance functions and log-quadratic proximal methodology. The new theoretical results allow one to improve in a remarkable way the study of significant problems arising from the applied sciences, as continuum model of transportation, unilateral problems, multicriteria spatial price models, network equilibrium problems and many others. As noted in the previous book "e;Equilibrium Problems: Nonsmooth Optimization and Variational Inequality Models"e;, edited by F. Giannessi, A. Maugeri and P.M. Pardalos, Kluwer Academic Publishers, Vol. 58 (2001), the progress obtained by variational analysis has permitted to han- dle problems whose equilibrium conditions are not obtained by the mini- mization of a functional. These problems obey a more realistic equilibrium condition expressed by a generalized orthogonality (complementarity) con- dition, which enriches our knowledge of the equilibrium behaviour. Also this volume presents important examples of this formulation.