Vladimir NORKIN’s research

 

Current research interests:

  • Optimization of risk processes
  • Global stochastic optimization
  • Nonparametric stochastic optimization
  • Actuarial & Financial mathematics

 

Research directions:

 

Summary of main results

 

Research history

1974 – 1988. On graduation from Kolmogorov’s Mathematical School (1968) and Moscow Institute of Physics and Technology (1974)  I started to  work at the Institute of Cybernetics of the Ukrainian Academy of Sciences, Kiev, Ukraine, and thus fell under influence of Kiev optimization school (Mikhalevich V.S., Ermoliev Y.M., Pschenichny B.N., Shor N.Z. et al.). My very first paper  (1975, joint with Pilyugin N.N.) on hypersonic gas dynamics represents my master thesis and was submitted in 1974 when I was a student of Moscow Institute of Physics and Technology. My first paper (1977, joint with Gupal A.M.) at Institute of Cybernetics was devoted to a rather exotic at that time problem of optimization of discontinuous functions. In the second paper (1978) I generalized a classical differentiability concept for the analysis of nonsmooth nonconvex functions. My main result for this period was extension of subgradient methods by Snor N.Z. and stochastic qusigradient methods by Ermoliev Y.M. from convex to nonconvex deterministic and stochastic optimization problems. Another noticeable result concerns to the generalization of Pijavski’s global optimization method (published at Proceedings of the Institute of Cybernetics, 1967)  to general constrained global optimization problems. These results were summarized in the book: Mikhalevich V.S., Gupal A.M. and Norkin V.I., Methods of Nonconvex Optimization, Nauka, Moscow, 1987.

1989 -2002. Since 1989 I have started to collaborate with International Institute for Applied Systems Analysis (IIASA), Laxenburg, Austria. In joint works (which can be found on IIASA web-cite) my contribution was basically a mathematical analysis of models and solution techniques employed in the institute. Thus analyzing a so-called statistical approach to stochastic programming (R.Wets, A.King, 1989) I came to a concept of normalized convergence of random variables (1989 – 1992). Analyzing a problem of emission reduction I came to the necessity to consider integer stochastic programming problems and in 1993 introduced a concept of interchange relaxation for such problems, then jointly with IIASA staff members Y.Ermoliev, G.Pflug and A. Ruszczynski developed a so-called stochastic branch and bound method (1994 – 1998). Analyzing models of abrupt changes in discrete event systems jointly with Y.Ermoliev and R. Wets I developed a concept of mollifier subdifferential for discontinuous functions (1995) as a result of application of ideas of theory of distributions/generalized functions (L.Schwartz, L.Sobolev) to nonsmooth analysis area. Analyzing a semi-empirical joint maximization method (T. Rutherford, 1995) for searching economic equilibrium I discovered its relation to a certain method of solution of variational inequalities and to ergodicity of certain Markov chains and thus obtained convergence results (joint work with Y.Ermoliev and G.Fischer, 1997).  Analyzing a catastrophic risk management model (Ermoliev Y.M. et al., 1998)  I proved the asymptotic equivalence of (difficult) chance constrained and  (simple) recourse stochastic programming problems (1998 – 2001).

Current research. IIASA’s land use models inspired consideration of spatial general equilibrium models with continuum of agents and application of stochastic optimization technique to these models and to nonparametric spatial statistics problems (joint works with Y.Ermoliev and M.Keyzer).  IIASA’s research on insurance and financial mechanisms of mitigation to catastrophic risks attracted my attention to problems of actuarial and financial mathematics. Now jointly with  PhD students I develop effective numerical methods for solution of integral equations arising in risk theory and methods for optimization of insurance and optional contracts.   

 

Nonconvex Stochastic Programming

In Norkin (1983, 1986a,b), Mikhalevich, Gupal and Norkin (1987), Ermoliev and Norkin (1997, 1998) theory (and methods) of local nonconvex nonsmooth stochastic optimization is developed (see a review paper by Ermoliev and Norkin (2003)). The considered optimization problems consist in minimization of a nonconvex mathematical expectation function under constraints. The consideration is based on a concept of the so-called generalized differentiable function, Norkin (1986b). The class of generalized differentiable functions includes convex and concave functions and is closed with respect to maximum, minimum, superposition and mathematical expectation operations. Such functions appear, for example, in areas of optimization of servicing systems, communication networks and other discrete event systems, Ermoliev and Norkin (1997). There is a calculus of (stochastic) subgradients as measurable selections of multivalued subdifferential mappings for compound generalized differentiable functions. In Mikhalevich, Gupal and Norkin (1987) a number of methods of (stochastic) subgradient type (with projection on the constraint set, stochastic linearization, stochastic reduced subgradient, averaged stochastic subgradient and others) for solving nonconvex nonsmooth stochastic programming problems were developed and investigated. These methods do not require exact calculation of the expectation objective function, but use realizations of random function’s values and (sub)gradients obtained through Monte Carlo simulations.

            In Norkin (1993a) the properties of (nonsmooth nonconvex) probability functions and stochastic subgradient methods for their optimization are studied. A probability function represents the probability that some real random variable depending on control parameters exceeds the prescribed threshold. Conditions of (some kind) quasi-concavity are established. Convergence of stochastic subgradient method with additional averaging of stochastic trajectories is established.

 

Selected references

Ermoliev Y.M., Norkin V.I. (2003). Methods for solution of nonconvex nonsmooth stochastic optimization problems, Kibernetika i sistemnyi analiz (in Russian, English translation in Cybernetics and Systems Analysis), 2003, N 5, 60-81.

Norkin V.I. (1983).Generalized gradient method in nonconvex nonsmooth optimization, Abstract of Candidate (Ph.D.) Thesis, Glushkov Institute of Cybernetics, Kiev, 1983, 16p. (In Russian).

Norkin V.I. (1986a). On random Lipschitz functions, Kibernetika, 1986, No.2, 66-71,76 (In Russian, English translation in Cybernetics, V. 22, No.2)

Norkin V.I. (1986b). Random generalized differentiable functions in nonconvex nonsmooth stochastic programming problems, Kibernetika, 1986, No.6, 98-102 (In Russian, English translation in Cybernetics, V. 22, No.6, 804-809).

Mikhalevich V.S., Gupal A.M. and Norkin V.I. (1987). Methods of Nonconvex Optimization (Abstract), Nauka, Moscow, 1987, 280 p. (In Russian).

Ermoliev Y.M., Norkin V.I. (1998). Stochastic generalized gradient method for solving nonconvex nonsmooth stochastic optimization problems, Kibernetika i sistemny analiz, 1998, N 2, 50-71 (see also IIASA Interim Report IR-97-021 , Abstract; English translation in Cybernetics and systems analysis, V. 34, N 2).

Ermoliev Y.M., Norkin V.I. (1997). Om nonsmooth and discontinuous problems of stochastic systems optimization, European J. of Operational Research, 1997, Vol. 101, 230-244.

Norkin V.I. (1993a). The Analysis and Optimization of Probability Functions, Working paper WP-93-6, Int. Inst. for Appl. Syst. Anal., Laxenburg, Austria, 1993.

 

Stochastic integer and global optimization

In Norkin, Pflug and Ruszczynski (1998), Norkin, Ermoliev and Ruszczynski (1998) a Stochastic Branch and Bound method for solving stochastic integer and stochastic global optimization problems is developed. The method is based on specific (stochastic lower and upper) bounds of optimal values of stochastic programming problems. For different classes of problems such bounds can be obtained by means of interchanging minimization and expectation (or probability) operators (the so-called interchange relaxation, Norkin (1993b)). For many linear stochastic programming problems such bounds can be calculated explicitly and for the others one has to solve some deterministic estimation optimization problems with randomly taken data. Convergence conditions a.s. and with probability 1-e are established. In Norkin (1998) the Stochastic Branch and Bound method is extended for a global optimization of probability functions.

In Norkin (1992) a minorant approach to global optimization is developed. As a source of global information on a problem function general tangent minorants to the function graph are used. In particular minorant tangent cones and paraboloids can be employed. A calculus of tangent minorants is developed. Pijavski’s global optimization method is generalized to general constrained global optimization problems.

In Norkin (1993), Norkin and Onischenko (2003, 2004) a concept of stochastic tangent minorants is introduced and on this basis the minorant method is extended to multiextremal stochastic optimization problems with expectation/probability type functions. As a stochastic tangent minorant of an expectation function one can use a tangent minorant of the corresponding random function. In this case exact calculation of minorants for the expectation function may be problematic but the calculation of stochastic minorants is possible in many cases.

 

Selected references

Norkin V.I., Pflug G.Ch. and Ruszczynski A. (1998). A branch and bound method for stochastic global optimization, Math. Progr., 1998, V. 83, 425-450 (see also IIASA Working Paper WP-96-065, Abstract ).

Norkin V.I., Ermoliev Y.M. and Ruszczynski A. (1998). On optimal allocation of indivisibles under uncertainty, Operations Research, 1998, Vol. 46, N 3, 381-395 (see also IIASA Working paper WP-94-21, Abstract ).

Norkin V.I. (1992b).On Pijavski’s method for solving general global optimization problem, Zhurnal Vychislitel'noj Matematiki i Matematicheskoj Fiziki, 1992, N 7, 992-1006 (in Russian, English translation in Comp. Maths and Math. Phys., 1992, N 7, 873-886).

Norkin V.I. (1998). Global Optimization of Probabilities by the Stochastic Branch and Bound Method, Proceedings of 3rd GAMM/IFIP Workshop (Neubiberg/Munchen, 1996), Stochastic optimization: Numerical methods and technical applications, Lecture Notes in Economics and Mathematical Systems 458, Berlin, Springer, 1998, 186-201.

Norkin V.I. (1993b). Global Stochastic Optimization: Branch and Probabilistic Bound Method, In Methods of Control and Decision-Making under Risk and Uncertainty, Ed. Yu.M.Ermoliev, Glushkov Institute of Cybernetics, Kiev, 1993, 3-12 (In Russian).

Norkin V.I., Onischenko B.O. (2003). On stochastic analogue of Piyavski’s global optimization method, Teoria optimalnyh risheniy (Theory of optimal decisions), Ed. N.Z.Shor, Glushkov Institute of Cybernetics, Kiev, 2003, N 2, 64-70 (In Russian).

Norkin V.I., Onischenko B.O. (2004). On the global minimization of minimum functions by the minorant method, Teoria optimalnyh risheniy (Theory of optimal decisions), Ed. N.Z.Shor, Glushkov Institute of Cybernetics, Kiev, 2004, No. 3, pp. 56-63.

Norkin V.I., Onischenko B.O. (2004). A branch and bound method with minorant estimates used to solve stochastic global optimization problems, Komputernaya matematika (Computer mathematics), Institute of Cybernetics, Kiev, 2004, N 1, pp. 91-101.

 

Nonsmooth/Nondifferentiable optimization

In Norkin (1978, 1980a) the so-called generalized differentiable functions were introduced and in Norkin (1978, 1980b), Mikhalevich, Gupal and Norkin (1987), Ermoliev and Norkin (1998) theory and methods of their local optimization was developed. Generalized differentiable functions enjoy many nice properties that make them a convenient model of nonconvexity and nonsmoothness in optimization problems. While a differentiable function f(y) admits a linear expansion at a given point x, i.e. f(y)=f(x)+<g(x),y-x>+o(x,|y-x|), a generalized differentiable function f(y) admits a qusilinear expansion, f(y)=f(x)+<g(y),y-x>+o(x,y,g) with (sub)gradients g taken not at x but at an evaluation point y. The class of generalized differentiable functions includes continuously differentiable, convex, concave, semismooth functions and is closed with respect to maximum, minimum, superposition and mathematical expectation operations. Generalized differentiable functions are locally Lipschitzian and may have no directional derivatives. Such kind of functions spring into being, for example, in areas of optimization of servicing systems, communication networks and other discrete event systems. They are used for construction of Newton’s type methods to solve generalized equations. There is a calculus of subgradients for compound generalized differentiable functions. In Mikhalevich, Gupal and Norkin (1987), Ermoliev and Norkin (1998) many methods of subgradient type (with projection on the constraint set, stochastic linearization, stochastic reduced subgradient, averaged subgradient and others) for solving nonconvex nonsmooth constrained optimization problems were developed and investigated.

In Gupal and Norkin (1977), Ermoliev , Norkin and Wets (1995), Ermoliev and Norkin (1998, 2004) we develop a stochastic smoothing approach to optimization of generally discontinuous functions by means of their approximation by smooth mollified (averaged) functions. The idea of the approach consists in approximation of the original problem by a family of nonconvex stochastic optimization problems and application to approximate problems all the technique developed in stochastic programming (methods of calculation of stochastic gradients without the exact calculation of multidimensional integrals, the technique of the nonconvex stochastic second Lyapunov method for the proof of convergence a.s. of stochastic approximation algorithms, acceleration technique for stochastic optimization methods, nonstationary stochastic optimization technique). Besides, in Ermoliev , Norkin and Wets (1995), Ermoliev and Norkin (1998, 2004) mollified (averaged) functions are employed to construct (mollifier) subdifferentials of discontinuous functions. The last concept has appeared as a result of application of ideas of distribution theory by L.Schwartz (or generalized function by S.Sobolev) to the range of nonsmooth optimization where quite different approaches have been used before. Optimality conditions in terms of mollifier subdifferentials of discontinuous functions are established. Convergence of the approximation scheme is proved, i.e. the convergence of minimums of approximation problems to minimums of the original problem. Convergence a.s. of stochastic finite-difference procedures for optimization of discontinuous functions is proved.

 

Selected references

Mikhalevich V.S., Gupal A.M. and Norkin V.I. Methods of Nonconvex Optimization (Abstract), Nauka, Moscow, 1987, 280 p. (In Russian).

Ermoliev Y.M., Norkin V.I. (2003). Methods for solution of nonconvex nonsmooth stochastic optimization problems, Kibernetika i sistemnyi analiz, 2003, N 5, 60-81 (in Russian, English translation in Cybernetics and Systems Analysis, 2003, Vol. 39, Issue 5, pp. 701-715).

Ermoliev Y.M., Norkin V.I. (1998). Stochastic generalized gradient method for solving nonconvex nonsmooth stochastic optimization problems, Kibernetika i sistemny analiz, 1998, N 2, 50-71 (see also IIASA Interim Report IR-97-021 , Abstract; English translation in Cybernetics and systems analysis, V. 34, N 2).

Norkin V.I. (1978). Nonlocal algorithms for minimization of nondifferentiable functions, Kibernetika, 1978, No.5, 44-48 (In Russian, English translation in Cybernetics, V. 14, No.5).

Norkin V.I. (1980a).Generalized differentiable functions, Kibernetika, 1980, No.1, 9-11 (In Russian, English translation in Cybernetics, V. 16, No.1)

Norkin V.I. (1980b). Nondifferentiable function minimization method with averaging of generalized gradients, Kibernetika, 1980, No.6, 88-89 (In Russian, English translation in Cybernetics, 1980, V. 16, No.6)

Gupal A.M. and Norkin V.I. (1977). Minimization algorithms for discontinues functions, Kibernetika, 1977, No.2, 101-107 (In Russian, English translation in Cybernetics, V. 13, No.2).

Ermoliev Yu.M., Norkin V.I. and Wets R.J-B. (1995). The minimization of semicontinuous functions: Mollifier subgradients, SIAM Journal on Control and Optimization, 1995, N 1, 149-167.

Ermoliev Y.M. and Norkin V.I. (1998). On Constrained Discontinuous Optimization, Proceedings of 3rd GAMM/IFIP Workshop (Neubiberg/Munchen, 1996), Stochastic optimization: Numerical methods and technical applications, Lecture Notes in Economics and Mathematical Systems 458, Berlin, Springer, 1998, 128-142.

Ermoliev Y.M., Norkin V.I. (2004). Stochastic Optimization of Risk Functions via Parametric Smoothing, in Dynamic Stochastic Optimization. Eds. K.Marti, Y.Ermoliev and G.Pflug, Lecture Notes in Economics and Mathematical Systems 532, Springer, 2004, pp. 225-247; see also IIIASA Interim Report IR-03-033).

 

Probabilistic & Statistical Aspects of Stochastic Programming

In Norkin (1989, 1992c), Ermoliev and Norkin (1990, 1991) a new concept of normalized convergence of random variables is introduced and investigated. This concept is close to convergence in probability (with some rate) but has some advantages, for instance, it allows to construct confidence intervals for the converging random variables. The following properties of the normalized convergence are established. From a normalized convergence a convergence in probability (with some less rate) follows. Conversely, formally a convergence in probability is a normalized convergence with a degenerated distribution function. From a convergence in mean it follows not only a convergence in probability (that is well known) but also a normalized convergence of the corresponding random variables. Normalized convergence is preserved under Hölder transformations of the corresponding random variables. It is also persisted under summation, product, division and direct product of normalized convergent sequences of random variables. Every probabilistic limit theorem implies a normalized convergence of the corresponding random variables. For  normalized convergence Cauchy convergence criterion takes place. In Norkin (1989, 1992a), Ermoliev and Norkin (1990, 1991) the concept of normalized convergence is applied to the analysis of convergence of the so-called empirical mean (statistical) method in stochastic optimization.

            In Norkin and Roenko (1991), Norkin (1993) certain concavity properties of functions and probability measures are systematically studied, and in Norkin (1993) a stochastic subgradient approach to optimization of probability functions is developed.

            In Ermoliev and Norkin (1998) a general stochastic version of the second Lyapunov’s method is developed and applied to establishing some nonstationary laws of large number (with moving expectations) and to proving almost sure convergence of some Monte Carlo optimization and estimation procedures.

In Keyzer, Ermoliev and Norkin (2002) a risk minimization approach to estimate a flexible form that meets a priori restrictions on slope and curvature by means of constraints on both the estimated parameters and the function values is presented. The resulting constrained risk minimization combines parametric and nonparametric estimation and contains integrals and implicit constraints. Within econometrics, simulation has become a common tool to solve problems of this kind. However, it appears that in our case, the simulation approach only applies when the model is linear in parameters, has simple constraints on parameters and a quadratic risk function. To deal with other cases, we use a stochastic optimization technique known as the stochastic quasi-gradient method for stationary and nonstationary problems with Cesàro averaging. This method is also applicable to an expanding series of random observations, and produces asymptotically (weakly) convergent estimates.

 

Selected references

Norkin V.I. (1992c). On Normalized Convergence of Random Variables, Kibernetika i Sistemnyi Analiz, 1992, N 2, 107-120 (in Russian, English translation in Cybernetics and Systems Analysis, 1992, V. 28, N 2).

Norkin V.I. (1989). Stability of stochastic optimization models and statistical methods of stochastic programming, Preprint 89-53, Glushkov Institute of Cybernetics, Kiev, 1989 (In Russian).

Ermoliev Y.M. and Norkin V.I. (1990). Normalized convergence of random variables and its applications, Kibernetika, 1990, N 6, 85-89. (In Russian, English translation in Cybernetics, 1990, V. 26, N 6).

Ermoliev Y.M. and Norkin V.I. (1991). Normalized convergence in stochastic optimization, Annals of Operations Research, 1991, N 1, 187-198.

Norkin V.I. (1992a). On Convergence and Rate of Convergence of Empirical Mean Value Method in Mathematical Statistics and Stochastic Programming, Kibernetika i Sistemnyi Analiz, 1992, N 3, 84-92 (in Russian, English translation in Cybernetics and Systems Analysis, 1992, V. 28, N 3).

Ermoliev Y.M. and Norkin V.I. (1998). On nonstationary law of large numbers for dependent random variables and its application to stochastic optimization, Kibernetika i sistemny analiz, 1998, N 4, 94-106 (In Russian, English translation in Cybernetics and systems analysis, Vol. 34, N4; see also IIASA Interim Report IR-98-009, Abstract).

Norkin V.I. and Roenko N.V. (1991). a-concave functions and measures and their applications, Kibernatica i Systemnyi Analiz, 1991, N 6, 84-94. (In Russian, English translation in Cybernetics and Systems Analysis, 1991, V. 27, N 6, 860-869).

Keyzer M.A., Ermoliev Y.M., Norkin V.I. (2002). Estimation of econometric models by risk minimization: Stochastic quasi-gradient approach (Abstract), IIASA Interim Report IR-02-021, Int. Inst. for Appl. Syst. Anal., 2002, 32p.

 

Risk & Insurance

In a series of papers jointly with staff members of the International Institute of Applied Systems Analysis (IIASA, Austria) Amendola A., Ermoliev Y.M., MacDonald G., Ermolieva T.Y.) we develop a number of models for insurance and mitigation against rare large claims caused by catastrophic events (earthquakes, hurricanes, storms, floods, droughts, fires, financial crises and etc.). These are portfolio (also welfare, equilibrium, risk process) type models which have a form of stochastic (two-stage, dynamic) programming problems, describing trade-off between expected profit and risk of bankruptcy of an insurance company. Decision variables are fractions of insured damages. The essential part of the approach is a Monte Carlo simulation of catastrophes and subsequent dependent claims. Mathematical results (my main contribution) include reduction of chance constrained stochastic optimization problem to optimization of penalized expected profit, the development and investigation of an adaptive Monte Carlo optimization method, estimation of the probability of ruin for the case of rare dependent claims.

            In Ermoliev et al. (1998, 2000) it was shown that optimal values of a chance constrained problem and a simple recourse one become close if a reliability level tends to one and recourse (penalty) prices tend to infinity.

 

Selected references

Ermoliev Y.M., Ermolieva T.Y., MacDonald G. and Norkin V.I. (2000). Stochastic Optimization of Insurance Portfolios for Managing Exposure to Catastrophic Risks, Annals of Operations Research 99, 2000, 207-225.(see also IIASA Interim Report IR-98-056, Abstract).

Amendola A., Ermoliev Y.M., Ermolieva T.Y., MacDonald G.J. and Norkin V.I. (2000). A system approach to management of catastrophic risks (Abstract), European J. of Operational Research, 2000, V.122, P.452-460.

Ermoliev Y.M., Ermolieva T.Y., MacDonald G.J. and Norkin V.I. (2000). Insurability of catastrophic risks: the stochastic optimization model (Abstract), Optimization, 2000, Vol. 47, 251-265.

Ermoliev Y.M., Ermolieva T.Y., MacDonald G. and Norkin V.I. (2001). Problems of catastrophic risks insurance, Kibernetika i sistemnyi analiz, 2001, N 2, 99-110 (in Russian, English translation in Cybernetics and Systems Analysis, 2001, Vol. 37, Issue 2, pp. 220-234).

Norkin V.I. (1999). On modeling spatial, temporal and magnitude aspects in insuring cataclysmic events, Proceedings of the Second International School on Actuarial and Finantial Mathematics, Kyiv, Ukraine, 8-12 June, 1999, Theory of Stochastic Processes(Kiev), 1999, ¹1-2, 98-110.

Ermoliev Y.M. and Norkin V.I. (2003). Risk and Extended Expected Utility Functions: Optimization Approaches, Interim Report IR-03-033, Int. Inst. for Appl. Syst. Anal.,  2003, 23p..

 

Mathematical economics

One more group of results concerns methods for searching economic equilibrium. We develop two approaches, the reduction of the equilibrium problem to a sequence of optimization problem (Norkin, Ermoliev and Fischer (1997)) and decomposition of a general equilibrium problem  by means of stochastic quasi-gradient method (Ermoliev, Norkin and Keyzer (2000)).

It is shown that under certain conditions (fixed consumer budgets and etc., see Norkin (1999)) general equilibrium model is reduced to convex (joint/aggregate utility) optimization problem and thus can be effectively solved. General case is reduced to iterative application of utility aggregation and optimization. It was discovered that convergence of this method for searching economic equilibrium is closely related to the ergodicity of certain Markov chains.

The second approach consists in randomization of a classical Walrasian tâtonement process such that price adaptation is made not in the direction aggregate excess demand but in a random direction reflecting excess demand of a small number randomly sampled market agents. Some sufficient convergence conditions and rate of convergence to equilibrium are established.

Paper by Ermoliev , Norkin and Keyzer (2001) develops a practical modeling framework for land use planning and presents the associated stochastic algorithms for numerical implementation. We focus on the case in which transfers among social group adjust to support social welfare optimization. It appears that the problem becomes more tractable if it is treated as the minimization of a dual welfare function, that solely depends on prices but is evaluated after integration over space. Next, we allow for (nonrival) demand that simultaneoulsy benefits several agents, in order to represent general informational infrastructure as well as investments with uncertain outcomes. This leads to a minimax problem, with a dual welfare function to be minimized with respect to prices and maximized with respect to nonrival demand.

 

Selected references

Norkin V.I., Ermoliev Y.M. and Fischer G. (1997). On convergence of one method for searching economic equilibrium, Kibernetika i sistemnyi analiz, 1997, N 6 (In Russian, English translation in Cybernetics and Systems Analysis, see also IIASA Working Paper WP-96-118).

Norkin V.I. (1999). On a possibility to reduce a general equilibrium model to optimization problems, Kibernetika i sistemnyi analiz (in Russian, English translation in Cybernetics and Systems Analysis), 1999, N 5, 75-86.

Ermoliev Yu., Norkin and Keyzer M.A. (2000). Global convergence of the stochastic tatonement process, J.of Mathematical Economics, 2000, V.34, P.173-190.

Ermoliev Yu., Norkin and Keyzer M.A. (2001). General equilibrium and welfare modeling in spatial continuum: a practical framework for land use planning (Abstract), Interim Report IR-01-033, Int. Inst. for Appl. Syst. Anal., August 2001, 28p.

 

Nonparametric Data Analysis

In Norkin (2003, 1990) to discover and identify a (linear) dependence in experimental data, a principal component method in its geometric form is applied: data are approximated by a linear manifold formed by some first principal components of a data space. If the dimension of the manifold is less than a dimension of the space, then a linear dependence in data is identified. Problems of selection of dependent, independent and neutral variables and problem of multicollinearity of observations are resolved in a natural way in this approach.

In Kirilyuk, Norkin and Domrachev (2000-2002) an approach of nonparametric indexes (data envelope analysis) is applied to actors of Ukrainian financial and agricultural markets to estimate their position relative to market efficiency frontier. 

 

Selected references

Norkin V.I. (2003). On application of principle components method in multi-dimensional regression analysis, Komputernaya matematika (Computer mathematics), Institute of Cybernetics, Kiev, 2003, No.2, pp.29-36.

Norkin V.I. (1990). Construction of linear models on the basis of limited experimental data, in: Mathematical Methods of Decision-Making under uncertainty, Eds. Yu.M.Ermoliev and I.N.Kovalenko, Glushkov Institute of Cybernetics, Kiev, 1990, 77-82 (In Russian).

Kirilyuk V.S., Norkin V.I. and Domrachev V.N. (2002). A Nonparametric Index Approach for Estimating Subjects of Financial Market by Profitability-Risk Criterion by Example of Commercial Banks, Problemy upravleniya i informatiki, 2002, ¹ 6, 120-131 (in Russian, English translation in J. of Automation and Information Sciences, 2002, Volume34, Issue 12).

Kirilyuk V.S., Norkin V.I. and Domrachev V.N. (2002). On the use of a return-risk frontier for the evaluation of banks functioning, Finansovye riski (Financial risks), 2002, No. 1-2(29), pp.75-77. (In Russian).

Kirilyuk V.S., Norkin V.I. and Domrachev V.N. (2001). Method of nonparametric indexes for the analysis of productivity, technical growth and efficiency chainge on the example of Ukrainian agriculture in 1996-1999, Finansovye riski (Financial risks), 2001, No. 3(27), pp.77-84. (In Russian).