It is well known that the nonlinear filter has important applications in military, engineering and commercial industries. In this paper, we propose efficient and accurate numerical algorithms for the realization of the Yau-Yau method for solving nonlinear filtering problems by using finite difference schemes. The Yau-Yau method reduces the nonlinear filtering problem to the initial-value problem of Kolmogorov equations. We first solve this problem by the implicit Euler method, which is stable in most cases, but costly. Then, we propose a quasi-implicit Euler method which is feasible for acceleration by fast Fourier transformations. Furthermore, we propose a superposition technique which enables us to deal with the nonlinear filtering problem in an off-time process and thus, save a large amount of computational cost. Next, we prove that the numerical solutions of Kolmogorov equations by our schemes are always nonnegative in each iteration. Consequently, our iterative process preserves the probability density functions. In addition, we prove convergence of our schemes under some mild conditions. Numerical results show that the proposed algorithms are efficient and promising.

This paper studies the problem of finding best rank-1 approximations for both symmetric and nonsymmetric tensors. For symmetric tensors, this is equivalent to optimizing homogeneous polynomials over unit spheres; for nonsymmetric tensors, this is equivalent to optimizing multiquadratic forms over multispheres. We propose semidefinite relaxations, based on sum of squares representations, to solve these polynomial optimization problems. Their special properties and structures are studied. In applications, the resulting semidefinite programs are often large scale. The recent Newton-CG augmented Lagrangian method by Zhao, Sun, and Toh [SIAM J. Optim., 20 (2010), pp. 1737–1765] is suitable for solving these semidefinite relaxations. Extensive numerical experiments are presented to show that this approach is efficient in getting best rank-1 approximations.

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This paper studies the inventory management problem of dual channels operated by one vendor. Demands of dual channels are inventory-level-dependent.We propose a multi-period stochastic dynamic programming model which shows that under mild conditions, the myopic inventory policy is optimal for the infinite horizon problem. To investigate the importance of capturing demand dependency on inventory levels, we consider a heuristic where the vendor ignores demand dependency on inventory levels, and compare the optimal inventory levels with those recommended by the heuristic. Through numerical examples, we show that the vendor may order less for dual channels than those recommended by the heuristic, and the difference between the inventory levels in the two cases can be so large that the demand dependency on inventory levels cannot be neglected. In the end, we numerically examine the impact of different ways to treat unmet demand and obtain some managerial insights.

In this paper, we study the Kurdyka–Łojasiewicz (KL) exponent, an important quantity for analyzing the convergence rate of first-order methods. Specifically, we develop various calculus rules to deduce the KL exponent of new (possibly nonconvex and nonsmooth) functions formed from functions with known KL exponents. In addition, we show that the well-studied Luo–Tseng error bound together with a mild assumption on the separation of stationary values implies that the KL exponent is 1/2 . The Luo–Tseng error bound is known to hold for a large class of concrete structured optimization problems, and thus we deduce the KL exponent of a large class of functions whose exponents were previously unknown. Building upon this and the calculus rules, we are then able to show that for many convex or nonconvex optimization models for applications such as sparse recovery, their objective function’s KL exponent is 1/2 . This includes the least squares problem with smoothly clipped absolute deviation regularization or minimax concave penalty regularization and the logistic regression problem with l_1 regularization. Since many existing local convergence rate analysis for first-order methods in the nonconvex scenario relies on the KL exponent,our results enable us to obtain explicit convergence rate for various first-order methods when they are applied to a large variety of practical optimization models. Finally, we further illustrate how our results can be applied to establishing local linear convergence of the proximal gradient algorithm and the inertial proximal algorithm with constant step sizes for some specific models that arise in sparse recovery.