Minimum Spanning Trees with Sums of Ratios

We present an algorithm for finding a minimum spanning tree where the costs are the sum of two linear ratios. We show how upper and lower bounds may be quickly generated. By associating each ratio value with a new variable in `image space,' we show how to tighten these bounds by optimally solving a sequence of constrained minimum spanning tree problems. The resulting iterative algorithm then finds the globally optimal solution. Two procedures are presented to speed up the basic algorithm. One relies on the structure of the problem to find a locally optimal solution while the other is independent of the problem structure. Both are shown to be effective in reducing the computational effort. Numerical results are presented.     

Minimum selections and fixed points of set-valued operators in Banach spaces with some uniform convexity

A new continuity theorem of minimum selection is presented for a continuous set-valued operator from a topological space into a Banach space with some uniform convexity. As applications, some problems concerning minimum right inverses for linear operators and minimum fixed points for condensing set-valued nonlinear operators are discussed. Also, the existence of minimum solutions for an integral inclusion is proved.     

反射系数的线性最小均方误差估计

从地震记录信号中获取反射系数对岩性分析和寻找储油(气)地层构造是非常重要的,本文对非白噪型反射系数的反褶积模型方法进行了探讨,给出了一个获取反射系数的估计方法.     

Non‐linear stability for convection with quadratic temperature dependent viscosity

In this paper, we study the non‐linear stability of convection for a Newtonian fluid heated from below, where the viscosity of the fluid depends upon temperature. We are able to show that for Rayleigh numbers below a certain critical value, Ra_c, the rest state of the fluid and the steady temperature distribution remains non‐linearly stable, using the calculations of Diaz and Straughan (Continuum Mech. Thermodyn. 2004; 16 :347–352). The central contribution of this paper lies in a simpler proof of non‐linear stability, than the ones in the current literature, by use of a suitable maximum principle argument. Copyright © 2006 John Wiley & Sons, Ltd.     

Minimum energy with infinite horizon: From stationary to non-stationary states

We study a non-standard infinite horizon, infinite dimensional linear–quadratic control problem arising in the physics of non-stationary states (see e.g. Bertini et al. (2004, 2005)): finding the minimum energy to drive a given stationary state $\bar{x}=0$ (at time $t=-\infty$) into an arbitrary non-stationary state $x$ (at time $t=0$). This is the opposite to what is commonly studied in the literature on null controllability (where one drives a generic state $x$ into the equilibrium state $\bar{x}=0$). Consequently, the Algebraic Riccati Equation (ARE) associated with this problem is non-standard since the sign of the linear part is opposite to the usual one and since its solution is intrinsically unbounded. Hence the standard theory of AREs does not apply. The analogous finite horizon problem has been studied in the companion paper (Acquistapace and Gozzi, 2017). Here, similarly to such paper, we prove that the linear selfadjoint operator associated with the value function is a solution of the above mentioned ARE. Moreover, differently to Acquistapace and Gozzi (2017), we prove that such solution is the maximal one. The first main result (Theorem 5.8) is proved by approximating the problem with suitable auxiliary finite horizon problems (which are different from the one studied in Acquistapace and Gozzi (2017)). Finally in the special case where the involved operators commute we characterize all solutions of the ARE (Theorem 6.5) and we apply this to the Landau–Ginzburg model.     

Geometric stability switch criteria in delay differential equations with two delays and delay dependent parameters

Most modeling efforts involve multiple physical or biological processes. All physical or biological processes take time to complete. Therefore, multiple time delays occur naturally and shall be considered in more advanced modeling efforts. Carefully formulated models of such natural processes often involve multiple delays and delay dependent parameters. However, a general and practical theory for the stability analysis of models with more than one discrete delay and delay dependent parameters is nonexistent. The main purpose of this paper is to present a practical geometric method to study the stability switching properties of a general transcendental equation which may result from a stability analysis of a model with two discrete time delays and delay dependent parameters that dependent only on one of the time delay. In addition to simple and illustrative examples, we present a detailed application of our method to the study of a two discrete delay SIR model.     

On the core of cost-revenue games: Minimum cost spanning tree games with revenues

In this paper, we analyze cost sharing problems arising from a general service by explicitly taking into account the generated revenues. To this cost-revenue sharing problem, we associate a cooperative game with transferable utility, called cost-revenue game. By considering cooperation among the agents using the general service, the value of a coalition is defined as the maximum net revenues that the coalition may obtain by means of cooperation. As a result, a coalition may profit from not allowing all its members to get the service that generates the revenues. We focus on the study of the core of cost-revenue games. Under the assumption that cooperation among the members of the grand coalition grants the use of the service under consideration to all its members, it is shown that a cost-revenue game has a nonempty core for any vector of revenues if, and only if, the dual game of the cost game has a large core. Using this result, we investigate minimum cost spanning tree games with revenues. We show that if every connection cost can take only two values (low or high cost), then, the corresponding minimum cost spanning tree game with revenues has a nonempty core. Furthermore, we provide an example of a minimum cost spanning tree game with revenues with an empty core where every connection cost can take only one of three values (low, medium, or high cost).     

Dynamics of the density dependent predator-prey system with Beddington-DeAngelis functional response

Two models of a density dependent predator-prey system with Beddington-DeAngelis functional response are systematically considered. One includes the time delay in the functional response and the other does not. The explorations involve the permanence, local asymptotic stability and global asymptotic stability of the positive equilibrium for the models by using stability theory of differential equations and Lyapunov functions. For the permanence, the density dependence for predators is shown to give some negative effect for the two models. Further the permanence implies the local asymptotic stability for a positive equilibrium point of the model without delay. Also the global asymptotic stability condition, which can be easily checked for the model is obtained. For the model with time delay, local and global asymptotic stability conditions are obtained.     

Exponential stabilization of stochastic interval system with time dependent parameters

There has been growing interest in analyzing stability in design controls of stochastic systems. This interest arises out of the need to develop robust control strategies for systems with uncertain dynamics. This paper is concerned with the examination of conditions under which the desired structure of a stochastic interval system with time dependent parameters is stabilizable. Necessary and sufficient condition under which two-level preconditioner guarantees quadratic mean exponential stability of the desired structure of uncontrolled stochastic interval system is presented. Sufficient condition for exponential stability of the equilibrium solution of uncontrolled stochastic interval system is also presented.     

Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate

This paper develops an efficient direct integration method for pricing of the variable annuity (VA) with guarantees in the case of stochastic interest rate. In particular, we focus on pricing VA with Guaranteed Minimum Withdrawal Benefit (GMWB) that promises to return the entire initial investment through withdrawals and the remaining account balance at maturity. Under the optimal (dynamic) withdrawal strategy of a policyholder, GMWB pricing becomes an optimal stochastic control problem that can be solved using backward recursion Bellman equation. Optimal decision becomes a function of not only the underlying asset but also interest rate. Presently our method is applied to the Vasicek interest rate model, but it is applicable to any model when transition density of the underlying asset and interest rate is known in closed-form or can be evaluated efficiently. Using bond price as a numéraire the required expectations in the backward recursion are reduced to two-dimensional integrals calculated through a high order Gauss–Hermite quadrature applied on a two-dimensional cubic spline interpolation. The quadrature is applied after a rotational transformation to the variables corresponding to the principal axes of the bivariate transition density, which empirically was observed to be more accurate than the use of Cholesky transformation. Numerical comparison demonstrates that the new algorithm is significantly faster than the partial differential equation or Monte Carlo methods. For pricing of GMWB with dynamic withdrawal strategy, we found that for positive correlation between the underlying asset and interest rate, the GMWB price under the stochastic interest rate is significantly higher compared to the case of deterministic interest rate, while for negative correlation the difference is less but still significant. In the case of GMWB with predefined (static) withdrawal strategy, for negative correlation, the difference in prices between stochastic and deterministic interest rate cases is not material while for positive correlation the difference is still significant. The algorithm can be easily adapted to solve similar stochastic control problems with two stochastic variables possibly affected by control. Application to numerical pricing of Asian, barrier and other financial derivatives with a single risky asset under stochastic interest rate is also straightforward.     

Instability of FIFO in a simple queueing system with arbitrarily low loads

We show, using a simple example, that the First-In-First-Out (FIFO) policy can be unstable in a system with arbitrarily low load. Our proof is based on the observation that the special structure of the example we use allows us to establish stability using a much simpler queueing system.     

The Minimum Concave Cost Network Flow Problem with fixed numbers of sources and nonlinear arc costs

We prove that the Minimum Concave Cost Network Flow Problem with fixed numbers of sources and nonlinear arc costs can be solved by an algorithm requiring a number of elementary operations and a number of evaluations of the nonlinear cost functions which are both bounded by polynomials inr, n, m, wherer is the number of nodes,n is the number of arcs andm the number of sinks in the network.On leave from Institute of Mathematics, P.O. Box 631, Bo Ho, Hanoi, Vietnam.     

时间和振幅受限的最小能量控制问题

本文用初等的分析和代数方法 ,对于固定的控制时间 T,得到了线性系统控制振幅受限的最小能量控制所满足的一个充分条件 .举例说明了利用本文所得的结果 ,可以求得有限维线性控制系统控制振幅受限的最小能量控制函数的具体表达式 .     

Minimum Principle of Complementary Energy for Nonlinear Elastic Cable Networks with Geometrical Nonlinearities

A minimum principle of complementary energy is established for cable networks involving only the stress components as variables with geometrical nonlinearities and nonlinear elastic materials. The minimization problem of total potential energy is reformulated as a variational problem with a convex objective functional and an infinite number of second-order cone constraints; its Fenchel dual problem is shown to coincide with the minimization problem of the complementary energy. It is of interest to note that the obtained complementary energy attains always its minimum value at the equilibrium state irrespective of the stability of the cable networks, contrary to the fact that only stationary principles have been presented for elastic trusses and continua, even in the case of a stable equilibrium state.     

Reflection of magneto-thermoelastic waves with two relaxation times and temperature dependent elastic moduli

The model of the equations of generalized magneto-thermoelasticity with two relaxation times in an isotropic elastic medium under the effect of reference temperature on the modulus of elasticity is established. The modulus of elasticity is taken as a linear function of reference temperature. Reflection of magneto-thermoelastic waves under generalized thermoelasticity theory is employed to study the reflection of plane harmonic waves from a semi-infinite elastic solid in a vacuum. The expressions for the reflection coefficients, which are the relations of the amplitudes of the reflected waves to the amplitude of the incident waves, are obtained. Similarly, the reflection coefficients ratios variations with the angle of incident under different conditions are shown graphically. A comparison is made with the results predicted by the coupled theory and with the case where the modulus of elasticity is independent of temperature.     

Lagrangian actions for elliptical solutions of 2-body and 3-body problems with fixed energies

Based on the works of Gordon (1977) and Zhang and Zhou (2001) on the variational minimizing properties for Keplerian orbits and Lagrangian solutions of Newtonian 2-body and 3-body problems, we use the constrained variational principle of Ambrosetti and Coti Zelati (1990) to compute the Lagrangian actions on Keplerian and Lagrangian elliptical solutions with fixed energies. We also find an interesting relation between the period and the energy for Lagrangian elliptical solutions with Newtonian potentials.     

Stability analysis of the differential genetic regulatory networks model with time-varying delays and Markovian jumping parameters

In this paper, we investigate the stability and robust stability criteria for genetic regulatory networks with interval time-varying delays and Markovian jumping parameters. The genetic regulatory networks have a finite number of modes, which may jump from one mode to another according to the Markov process. By using Lyapunov–Krasovskii functional, some sufficient conditions are derived in terms of linear matrix inequalities to achieve the global asymptotic stability in the mean square of the considered genetic regulatory networks. Two numerical examples are provided to illustrate the usefulness of the obtained theoretical results.     

Solving a partial differential equation associated with the pricing of power options with time‐dependent parameters

Previous analysis and research on the power option – one of the exotic options – have focused on the interest rate of the stock and its volatility as constant parameters throughout the run of execution. In this paper, we attempt to extend these results to the more practical and realistic case of when these parameters are time dependent. By making no ansatz or relying on ad hoc methods, we are able to achieve this via an algorithmic method – the Lie group approach – leading to exact solutions for the power option problem. Copyright © 2014 John Wiley & Sons, Ltd.     

Decay property of solutions for damped wave equations with space-time dependent damping term

We consider the Cauchy problem for the damped wave equation with space-time dependent potential b(t,x) and absorbing semilinear term |u|^ρ−1u. Here, with b₀>0, α,β?0 and α+β∈[0,1). Using the weighted energy method, we can obtain the L² decay rate of the solution, which is almost optimal in the case ρ>ρc(N,α,β):=1+2/(N−α). Combining this decay rate with the result that we got in the paper [J. Lin, K. Nishihara, J. Zhai, L²-estimates of solutions for damped wave equations with space-time dependent damping term, J. Differential Equations 248 (2010) 403-422], we believe that ρc(N,α,β) is a critical exponent. Note that when α=β=0, ρc(N,α,β) coincides to the Fujita exponent ρF(N):=1+2/N. The new points include the estimate in the supercritical exponent and for not necessarily compactly supported data.