多目标最优控制的小波逼近解

基于小波多尺度逼近特性,提出了一种求解线性时变系统中多目标最优控制的新方法.该法避免求解带附加积分约束的R iccati微分方程而只需求解一个代数二次约束规划问题,适合于计算机求解.数值研究表明,所提算法是精确可行的.     

一类二阶非线性泛函微分方程的振动性质

研究了一类较为广泛的二阶非线性泛函微分方程解的振动性质.在一定条件下,利用广义黎卡提变换和积分平均技巧建立了方程(1)的两个新的振动准则,推广和改进了已知的一些结果.     

一类二阶非线性泛函微分方程的振动性定理

研究了一类较为广泛的二阶非线性泛函微分方程解的振动性质.在一定条件下,利用广义黎卡提变换、积分平均技巧和分类讨论的方法建立了两个新的振动准则,改进和推广了已知的一些结果.     

一类偏积分微分方程二阶差分空间半离散格式的全局行为

偏积分微分方程产生于许多科学与工程领域,数值求解此类问题具有重要应用.本文给出了数值求解一类长时间偏积分微分方程的二阶差分空间半离散格式.借助于Laplace变换及Parseval等式,给出了全局稳定性的证明、误差估计及全局收敛性的结果.     

一类优化控制问题的有限元解的误差估计和超收敛

对积分微分方程的优化控制问题进行了介绍.讨论了积分微分方程的优化控制问题的混合有限元逼近,给出了优化控制问题的有限元逼近解的误差估计和超收敛性质.     

径向基函数在非线性PDE形状优化中的应用

提出了一种求解非线性偏微分方程形状优化问题的径向基函数方法.灵敏度分析结果采用的共轭方法;形状的演化通过最优性准则方法得到;控制方程和共轭方程的求解用的是径向基函数方法.由于径向基函数方法是真正的无网格方法,比网格依赖方法有更好的适应性.提供的数值算例说明了所提算法的稳定性和有效性.此外,所得方法可以灵活地与其他优化算法相结合,从而可以解决更复杂的非线性偏微分方程中的最优形状设计问题.     

线性时变系统二次最优控制问题的保辛近似求解

状态空间的最优控制体系是保守的,其近似算法应当保辛．提出了基于分段常值精细积分方法的保辛摄动近似方法,在同一框架下求解了线性时变LQ最优控制中的计算问题,即变系数矩阵Riccati方程和状态反馈方程．该算法是保辛的,具有很好的数值稳定性和精度．算例验证了算法的有效性．     

一种求解变系数渗压固结微分方程的数值方法

对变系数渗压固结微分方程的求解过程进行了深入研究,提出一种精细积分半解析数值方法,首先对渗压固结微分方程在空间离散,建立起对于时间的常微分方程组,然后对时程积分,利用矩阵指数函数可以在计算机字长范围内精确计算的特点,得到精密解答.当指数函数用Taylor展开式的一阶近似替代时,精细积分转化为差分方程.用matlab语言编写程序进行求解,得到孔隙比在固结过程中的分布规律,并通过模型试验进行了验证.     

跳扩散模型中亚式期权的定价

本文研究一类跳扩散模型中亚式期权的定价问题，得到了关于算术平均亚式期权的一个简单而统一的算法，并用偏微分方程的技巧将其定价问题归结为一个与路径依赖量无关的一维积分-微分方程的求解问题．     

具有空间扩散的种群系统解的存在唯一性与边界控制

本文讨论了带年龄结构和空间扩散的时变种群系统的最优边界控制问题，证明了系统的广义解的存在唯一性，得到了控制为最优的充分必要条件以及由积分－偏微分方程和变分不等式构成的最优性组．最优控制ｕ∈ｕａｄ是由最优性组所确定的．     

Optimal control of lumped parameter systems via shifted Legendre polynomial approximation

Shifted Legendre polynomial functions are employed to solve the linear-quadratic optimal control problem for lumped parameter system. Using the characteristics of the shifted Legendre polynomials, the system equations and the adjoint equations of the optimal control problem are reduced to functional ordinary differential equations. The solution of the functional differential equations are obtained in a series of the shifted Legendre functions. The operational matrix for the integration of the shifted Legendre polynomial functions is also introduced in the simulation step in order to simplify the computational procedure. An illustrative example of an optimal control problem is given, and the computational results are compared with those of the exact solution. The proposed method is effective and accurate.     

Linear–quadratic stochastic two-person nonzero-sum differential games: Open-loop and closed-loop Nash equilibria

In this paper, we consider a linear–quadratic stochastic two-person nonzero-sum differential game. Open-loop and closed-loop Nash equilibria are introduced. The existence of the former is characterized by the solvability of a system of forward–backward stochastic differential equations, and that of the latter is characterized by the solvability of a system of coupled symmetric Riccati differential equations. Sometimes, open-loop Nash equilibria admit a closed-loop representation, via the solution to a system of non-symmetric Riccati equations, which could be different from the outcome of the closed-loop Nash equilibria in general. However, it is found that for the case of zero-sum differential games, the Riccati equation system for the closed-loop representation of an open-loop saddle point coincides with that for the closed-loop saddle point, which leads to the conclusion that the closed-loop representation of an open-loop saddle point is the outcome of the corresponding closed-loop saddle point as long as both exist. In particular, for linear–quadratic optimal control problem, the closed-loop representation of an open-loop optimal control coincides with the outcome of the corresponding closed-loop optimal strategy, provided both exist.     

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.     

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.     

Control of non-self-adjoint distributed-parameter systems

Systems involving viscous damping forces, circulatory forces, and aerodynamic forces are non-self-adjoint. A method capable of controlling non-self-adjoint distributed systems is the independent modal-space control method, whereby the problem of controlling a distributed-parameter system is reduced to that of controlling an infinite set of independent, complex, second-order ordinary differential equations. In the case of optimal control, one must solve independent, complex, scalar Riccati equations. The transient solution of the Riccati equations can be found with relative ease and the steady-state solution can be found in closed form. A numerical example demonstrates the effectiveness of the method.This work was supported by AFOSR Research Grant No. 83-0017.     

求解非线性Black-Scholes模型的自适应小波精细积分法

针对非线性Black-Scholes方程,基于quasi-Shannon小波函数给出了一种求解非线性偏微分方程的自适应多尺度小波精细积分法.该方法首先利用插值小波理论构造了用于逼近连续函数的多尺度小波插值算子,利用该算子可以将非线性Black-Scholes方程自适应离散为非线性常微分方程组;然后将用于求解常微分方程组的精细积分法和小波变换的动态过程相结合,并利用非线性处理技术(如同伦分析技术)可有效求解非线性Black-Scholes方程.数值结果表明了该方法在数值精度和计算效率方面的优越性.     

Magnus integrators for solving linear-quadratic differential games

We consider Magnus integrators to solve linear-quadratic N$N$-player differential games. These problems require to solve, backward in time, non-autonomous matrix Riccati differential equations which are coupled with the linear differential equations for the dynamic state of the game, to be integrated forward in time. We analyze different Magnus integrators which can provide either analytical or numerical approximations to the equations. They can be considered as time-averaging methods and frequently are used as exponential integrators. We show that they preserve some of the most relevant qualitative properties of the solution for the matrix Riccati differential equations as well as for the remaining equations. The analytical approximations allow us to study the problem in terms of the parameters involved. Some numerical examples are also considered which show that exponential methods are, in general, superior to standard methods.     

Fourier expansion based recursive algorithms for periodic Riccati and Lyapunov matrix differential equations

Combining Fourier series expansion with recursive matrix formulas, new reliable algorithms to compute the periodic, non-negative, definite stabilizing solutions of the periodic Riccati and Lyapunov matrix differential equations are proposed in this paper. First, periodic coefficients are expanded in terms of Fourier series to solve the time-varying periodic Riccati differential equation, and the state transition matrix of the associated Hamiltonian system is evaluated precisely with sine and cosine series. By introducing the Riccati transformation method, recursive matrix formulas are derived to solve the periodic Riccati differential equation, which is composed of four blocks of the state transition matrix. Second, two numerical sub-methods for solving Lyapunov differential equations with time-varying periodic coefficients are proposed, both based on Fourier series expansion and the recursive matrix formulas. The former algorithm is a dimension expanding method, and the latter one uses the solutions of the homogeneous periodic Riccati differential equations. Finally, the efficiency and reliability of the proposed algorithms are demonstrated by four numerical examples.