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The Specifics of Closed-Loop Impulse Control
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Daryin A., Kurzhanski A.
This paper deals with the problem of designing feedback solutions for systems with impulsive control inputs which meets increasing demand. It emphasizes the specifics of such solutions. Their description opens routes for effective calculation and application.
Language:
English
Burashnikov E., Operations Research Forum 2024
Added: September 21, 2024
D. V. Gribanov, Shumilov I. A., D. S. Malyshev, Optimization Letters 2024 Vol. 18 P. 73–103
In this work we consider the problem of computing the (min,+)-convolution of two sequences a and b of lengths n and m, respectively, where n≥m. We assume that a is arbitrary, but b_i=f(i), where f(x):[0,m)→R is a function with one of the following properties: f is linear, f is monotone, f is convex, f is concave, f is piece-wise linear, f is a polynomial function of a fixed degree. To the best of our knowledge, the concave, piece-wise linear and polynomial ...
Added: May 28, 2023
Maron A., Maron M., Вестник Московского авиационного института 2022 Т. 29 № 2 С. 158–165
The relevance of this work is due to the fact, that reducing the time of searching and the time for eliminating defects in civil aviation passenger aircraft can significantly reduce departure delays and the associated losses of airlines. The analysis of statistical data shows that the searching and eliminating defects are the dominant causes of ...
Added: September 30, 2022
Afanasiev V., М.: Красанд/URSS, 2020.
This book has been prepared on the basis of lectures on control theory given by the author for a number of years to students of the Department of Applied Mathematics of the National Research University Higher School of Economics and the Faculty of Physics Moscow State University named after M. V. Lomonosov. The content of the ...
Added: August 27, 2022
Andreev N. A., Smirnov S. N., Computational Mathematics and Modeling 2021 Vol. 32 P. 22–44
We consider a guaranteed deterministic approach to discrete-time super-replication for guaranteed coverage of contingent claims on options for all possible asset-price scenarios. Price increases during a period are assumed to be contained in a priori specified compacta dependent on price history. A game problem is stated and reduced to the solution of the corresponding Bellman–Isaacs ...
Added: September 30, 2021
Pospelov I. G., Zhukova A., , in: 2020 European Control Conference (ECC).: Institute of Electrical and Electronics Engineers Inc., 2020. P. 1129–1134.
This paper presents the approach to solving optimal control problems that appear in economic models using the Lagrange's multipliers method. This method is not as widely used as it might be, taking into accounts its benefits and convenience. The power of this method for intertemporal general equilibrium allows building complex structural models of the whole ...
Added: December 8, 2020
Tumanov M., Piunovskly A., Plakhov A., Optimal Control Applications and Methods 2019 P. 1–21
Using the tools of the Markov Decision Processes, we justify the dynamic programming approach to the optimal impulse control of deterministic dynamical systems. We prove the equivalence of the integral and differential forms of the optimality equation. The theory is illustrated by an example from mathematical epidemiology. The developed methods can be also useful for ...
Added: February 27, 2020
Andreev N. A., В кн.: "Тихоновские чтения": научная конференция: тезисы докладов: посвящается памяти академика Андрея Николаевича Тихонова: 29 октября-1 ноября 2019 г.: М.: ООО «Макс Пресс», 2019. С. 14–14.
Доклад посвящен приложению гарантированного подхода, предложенного Смирновым С.Н. [1],[2], к задаче управления портфелем финансовых инструментов на низколиквидном рынке с учетом модельной ошибки. Рассматривается игровая постановка в дискретном времени на конечном горизонте, в рамках которой инвестор максимизирует ожидаемое вознаграждение от портфеля (робастный эквивалент Сэвиджа) в конце стратегии. Оптимальная стратегия находится в неявном виде как решение соответствующего ...
Added: October 30, 2019
Andreev N. A., Mathematics 2019 Vol. 7 No. 12 P. 1147
We present a robust dynamic programming approach to the general portfolio selection problem in the presence of transaction costs and trading limits. We formulate the problem as a dynamic infinite game against nature and obtain the corresponding Bellman-Isaacs equation. Under~several additional assumptions, we get an alternative form of the equation, which is more feasible for ...
Added: October 30, 2019
Andreev N. A., Smirnov S. N., В кн.: "Тихоновские чтения": научная конференция: тезисы докладов: посвящается памяти академика Андрея Николаевича Тихонова: 29 октября-2 ноября 2018 г.: М.: МАКС Пресс, 2018. С. 11–11.
Управление портфелем ценных бумаг, для целей инвестирования или хеджирования, относится к классическим задачам финансовой математики, которые допускают различные постановки, обычно использующие стохастическое динамическое программирование, где управляемым объектом является структура портфеля, а рынок описывается некоторым стохастическим процессом.
Доклад посвящен альтернативе общепринятого стохастического подхода, - за основу берется неопределенность поведения рынка в будущем, а динамика рынка описывается одним ...
Added: October 30, 2018
Pham Cong T., Копылов А. В., Computer Optics 2018 P. 1–8
We consider here image denoising procedures, based on computationally effective tree-serial parametric dynamic programming procedures, different representations of an image lattice by the set of acyclic graphs and non-convex regularization of a new type which allows to flexibly set a priori preferences. Experimental results in image denoising, as well as comparison with related methods, are ...
Added: July 21, 2018
Zinder Y., Lazarev A. A., Musatova E. G. et al., Automation and Remote Control 2018 Vol. Vol. 79 No. 3 P. 506–523
The paper is concerned with scheduling the two-way traffic between two stations connected by a single-track railway with a siding. It is shown that if, for each station, the order in which trains leave this station is known or can be found, then for various objective functions an optimal schedule can be constructed in polynomial ...
Added: May 30, 2018
А.А.Лазарев, Зиндер Я., Мусатова Е. Г. et al., Автоматика и телемеханика 2018 № 3 С. 144–166
The paper is concerned with scheduling the two-way traffic between two stations connected by a single-track railway with a siding. It is shown that if, for each station, the order in which trains leave this station is known or can be found, then for various objective functions an optimal schedule can be constructed in polynomial ...
Added: May 30, 2018
Pham Cong T., Kopylov A. V., Dvoenko S. D., Int. Arch. Photogramm. Remote Sens. Spatial Inf. Sci. 2017 No. XLII-2/W4 P. 55–60
Added: October 3, 2017
Pham Cong Thang, Informatica (Ljubljana) 2017 No. 41 P. 255–256
Added: October 3, 2017
De Vallière D., Kabanov Y., Lépinette E., Finance and Stochastics 2016 Vol. 20 No. 3 P. 705–740
We consider an optimal control problem for a linear stochastic integro-differential equation with conic constraints on the phase variable and with the control of singular–regular type. Our setting includes consumption-investment problems for models of financial markets in the presence of proportional transaction costs, where the prices of the assets are given by a geometric Lévy ...
Added: September 8, 2016
Alexander Lazarev, Khusnullin N., , in: Optimization and applications (OPTIMA-2014).: M.: -, 2014. P. 125–126.
We consider a particular case of railway problems, namely, the optimal scheduling of the train operation by a double-track railroad when one of the segments is under repair works.Application of the dynamic programming is effective to solve this problem. In this paper we suggest an exact algorithm. ...
Added: October 16, 2014
Springer, 2014.
This book constitutes the thoroughly refereed post-conference proceedings of the 8th International Conference on Learning and Optimization, LION 8, which was held in Gainesville, FL, USA, in February 2014. The 33 contributions presented were carefully reviewed and selected for inclusion in this book. A large variety of topics are covered, such as algorithm configuration; multiobjective ...
Added: September 15, 2014
Springer, 2014.
This book constitutes the thoroughly refereed post-conference proceedings of the 8th International Conference on Learning and Optimization, LION 8, which was held in Gainesville, FL, USA, in February 2014. The 33 contributions presented were carefully reviewed and selected for inclusion in this book. A large variety of topics are covered, such as algorithm configuration; multiobjective ...
Added: August 13, 2014
Молоствов В.С., Жаркынбаев С. Ж., Жуковский В. И., В кн.: Сборник научных трудов III Международной школы-симпозиума «Анализ, моделирование, управление, развитие экономических систем: АМУР-2009, Севастополь, 14 - 20 сентября 2009».: ТНУ им. В.И. Вернадского, 2009. С. 191–192.
На основе принципа минимаксного сожаления по Сэвиджу формализуется понятие функции риска в многошаговой позиционной задаче. Предлагаются достаточные условия существования максимума целевого функционала при учете неопределенности. ...
Added: July 11, 2014
Pavel Sukhov, Mikhail Batsyn, Petr Terentev, Procedia Computer Science 2014 Vol. 31 P. 773–777
There exist a number of mathematical problems in the literature concerning warehouse storage optimization. However, to the best of our knowledge the problem of finding optimal slot sizes in pallet rack system minimizing the occupied storage space is not studied. More precisely, the problem is to optimally choose k of m pallet racks with pallets in a ...
Added: June 7, 2014