随机参数和随机资金流环境下基于二次效用函数的投资组合优化

研究完全市场下基于二次效用最大化的带有随机资金流的动态投资组合选择问题,其中假设无风险利率、股票收益率和波动率矩阵都是一致有界随机过程.通过应用线性二次控制方法和向后随机微分方程理论得到了最优投资组合的解析表达式.     

伊藤-泊松型随机微分方程的线性二次控制

本文研究伊藤-泊松型随机微分方程的线性二次控制问题,利用动态规划方法、伊藤公式等技巧,通过解HJB方程,我们得到了随机Riccati方程及另外两个微分方程,求出控制变量,解决了线性二次最优控制最优问题.     

随机赋范空间算子随机范数与Hahn-Banach延拓定理

基于概率测度理论基础,研究了随机赋范空间中算子随机范数,得到了线性算子空间与线性泛函的若干随机化结果与随机化的Hahn-Banach延拓定理.结果可能成为随机泛函分析与概率论及应用的理论工具.     

基于二次效用函数的投资组合问题研究

设无风险利率、股票收益率和波动率都是一致有界随机过程,在股票价格服从跳跃一扩散过程时,同时考虑具有随机资金流的介入,研究了二次效用的动态投资组合选择优化问题,通过随机线性二次控制和倒向随机微分方程得到了最优投资组合策略的解析表达式.     

一类新的线性二次随机最优控制器的设计

给出一类正倒向随机微分方程解的存在唯一性结果,应用这个结果研究了一类新的推广的随机线性二次最优控制器的设计问题,得到了由正倒向随机微分方程解所表示的唯一最优控制器的显式结构;在推广的Riccati方程系统基础上,得到最优控制器精确的线性反馈形式.最后,给出了随机线性二次最优控制器的设计算法.     

二次损失下随机回归系数和参数的线性Minimax估计

对带有随机效应的一般线性模型,本文提出了随机回归系数和参数线性组合的Minimax估计问题. 在二次损失下,研究了线性估计的极小极大性.关于适当的假设,得到了可估函数的唯一线性Mjnimax 估计.     

二次损失下随机回归系数和参数的线性Minimax估计

对带有随机效应的一般线性模型,本文提出了随机回归系数和参数线性组合的Minimax估计问题.在二次损失下,研究了线性估计的极小极大性.关于适当的假设,得到了可估函数的唯一线性Minimax估计.     

一类Itô型非线性时滞关联随机大系统的分散鲁棒控制

在非线性项满足全局Lipschitz条件下,本文研究了一类It(o)型非线性时滞关联随机大系统的分散鲁棒控制问题.系统的时滞是关于状态和控制输入的.基于Lyapunov泛函及线性矩阵不等式(LMI)的分析方法,得到了无记忆状态反馈控制器使整个时滞关联随机大系统可镇定的充分条件.     

一类It型非线性时滞关联随机大系统的分散鲁棒控制

在非线性项满足全局Lipschitz条件下,本文研究了一类It型非线性时滞关联随机大系统的分散鲁棒控制问题.系统的时滞是关于状态和控制输入的.基于Lyapunov泛函及线性矩阵不等式(LMI)的分析方法,得到了无记忆状态反馈控制器使整个时滞关联随机大系统可镇定的充分条件.     

随机P矩阵和随机P0矩阵线性互补问题

定义了随机P矩阵和随机P0矩阵,给出了矩阵为随机P矩阵或随机P0矩阵的充要条件.研究了随机线性互补问题(SLCP)的矩阵为随机P矩阵时,期望残差方法(ERM)解集的有界性.得到了期望矩阵为P矩阵时,(ERM)解集非空有界.并且研究离散情形(ERM)与期望值方法(EV)解的关系,给出了(ERM)解唯一的条件.     

The guaranteed cost control for uncertain nonlinear large-scale stochastic systems via state and static output feedback

The guaranteed cost control (GCC) problem involved in decentralized robust control of a class of uncertain nonlinear large-scale stochastic systems with high-order interconnections is considered. After determining the appropriate conditions for the stochastic GCC controller, a class of decentralized local state feedback controllers is derived using the linear matrix inequality (LMI). The extension of the result of the study to the static output feedback control problem is discussed by considering the Karush-Kuhn-Tucker (KKT) conditions. The efficiency of the proposed design method is demonstrated on the basis of simulation results.     

线性脉冲控制系统的能控性与最优控制

首先讨论了一类线性随机脉冲控制系统的精确能控性质,给出了该类控制系统的脉冲精确能控的等价的代数判据.然后提出了一个确定性的二维线性脉冲控制系统的时间-脉冲强度最优控制问题;利用动态规划原理,给出了脉冲最优控制的反馈形式和值函数的显式表达式;说明了值函数在整个平面上是连续的,在左右两个半平面的内部还是连续可微的.     

Robust guaranteed cost control for uncertain linear differential systems of neutral type

In this paper, the robust guaranteed cost control problem for a class of uncertain linear differential systems of neutral type with a given quadratic cost functions is investigated. The uncertainty is assumed to be norm-bounded and time-varying nonlinear. The problem is to design a state feedback control laws such that the closed-loop system is robustly stable and the closed-loop cost function value is not more than a specified upper bound for all admissible uncertainty and time delay. A criterion for the existence of such controllers is derived based on the matrix inequality approach combined with the Lyapunov method. A parameterized characterization of the robust guaranteed cost controllers is given in terms of the feasible solutions to the certain matrix inequalities. A numerical example is given to illustrate the proposed method.     

An LMI approach to decentralized guaranteed cost control for a class of uncertain nonlinear large-scale delay systems

The guaranteed cost control problem via the decentralized robust control for nonlinear uncertain large-scale systems that have delay in both state and control input is considered. Sufficient conditions for the existence of guaranteed cost controllers are given in terms of linear matrix inequality (LMI). It is shown that the decentralized local state feedback controllers can be obtained by solving the LMI.     

一类具有饱和因子的奇异时滞系统的鲁棒保性能控制

研究了具有饱和因子的非线性奇异时滞系统的鲁棒保性能控制问题.目的是设计一个鲁棒控制器和保成本控制器,通过线性矩阵不等式方法(LMI)得出了鲁棒控制器和保性能控制器存在的充分条件.当这些LMI方法是可解时,分别给出了鲁棒控制器和保性能控制器的解析表达式.     

Guaranteed Cost Control for a Class of Uncertain Stochastic Impulsive Systems with Markovian Switching

Abstract

This article is concerned with the problem of guaranteed cost control for a class of uncertain stochastic impulsive systems with Markovian switching. To the best of our knowledge, it is the first time that such a problem is investigated for stochastic impulsive systems with Markovian switching. For an uncontrolled system, the conditions in terms of certain linear matrix inequalities (LMIs) are obtained for robust stochastical stability and an upper bound is given for the cost function. For the controlled systems, a set of LMIs is developed to design a linear state feedback controller which can stochastically stabilize the class of systems under study and guarantee the given cost function to have an upper bound. Further, an optimization problem with LMI constraints is formulated to minimize the guaranteed cost of the closed-loop system. Finally, a numerical example is provided to show the effectiveness of the proposed method.     

Decentralized Guaranteed Cost Control for Uncertain Large-Scale Systems Using Delayed Feedback: LMI Optimization Approach

In this paper, we propose a design method of guaranteed cost controllers for uncertain large-scale systems with time delays in subsystem interconnections using delayed feedback. Using the Lyapunov method, a linear matrix inequality (LMI) optimization problem is formulated to design a delayed feedback controller which minimizes the upper bound of a given quadratic cost function. A numerical example is included to illustrate the design procedures.Communicated by Q. C. ZhaoThe authors thank the Associate Editor and three anonymous referees for careful reading and useful suggestions.     

Guaranteed Cost Control for Uncertain Neutral Stochastic Systems via Dynamic Output Feedback Controllers

This paper deals with the problem of guaranteed cost control for uncertain neutral stochastic systems. The parameter uncertainties are assumed to be time-varying but norm-bounded. Dynamic output feedback controllers are designed such that, for all admissible uncertainties, the resulting closed-loop system is mean-square asymptotically stable and an upper bound on the closed-loop value of the cost function is guaranteed. By employing a linear matrix inequality (LMI) approach, a sufficient condition for the solvability of the underlying problem is obtained. A numerical example is provided to demonstrate the potential of the proposed techniques.     

Non-fragile guaranteed cost control of uncertain large-scale systems with time-varying delays

The robust non-fragile guaranteed cost control problem is studied in this paper for a class of uncertain linear large-scale systems with time-varying delays in subsystem interconnections and given quadratic cost functions. The uncertainty in the system is assumed to be norm-bounded and time-varying. Also, the state-feedback gains for subsystems of the large-scale system are assumed to have norm-bounded controller gain variations. The problem is to design state feedback control laws such that the closed-loop system is asymptotically stable and the closed-loop cost function value is not more than a specified upper bound for all admissible uncertainties. Sufficient conditions for the existence of such controllers are derived based on the linear matrix inequality (LMI) approach combined with the Lyapunov method. A parameterized characterization of the robust non-fragile guaranteed cost controllers is given in terms of the feasible solutions to a certain LMI. Finally, in order to show the application of the proposed method, a numerical example is included.     

一类具有闭环极点约束的不确定线性系统的保性能控制

主要研究了闭环系统的极点约束在一个给定圆盘中的保性能控制问题,基于线性矩阵不等式处理方法给出了状态反馈控制器存在的充要条件,并利用线性矩阵不等式的解给出了保性能控制器的设计方法,得到一个状态反馈控制器,使得对所有允许的不确定性闭环系统稳定,并且闭环性能指标值不超过某个确定的上界.最后以数值例子验证了结果的正确性.