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The objective of this paper is to study how algorithms of optimization affect the parametersestimation of Autoregressive AR(1)Models. In our research we have represented the AR(1) models in linear state space form and applied the Kalman Filters to estimate the different unknown parameters of the model. Many methods have been proposed by researchers for the estimation of the parameters in the case of the linear state space models. In our work we have emphasized on the estimation through the Maximum Likelihood (ML). Statisticians have used many algorithms to optimise the likelihood function and they have proposed many filters; publishing their results in many papers. In spite of the fact that this field is so extended, we have emphasized our study in the financial field. Two quasi-Newton algorithms: Berndt, Hall, Hall, and Hausman (BHHH) and Broyden-Fletcher-Goldfarb-Shanno (BFGS), and the Expectation-Maximization (EM) algorithm have been chosen for this study. A practical study of these algorithms applied to the maximization of likelihood by means of the Kalman Filter have been done. The results are focused on efficiency in time of computation and precision of the unknown parameters estimation. A simulation study has been carried out, using as true values the parameters of this model published in the literature, in order to test the efficiency and precision of our implemented algorithms. [ABSTRACT FROM AUTHOR]

In this paper an algorithm for minimization of a nondifferentiable function is presented. The algorithm uses the Moreau-Yoshida regularization of the objective function and its second order Dini upper directional derivative. It is proved that the algorithm is well defined, as well as the convergence of the sequence of points generated by the algorithm to an optimal point. An estimate of the rate of convergence is given, too. [ABSTRACT FROM AUTHOR]

Since the evaluation of each individual is based on the time-consuming structural analysis, the computational efficiency of truss topology optimization using genetic algorithm is very low. The paper focuses on this challenging problem. It is observed that there are a number of duplicate individuals appearing repetitively in the evolutionary process. Therefore, an individual identification technique is introduced to avoid evaluating the duplicate individuals by the time-consuming structural analysis but by searching the evolutionary history data to save computing time, the computational complexity of this technique is deduced. The results of two truss examples verify that the technique can effectively improve the efficiency of the algorithm. Based on this identification technique, numeric experiments are implemented to study the influence of several factors, i.e., the population size, the max generation, and the scale of problems, on the proportion of duplicate individuals. Results show that the population size has a significant impact on the proportion, and that both the max generation and the scale of problems have little influence. [ABSTRACT FROM AUTHOR]

Applications of the Particle Swarm Optimization (PSO) to solve image processing problem with a reference to a new automatic enhancement technique based on real-coded particle swarms is proposed in this paper. The enhancement process is a non-linear optimization problem with several constraints. The objective of the proposed PSO is to maximize an objective fitness criterion in order to enhance the contrast and detail in an image by adapting the parameters of a novel extension to a local enhancement technique. The feasibility of the proposed method is demonstrated and compared with Genetic Algorithms (GAs) based image enhancement technique. The obtained results indicate that the proposed PSO yields better results in terms of both the maximization of the number of pixels in the edges and the adopted objective evaluation. Computational time is also relatively small in the PSO case compared to the GA case. [ABSTRACT FROM AUTHOR]

In this paper, hybrid particle swarm optimization (PSO) is proposed for solving the challenging multi-contingency transient stability constrained optimal power flow (MC-TSCOPF) problem. The objective of this nonlinear optimization problem is to minimize the total fuel cost of the system and at the same time fulfil the transient stability requirements. The optimal power flow (OPF) with transient stability constraints considered is re-formulated as an extended OPF with additional rotor angle inequality constraints, which is suitable for hybrid PSO to solve. Comparison between various existing hybrid PSO techniques is carried out by solving the New England 39-bus system. Experimental results indicate that the hybrid PSO integrated with the mutation operation of genetic algorithms is better than the other existing hybrid PSO methods in both solution quality and stability. [ABSTRACT FROM AUTHOR]