Derivative-Free Replication of a Bond Benchmark with a Fraction of the Portfolio

Author(s):  
Iliya Markov ◽  
Rodrigue Oeuvray ◽  
Nils Tuchschmid
Keyword(s):  
2020 ◽  
Vol 178 ◽  
pp. 65-74
Author(s):  
Ksenia Balabaeva ◽  
Liya Akmadieva ◽  
Sergey Kovalchuk

Mathematics ◽  
2021 ◽  
Vol 9 (11) ◽  
pp. 1242
Author(s):  
Ramandeep Behl ◽  
Sonia Bhalla ◽  
Eulalia Martínez ◽  
Majed Aali Alsulami

There is no doubt that the fourth-order King’s family is one of the important ones among its counterparts. However, it has two major problems: the first one is the calculation of the first-order derivative; secondly, it has a linear order of convergence in the case of multiple roots. In order to improve these complications, we suggested a new King’s family of iterative methods. The main features of our scheme are the optimal convergence order, being free from derivatives, and working for multiple roots (m≥2). In addition, we proposed a main theorem that illustrated the fourth order of convergence. It also satisfied the optimal Kung–Traub conjecture of iterative methods without memory. We compared our scheme with the latest iterative methods of the same order of convergence on several real-life problems. In accordance with the computational results, we concluded that our method showed superior behavior compared to the existing methods.


Computation ◽  
2021 ◽  
Vol 9 (6) ◽  
pp. 61
Author(s):  
Oscar Danilo Montoya ◽  
Juan S. Giraldo ◽  
Luis Fernando Grisales-Noreña ◽  
Harold R. Chamorro ◽  
Lazaro Alvarado-Barrios

The power flow problem in three-phase unbalanced distribution networks is addressed in this research using a derivative-free numerical method based on the upper-triangular matrix. The upper-triangular matrix is obtained from the topological connection among nodes of the network (i.e., through a graph-based method). The main advantage of the proposed three-phase power flow method is the possibility of working with single-, two-, and three-phase loads, including Δ- and Y-connections. The Banach fixed-point theorem for loads with Y-connection helps ensure the convergence of the upper-triangular power flow method based an impedance-like equivalent matrix. Numerical results in three-phase systems with 8, 25, and 37 nodes demonstrate the effectiveness and computational efficiency of the proposed three-phase power flow formulation compared to the classical three-phase backward/forward method and the implementation of the power flow problem in the DigSILENT software. Comparisons with the backward/forward method demonstrate that the proposed approach is 47.01%, 47.98%, and 36.96% faster in terms of processing times by employing the same number of iterations as when evaluated in the 8-, 25-, and 37-bus systems, respectively. An application of the Chu-Beasley genetic algorithm using a leader–follower optimization approach is applied to the phase-balancing problem utilizing the proposed power flow in the follower stage. Numerical results present optimal solutions with processing times lower than 5 s, which confirms its applicability in large-scale optimization problems employing embedding master–slave optimization structures.


Author(s):  
Zongsheng Zheng ◽  
Yijun Xu ◽  
Lamine Mili ◽  
Zhigang Liu ◽  
Mert Korkali ◽  
...  

2021 ◽  
Vol 87 (2) ◽  
Author(s):  
Arthur Carlton-Jones ◽  
Elizabeth J. Paul ◽  
William Dorland

Coil complexity is a critical consideration in stellarator design. The traditional two-step optimization approach, in which the plasma boundary is optimized for physics properties and the coils are subsequently optimized to be consistent with this boundary, can result in plasma shapes which cannot be produced with sufficiently simple coils. To address this challenge, we propose a method to incorporate considerations of coil complexity in the optimization of the plasma boundary. Coil complexity metrics are computed from the current potential solution obtained with the REGCOIL code (Landreman, Nucl. Fusion, vol. 57, 2017, 046003). While such metrics have previously been included in derivative-free fixed-boundary optimization (Drevlak et al., Nucl. Fusion, vol. 59, 2018, 016010), we compute the local sensitivity of these metrics with respect to perturbations of the plasma boundary using the shape gradient (Landreman & Paul, Nucl. Fusion, vol. 58, 2018, 076023). We extend REGCOIL to compute derivatives of these metrics with respect to parameters describing the plasma boundary. In keeping with previous research on winding surface optimization (Paul et al., Nucl. Fusion, vol. 58, 2018, 076015), the shape derivatives are computed with a discrete adjoint method. In contrast with the previous work, derivatives are computed with respect to the plasma surface parameters rather than the winding surface parameters. To further reduce the resolution required to compute the shape gradient, we present a more efficient representation of the plasma surface which uses a single Fourier series to describe the radial distance from a coordinate axis and a spectrally condensed poloidal angle. This representation is advantageous over the standard cylindrical representation used in the VMEC code (Hirshman & Whitson, Phys. Fluids, vol. 26, 1983, pp. 3553–3568), as it provides a uniquely defined poloidal angle, eliminating a null space in the optimization of the plasma surface. In comparison with previous spectral condensation methods (Hirshman & Breslau, Phys. Plasmas, vol. 5, 1998, p. 2664), the modified poloidal angle is obtained algebraically rather than through the solution of a nonlinear optimization problem. The resulting shape gradient highlights features of the plasma boundary that are consistent with simple coils and can be used to couple coil and fixed-boundary optimization.


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