Foreword |
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ix | |
Preface |
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xi | |
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xiii | |
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Chapter 1 Linear Programming |
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1 | (22) |
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1.1 Objective of linear programming |
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1 | (1) |
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1 | (3) |
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4 | (1) |
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5 | (6) |
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5 | (1) |
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1.4.2 Simplicial form formulation |
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5 | (2) |
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1.4.3 Transition from one simplicial form to another |
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7 | (2) |
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1.4.4 Summary of the simplex algorithm |
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9 | (2) |
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1.5 Implementation example |
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11 | (2) |
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1.6 Linear programming applied to the optimization of resource allocation |
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13 | (10) |
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1.6.1 Areas of application |
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13 | (1) |
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1.6.2 Resource allocation for advertising |
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13 | (3) |
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1.6.3 Optimization of a cut of paper rolls |
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16 | (1) |
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1.6.4 Structure of linear program of an optimal control problem |
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17 | (6) |
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Chapter 2 Nonlinear Programming |
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23 | (78) |
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23 | (1) |
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2.2 Karush--Kuhn--Tucker conditions |
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24 | (2) |
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2.3 General search algorithm |
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26 | (7) |
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26 | (3) |
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2.3.2 Computing the search direction |
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29 | (4) |
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2.3.3 Computation of advancement step |
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33 | (1) |
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33 | (6) |
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2.4.1 Coggin's method (of polynomial interpolation) |
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34 | (2) |
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2.4.2 Golden section method |
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36 | (3) |
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2.5 Multivariable methods |
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39 | (62) |
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2.5.1 Direct search methods |
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39 | (18) |
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57 | (44) |
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Chapter 3 Dynamic Programming |
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101 | (14) |
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3.1 Principle of dynamic programming |
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101 | (1) |
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3.1.1 Stating the problem |
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101 | (1) |
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101 | (1) |
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3.2 Recurrence equation of optimality |
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102 | (2) |
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104 | (3) |
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3.3.1 Infinite horizon stationary problems |
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104 | (1) |
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3.3.2 Variable horizon problem |
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104 | (1) |
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3.3.3 Random horizon problem |
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104 | (1) |
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3.3.4 Taking into account sum-like constraints |
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105 | (1) |
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3.3.5 Random evolution law |
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106 | (1) |
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3.3.6 Initialization when the final state is imposed |
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106 | (1) |
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3.3.7 The case when the necessary information is not always available |
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107 | (1) |
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107 | (8) |
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107 | (2) |
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3.4.2 The smuggler problem |
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109 | (6) |
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Chapter 4 Hopfield Networks |
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115 | (16) |
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115 | (2) |
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4.2 Continuous dynamic Hopfield networks |
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117 | (6) |
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117 | (4) |
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4.2.2 Application to the traveling salesman problem |
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121 | (2) |
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4.3 Optimization by Hopfield networks, based on simulated annealing |
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123 | (8) |
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4.3.1 Deterministic method |
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123 | (2) |
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125 | (6) |
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Chapter 5 Optimization in System Identification |
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131 | (60) |
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5.1 The optimal identification principle |
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131 | (1) |
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5.2 Formulation of optimal identification problems |
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132 | (6) |
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132 | (1) |
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5.2.2 Formulation based on optimization theory |
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133 | (3) |
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5.2.3 Formulation based on estimation theory (statistics) |
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136 | (2) |
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5.3 Usual identification models |
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138 | (8) |
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138 | (2) |
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5.3.2 Rational input/output (RIO) models |
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140 | (2) |
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5.3.3 Class of autoregressive models (ARMAX) |
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142 | (3) |
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5.3.4 Class of state space representation models |
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145 | (1) |
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5.4 Basic least squares method |
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146 | (12) |
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146 | (5) |
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5.4.2 Geometric interpretation of the LSM solution |
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151 | (3) |
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5.4.3 Consistency of the LSM type solution |
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154 | (3) |
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5.4.4 Example of application of the LSM for an ARX model |
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157 | (1) |
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5.5 Modified least squares methods |
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158 | (10) |
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5.5.1 Recovering lost consistency |
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158 | (4) |
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162 | (2) |
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5.5.3 Instrumental variables method |
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164 | (4) |
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5.6 Minimum prediction error method |
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168 | (7) |
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5.6.1 Basic principle and algorithm |
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168 | (3) |
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5.6.2 Implementation of the MPEM for ARMAX models |
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171 | (3) |
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5.6.3 Convergence and consistency of MPEM type estimations |
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174 | (1) |
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5.7 Adaptive optimal identification methods |
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175 | (16) |
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5.7.1 Accuracy/adaptability paradigm |
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175 | (2) |
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5.7.2 Basic adaptive version of the LSM |
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177 | (5) |
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5.7.3 Basic adaptive version of the IVM |
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182 | (1) |
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5.7.4 Adaptive window versions of the LSM and IVM |
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183 | (8) |
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Chapter 6 Optimization of Dynamic Systems |
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191 | (60) |
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191 | (5) |
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6.1.1 Variation of a functional |
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191 | (1) |
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6.1.2 Constraint-free minimization |
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192 | (2) |
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6.1.3 Hamilton canonical equations |
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194 | (1) |
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6.1.4 Second-order conditions |
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195 | (1) |
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6.1.5 Minimization with constraints |
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195 | (1) |
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6.2 Application to the optimal command of a continuous process, maximum principle |
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196 | (10) |
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196 | (2) |
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6.2.2 Examples of implementation |
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198 | (8) |
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6.3 Maximum principle, discrete case |
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206 | (1) |
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6.4 Principle of optimal command based on quadratic criteria |
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207 | (3) |
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6.5 Design of the LQ command |
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210 | (14) |
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6.5.1 Finite horizon LQ command |
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210 | (7) |
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6.5.2 The infinite horizon QL command |
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217 | (4) |
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6.5.3 Robustness of the LQ command |
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221 | (3) |
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224 | (15) |
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6.6.1 Kalman--Bucy predictor |
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225 | (6) |
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6.6.2 Kalman--Bucy filter |
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231 | (3) |
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6.6.3 Stability of Kalman--Bucy estimators |
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234 | (1) |
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6.6.4 Robustness of Kalman--Bucy estimators |
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235 | (4) |
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6.7 Design of the LQG command |
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239 | (6) |
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6.8 Optimization problems connected to quadratic linear criteria |
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245 | (6) |
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6.8.1 Optimal control by state feedback |
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245 | (3) |
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6.8.2 Quadratic stabilization |
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248 | (1) |
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6.8.3 Optimal command based on output feedback |
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249 | (2) |
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Chapter 7 Optimization of Large-Scale Systems |
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251 | (38) |
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7.1 Characteristics of complex optimization problems |
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251 | (1) |
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7.2 Decomposition techniques |
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252 | (31) |
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7.2.1 Problems with block-diagonal structure |
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253 | (14) |
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7.2.2 Problems with separable criteria and constraints |
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267 | (16) |
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7.3 Penalization techniques |
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283 | (6) |
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7.3.1 External penalization technique |
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284 | (1) |
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7.3.2 Internal penalization technique |
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285 | (1) |
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7.3.3 Extended penalization technique |
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286 | (3) |
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Chapter 8 Optimization and Information Systems |
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289 | (10) |
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289 | (1) |
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8.2 Factors influencing the construction of IT systems |
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290 | (2) |
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292 | (4) |
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8.4 Selection of computing tools |
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296 | (1) |
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8.5 Difficulties in implementation and use |
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297 | (1) |
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297 | (1) |
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298 | (1) |
Bibliography |
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299 | (8) |
Index |
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307 | |