Stochastic and Global Optimization

In the paper we propose a model of tax incentives optimization for inve- ment projects with a help of the mechanism of accelerated depreciation. Unlike the tax holidays which influence on effective income tax rate, accelerated - preciation affects on taxa

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Nonconvex Optimization and Its Applications Volume 59 Managing Editor: Panos Pardalos

Advisory Board: J.R. Birge Northwestern University, U.S.A. Ding-Zhu Du University of Minnesota, U.S.A. C. A. Floudas Princeton University, U.S.A. J. Mockus Lithuanian Academy of Sciences, Lithuania H. D. Sherali Virginia Polytechnic Institute and State University, U.S.A. G. Stavroulakis Technical University Braunschweig, Germany

The titles published in this series are listed at the end of this volume.

Stochastic and Global Optimization Edited by

Gintautas Dzemyda Šaltenis Antanas Žilinskas Institute of Mathematics and Informatics, Vilnius, Lithuania

KLUWER ACADEMIC PUBLISHERS NEW YORK, BOSTON, DORDRECHT, LONDON, MOSCOW

eBook ISBN: Print ISBN:

0-306-47648-7 1-4020-0484-2

©2002 Kluwer Academic Publishers New York, Boston, Dordrecht, London, Moscow Print ©2002 Kluwer Academic Publishers Dordrecht All rights reserved No part of this eBook may be reproduced or transmitted in any form or by any means, electronic, mechanical, recording, or otherwise, without written consent from the Publisher Created in the United States of America Visit Kluwer Online at: and Kluwer's eBookstore at:

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TABLE OF CONTENTS The Jubilee of Prof. Dr. Habil. Jonas Mockus

vii

1. Topographical Differential Evolution Using Pre-calculated Differentials M. M. Ali and A. Törn

1

2. Optimal Tax Depreciation in Stochastic Investment Model V. I. Arkin and A. D. Slastnikov

19

3. Global Optimisation of Chemical Process Flowsheets I. D. L. Bogle and R. P. Byrne

33

4. One-dimensional Global Optimization Based on Statistical Models J. M. Calvin and A. Žilinskas

49

5. Animated Visual Analysis of Extremal Problems G. Dzemyda

65

6. Test Problems for Lipschitz Univariate Global Optimization with Multiextremal Constraints D. Famularo, P. Pugliese and Y. D. Sergeyev

93

7. Numerical Techniques in Applied Multistage Stochastic Programming K. Frauendorfer and G. Haarbrücker

111

8. On the Efficiency and Effectiveness of Controlled Random Search E. M. T. Hendrix, P. M. Ortigosa and I. García

129

9. Discrete Backtracking Adaptive Search for Global Optimization B. P. Kristinsdottir, Z. B. Zabinsky and G. R. Wood

147

10. Parallel Branch-and-bound Attraction Based Methods for Global Optimization K. Madsen and J. Žilinskas

175

11. On Solution of Stochastic Linear Programs by Discretization Methods K. Marti

189

12. The Structure of Multivariate Models and the Range of Definition V. Šaltenis and V. Tiešis

209

13. Optimality Criteria for Investment Projects Under Uncertainty 221 S. A. Smolyak v

THE JUBILEE OF PROF. DR. HABIL. JONAS MOCKUS On June 18, 2001, the scientific society commemorates the 70th anniversary of Prof. Dr. Habil. J. Mockus, a world renowned scientist, a real member of the Lithuanian academy of Sciences. The book represents some of the results in the field of stochastic optimization, one of initiators of which was Prof. J. Mockus. The range of J. Mockus’ scientific research embraces g