Bounds on linear PDEs via semidefinite optimization

• 成果类型: Article
• 署名作者: Bertsimas, Dimitris; Caramanis, Constantine
• 署名单位: Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT)
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-006-0702-z
• 发表日期: 2006
• 页码: 135-158
• 关键词: partial-differential-equations; brownian-motion; policies; outputs; region

摘要

Using recent progress on moment problems, and their connections with semidefinite optimization, we present in this paper a new methodology based on semidefinite optimization, to obtain a hierarchy of upper and lower bounds on linear functionals defined on solutions of linear partial differential equations. We apply the proposed method to examples of PDEs in one and two dimensions, with very encouraging results. We pay particular attention to a PDE with oblique derivative conditions, commonly arising in queueing theory. We also provide computational evidence that the semidefinite constraints are critically important in improving the quality of the bounds, that is, without them the bounds are weak.