Optimal constrained selection of a measurable subset

Necessary and sufficient conditions are given for a class of optimization problems involving optimal selection of a measurable subset from a given measure space subject to set function inequality constraints. Results are developed firstly for the case where the set functions involved possess a differentiability property and secondly where a type of convexity is present. These results are then used to develop numerical methods. It is shown that in a special case the optimal set can be obtained via solution of a fixed point problem in Euclidean space.     

Decentralized optimum load frequency control of interconnected power systems

A new approach for designing a linear regulator for the problem of load frequency control (LFC) of interconnected power systems is developed. The control is specified to be of proportional-plus-integral (P-I) form and is only a function of the measurable states. The LFC problem is formulated as a parameter optimization problem.This work was supported in part by the National Research Council of Canada, Grant No. A4146.     

Multifunctions on abstract measurable spaces and application to stochastic decision theory

Summary The main results are some very general theorems about measurable multifunctions on abstract measurable spaces with compact values in a separable metric space. It is shown that measurability is equivalent to the existence of a pointwise dense countable family of measurable selectors, and that the intersection of two compact-valued measurable multifunctions is measurable. These results are used to obtain a Filippov type implicit function theorem, and a general theorem concerning the measurability of y(t)=min f({t} × Γ(t)) when f is a real valued function and Γ a compact valued multifunction. An application to stochastic decision theory is given generalizing a result of Benes. The research in this paper was partially supported by University of Kansas General Research Fund Grants 3918-5038 and 3199-5038. Entrata in Redazione il 20 dicembre 1972.     

Existence of optimal controls for the diffusion equation

The existence is considered of a boundary control which drives a system governed by the one-dimensional diffusion equation from the zero state to a given final state, and at the same time minimizes a given functional. The problem is first modified to one in which the minimum is sought of a functional defined on a set of Radon measures. The existence of a minimizing measure is demonstrated, and it is shown that this measure may be approximated by a piecewise constant control. Finally, conditions are given under which a minimizing measurable control exists for the unmodified problem.     

Controlled jump processes

Finite and infinite planning horizon Markov decision problems are formulated for a class of jump processes with general state and action spaces and controls which are measurable functions on the time axis taking values in an appropriate metrizable vector space. For the finite horizon problem, the maximum expected reward is the unique solution, which exists, of a certain differential equation and is a strongly continuous function in the space of upper semi-continuous functions. A necessary and sufficient condition is provided for an admissible control to be optimal, and a sufficient condition is provided for the existence of a measurable optimal policy. For the infinite horizon problem, the maximum expected total reward is the fixed point of a certain operator on the space of upper semi-continuous functions. A stationary policy is optimal over all measurable policies in the transient and discounted cases as well as, with certain added conditions, in the positive and negative cases.     

A one-dimensional variational problem with gradient constraint

In this note we give an explicit characterization of the minimum value of one-dimensional integral variational problem with gradient constraint by a positive measurable function.     

On Stochastic Integration and Differentiation

In a standard integration scheme for a measurable/integrable modification existence, a certain criterion is suggested. It is also shown, how a stochastic differential can be determined for a given stochastic function.     

On a relationship between the integrabilities of various maximal functions

It is shown that the right-sided, left-sided, and symmetric maximal functions of any measurable function can be integrable only simultaneously. The analogous statement is proved for the ergodic maximal functions.     

Analytically measurable selection of epsilon optimal transition kernals

The problem of existence of ah ε-optimal transition kernel for a canonical continuous time stochastic process with a general cost variable is considered. An analytically measurable, ε-optimal kernel exists if the state space is a compact Banach space, the cost variable is lower-semi-analytic, and the graph of the admissibility function is an analytic set. The result is applied to a problem in which the controller is to optimally select transition probabilities for a non-Markovian step process based on statistical estimates of holding time distributions.     

The Euler-Lagrange method in Pontryagin’s formulation

The classical variational problem with nonholonomic constraints is solvable by the Euler-Lagrange method in Pontryagin’s formulation; however, in this case Lagrange multipliers are merely measurable functions. In this paper, we put forward a modified Euler-Lagrange method, in which the original problem involves a Lagrangian dependent only on the independent components of the velocity vector. Under this approach, the Lagrange multipliers make up an absolutely continuous vector function. Our method is applied to the problem of horizontal geodesics for a nonholonomic distribution on a manifold. These equations are established as having two types of connections: connection on the distribution and connection on the manifold; this was not accounted for by other researchers.     

Thermoelastic contact with Barber's heat exchange condition

We consider a nonlinear parabolic problem that models the evolution of a one-dimensional thermoelastic system that may come into contact with a rigid obstacle. The mathematical problem is reduced to solving a nonlocal heat equation with a nonlinear and nonlocal boundary condition. This boundary condition contains a heat-exchange coefficient that depends on the pressure when there is contact with the obstacle and on the size of the gap when there is no contact. We model the heat-exchange coefficient as both a single-valued function and as a measurable selection from a maximal monotone graph. Both of these models represent modified versions of so-called imperfect contact conditions found in the work of Barber. We show that strong solutions exist when the coefficient is taken to be a continuously differentiable function and that weak solutions exist when the coefficient is taken to be a measurable selection from a maximal monotone graph. The proofs of these results reveal an interesting interplay between the regularity of the initial condition and the behavior of the coefficient at infinity.     

On Belinskii conformality in countable sets of points

The local behavior of plane quasiconformal mappings is investigated. In particular, generalizing the well-known Reich-Walczak problem, we study the possibility for a quasiconformal mapping to be conformal in the sense of Belinskii at a prescribed point or in a prescribed set of points when the modulus of the complex dilatation is a fixed measurable function. The notion of the Belinskii conformality is related to the conception of asymptotical rotations by Brakalova and Jenkins.

     

Countably additive gambling with a general expected reward

Summary Optimal strategies and the optimal return function are characterized for a Borel gambling problem in which the utility of a strategy is the expectation under the strategy of a general, measurable function g defined on the space of all infinite histories. These results are based on a previous paper with Lester Dubins where g was assumed to be shift-invariant.Research supported by National Science Foundation Grant MCS77-28424     

Dynamic asset management with risk-sensitive criterion and non-negative factor constraints: a differential game approach

In this paper, we study continuous time portfolio optimization problem where individual securities are directly affected by economic factors. We consider the risk-sensitive criterion function as is familiar in the robust control literature. This is the natural setting for studying the infinite horizon case of the control problem arising in portfolio optimization. Our result extends earlier works by imposing explicitly the non-negativity constraint on the economic factors. This is achieved by using reflected diffusions. The risk-sensitive control problem with reflected diffusion is then converted into a stochastic differential game. The lower value of this game leads immediately to the desired optimal strategy. Also we prove the existence of unique strong solution to reflected diffusions with bounded measurable drift coefficient which is the first result of its kind for higher dimensional reflected diffusions.     

Stability For a Multidimensional Inverse Spectral Theorem

We consider the eigenvalue problem in Ω

Where Ω is a bounded domain in R^d with smooth boundary,a nd q is a bounded, measurable function on Ω The eigenvalue problem has discrete spectrum; we denote by and a nondecreasing sequence of eigenvalue and corresponding (orthonormal) eigenfunctions. It is known ([N–S–U]) that knowledge of the eigenvalues and the boundary values of the normal derivatives of the corresponding eigenfunctions is sufficient to uniquely determine a coefficient, q.     

Uniqueness of a generalized entropy solution to the Cauchy problem for a quasilinear conservation law with convex flux

For a one-dimensional conservation law with convex flux function we prove the uniqueness of a locally bounded generalized entropy solution to the Cauchy problem with an arbitrary bounded measurable initial function. Bibliography: 12 titles. Illustrations: 2 figures.     

Critical Exponent Proble In R2 With Neumann Boundary Conition

In this paper we prove the exostence of a solution for the following Neumann problem where is a bounded domain in R$sup:2$esup: with smooth boundary a bounded measurable function on a non–negative real number, f and g are functions of critical growth on and respectively and v is the outward unit normal to     

可测集合上连续函数与可测函数的相关性

本文就可测函数是连续函数的推广做了进一步的论述。证明了任意可测集合上的连续函数都是可测函数。证明过程可启发人们对可测函数的结构进行更好的研究并由此对鲁津定理的理解更深透．     

Existence results for optimal stochastic controls

The paper treats the problem of existence of optimal controls for a large class of delay-differential Itô equations, where the control is a nonanticipative measurable function of the trajectory (the case of complete information). The technique, which seems simpler than past approaches to the problem, requires the use of results on weak convergence of measures, and gives fairly general results. Control can be either over a fixed-time interval, or it can terminate when a target set is reached, and there can be additional (almost everywhere continuous) side constraints.