Finite-Dimensional Filtering and Control for Continuous-Time Nonlinear Systems

Abstract

A partially observed stochastic control problem is considered in continuous time where both the state and observation processes are given by non-linear dynamics. Measure change techniques applied to the cost process allow both state and observation processes to be thought of as linear. If the cost is given a special form, this transformation changes the original non-linear problem into a linear one.     

Numerical analysis of(s, S) inventory systems with repeated attempts

This paper deals with a continuous review (s,S) inventory system where arriving demands finding the system out of stock, leave the service area and repeat their request after some random time. This assumption introduces a natural alternative to classical approaches based either on lost demand models or on backlogged models. The stochastic model formulation is based on a bidimensional Markov process which is numerically solved to investigate the essential operating characteristics of the system. An optimal design problem is also considered. AMS subject classification: 90B05 90B22     

Singular semi-linear equations inL 1(R)

Letg be a positive continuous function onR which tends to zero at −∞ and which is not integrable overR. The boundary-value problem −u″+g(u)=f, u′(±∞)=0, is considered forf∈L ¹(R). We show that this problem can have a solution if and only ifg is integrable at −∞ and if this is so then the problem is solvable precisely when ∫ _−∞ ^∞ . Some extensions of this result are also given. Sponsored by the United States Army under Contract No. DAAG29-75-C-0024 and by the National Science Foundation, Grant MPS 75-05501.     

Graphs with prescribed Levi form trace

Abstract We prove existence and uniqueness of a viscosity solution of the Dirichlet problem related to the prescribed Levi mean curvature equation, under suitable assumptions on the boundary data and on the Levi curvature of the domain. We also show that such a solution is Lipschitz continuous by proving that it is the uniform limit of a sequence of classical solutions of elliptic problems and by building Lipschitz continuous barriers. Keywords: Levi mean curvature, Quasilinear degenerate elliptic PDE’s, Viscosity solutions, Comparison principle, Global Lipschitz estimates     

A continuous method for computing bounds in integer quadratic optimization problems

In the graph partitioning problem, as in other NP-hard problems, the problem of proving the existence of a cut of given size is easy and can be accomplished by exhibiting a solution with the correct value. On the other hand proving the non-existence of a cut better than a given value is very difficult. We consider the problem of maximizing a quadratic function x ^T Q x where Q is an n × n real symmetric matrix with x an n-dimensional vector constrained to be an element of {–1, 1} ⁿ . We had proposed a technique for obtaining upper bounds on solutions to the problem using a continuous approach in [4]. In this paper, we extend this method by using techniques of differential geometry.     

Wavelet Filter Functions,the Matrix Completion Problem,and Projective Modules Over <Emphasis Type="Italic">C</Emphasis>(<Emphasis Type="Bold">T</Emphasis><Superscript><Emphasis Type="Italic">n</Emphasis></Superscript>)

We discuss how one can use certain filters from signal processing to describe isomorphisms between certain projective C(T ⁿ )-modules. Conversely, we show how cancellation properties for finitely generated projective modules over C(T ⁿ ) can often be used to prove the existence of continuous high pass filters, of the kind needed for multivariate wavelets, corresponding to a given continuous low-pass filter. However, we also give an example of a continuous low-pass filter for which it is impossible to find corresponding continuous high-pass filters. In this way we give another approach to the solution of the matrix completion problem for filters of the kind arising in wavelet theory.     

Continuous Contour Monte Carlo for Marginal Density Estimation With an Application to a Spatial Statistical Model

The problem of marginal density estimation for a multivariate density function f(x) can be generally stated as a problem of density function estimation for a random vector λ(x) of dimension lower than that of x. In this article, we propose a technique, the so-called continuous Contour Monte Carlo (CCMC) algorithm, for solving this problem. CCMC can be viewed as a continuous version of the contour Monte Carlo (CMC) algorithm recently proposed in the literature. CCMC abandons the use of sample space partitioning and incorporates the techniques of kernel density estimation into its simulations. CCMC is more general than other marginal density estimation algorithms. First, it works for any density functions, even for those having a rugged or unbalanced energy landscape. Second, it works for any transformation λ(x) regardless of the availability of the analytical form of the inverse transformation. In this article, CCMC is applied to estimate the unknown normalizing constant function for a spatial autologistic model, and the estimate is then used in a Bayesian analysis for the spatial autologistic model in place of the true normalizing constant function. Numerical results on the U.S. cancer mortality data indicate that the Bayesian method can produce much more accurate estimates than the MPLE and MCMLE methods for the parameters of the spatial autologistic model.     

On averaging of rearrangement invariant ideals of the space L<Superscript>1</Superscript> (Ω, Σ, μ) by non-atomic <Emphasis Type="Italic">σ</Emphasis>-subalgebras of Σ

The problem of averaging = into mapping) is studied for conditional expectation operators which are considered on rearrangement invariant order ideals of measurable functions given on non-atomic probability supports.     

Everywhere Regularity of Solutions to a Class of Strongly Coupled Degenerate Parabolic Systems

A class of strongly coupled degenerate parabolic system is considered. Sufficient conditions will be given to show that bounded weak solutions are Hölder continuous everywhere. The general theory will be applied to a generalized porous media type Shigesada-Kawasaki-Teramoto model in population dynamics.     

About stability of difference equations with square summable level of stochastic perturbations

Abstract

This article continues stability investigation of systems with fading stochastic perturbations. In recent results for systems with the continuous time, it was shown that if stochastic perturbations fade on the infinity quickly enough then asymptotically stable deterministic system remains to be an asymptotically mean square stable independently of the magnitude of the intensity maximum of these stochastic perturbations. Here similar statements are obtained for systems with the discrete time by the condition that the level of stochastic perturbations is given by a square summable sequence. Besides the unsolved problem is proposed: is it possible to get analogous results with not so quickly fading stochastic perturbations. This problem is an open problem and for systems with the continuous time too.     

On solutions of anisotropic elliptic equations with variable exponent and measure data

ABSTRACT

The Dirichlet problem in arbitrary domains for a wide class of anisotropic elliptic equations of the second order with variable exponent nonlinearities and the right-hand side as a measure is considered. The existence of an entropy solution in anisotropic Sobolev spaces with variable exponents is established. It is proved that the obtained entropy solution is a renormalized solution of the considered problem.     

Default Times in a Continuous Time Markov Chain Economy

Abstract

A continuous time financial market is considered where randomness is modelled by a finite state Markov chain. Using the chain, a stochastic discount factor is defined. The probability distributions of default times are shown to be given by solutions of a system of coupled partial differential equations.     

Perturbation of an abstract differential equation containing fractional Riemann-Liouville derivatives

We consider a Cauchy type problem in a Banach space. Under the assumption that the corresponding Cauchy type problem with the operator A is uniformly well-posed and the operator B(t) is subordinate to A in some sense, we prove the unique solvability of the considered problem and its continuous dependence on initial data.     

A variational problem determined by probability measures

ABSTRACT

An optimization problem of maximizing an integral of a function over a family of probability measures is considered. The problem is a generalization of a well-studied variational problem in mathematical economics, concerning optimal allocations. The specific generalization that we examine arises also in the limit of singularly perturbed optimal control problems. We examine the mathematical problem and allude to the singular perturbation motivation.     

Uniform Approximation by Entire Functions That Are All Bounded on a Given Set

For two closed sets F and G in the complex plane C, G C , we solve the following problem Under what conditions on F and G can every function f , continuous on F and analytic in its interior, be uniformly approximated by entire functions, each of which is bounded on G ? February 7, 1995. Date revised: October 31, 1995.     

An optimal multivariate spline method of recovery of twice differentiable functions

A continuous quadratic polynomial spline of several variables is constructed. It solves the optimal recovery problem studied by V.F. Babenko, S.V. Borodachov, and D.S. Skorokhodov for the class of functions defined on a convex polytope in R ^d , whose second derivatives in any direction are uniformly bounded, and for a periodic analogue of this class. The information consists of the values and gradients of the function at some finite set of nodes in R ^d .     

A Boundary Value Problem for Second Order Nonlinear Difference Equations on the Semi-infinite Interval

In this paper, we consider a boundary value problem (BVP) for nonlinear difference equations on the discrete semi-axis in which the left-hand side being a second order linear difference expression belongs to the so-called Weyl-Hamburger limit-circle case. The BVP is considered in the Hilbert space l 2 and is formed via boundary conditions at a starting point and at infinity. Existence and uniqueness results for solutions of the considered BVP are established.     

Linear and Discontinuous Approximations for Optimal Control Problems

Abstract

An optimal control problem for 2D and 3D elliptic equations is investigated with pointwise control constraints. This paper is concerned with the discretization of the control by piecewise linear but discontinuous functions. The state and the adjoint state are discretized by linear finite elements. The paper is focused on similarities and differences to piecewise constant and piecewise linear (continuous) approximation of the controls. Approximation of order h in the L ^∞-norm is proved in the main result.     

Representation theorems for directed completions of consistent algebraic L-domains

In this paper, consistent algebraic L-domains are considered. One algebraic and two topological characterization theorems for their directed completions are given. It is proved that eliminating a set of maximal elements with empty interior from an algebraic L-domain results a consistent algebraic L-domain whose directed completion is just the given algebraic L-domain up to isomorphism. It is also proved that the category CALDOM of consistent algebraic L-domains and Scott continuous maps is Cartesian closed and has the category ALDOM of algebraic L-domains and Scott continuous maps as a full reflective subcategory. Received January 8, 2005; accepted in final form June 15, 2005.     

Dirichlet problem for complex model partial differential equations

ABSTRACT

Complex model partial differential equations of arbitrary order are considered. The uniqueness of the Dirichlet problem is studied. It is proved that the Dirichlet problem for higher order complex partial differential equations with one complex variable has infinitely many solutions.