STOCHASTIC LINEAR QUADRATIC OPTIMAL CONTROL PROBLEMS WITH RANDOM COEFFICIENTS

61. IntroductionLet (fi, F, P, {R}tZo) be a complete filtered probability space on which a standard onedimensional Brownian motion w(') is defined such that {R}tZo is the natural filtrationgenerated by w(.), augmented by all the p-null sets in i. We consider the following stateequationwhere T E T[0, TI, the set of all {R}tZo-stopping times taking values in [0, T], (E sigLlt (fi;IR"); A, B, C, D are matrix-valued {R}tZo-adapted bounded processes. In the above, u(.) EU[T, T]gLI(T, T…     

POSITIVITY METHODS FOR DICHOTOMY OF LINEAR SKEW-PRODUCT FLOWS ON HILBERT SPACES

Abstract

In [Na-Rh] we developed a method based on positivity in order to characterize the stability of the evolution family corresponding to the nonautonomous Cauchy problem in Hilbert spaces. This method is extended to the study of hyperbolicity of linear skew-products. We also show that exponential dichotomy of a linear skew-product flow is equivalent to the existence of a Hermitian valued solution of some linear Riccati equation.     

OPTIMAL CONTROL PROBLEMS WITH HYBRID QUADRATIC CRITERIA

In this paper, the auther investigates optimal control problems of continuotis time linear system with hybrid quadratic criteria such as $\[J(u) = \sum\limits_{i = 1}^N {\left\langle {{Q_i}x({t_i}),x({t_i})} \right\rangle } + \int_0^t {\left\langle {Ru(t),u(t)} \right\rangle } dt\]$. Closed-loop results are obtained in which the optiinal control can be expressed by means of state values measured only at these discrete-time points. Formulae are given for determination of feedback operators.     

带脉冲模的广义线性系统的二次最优控制

广义线性系统的二次最优控制问题是人们普遍关注的研究课题.虽有不少讨论,但都有不尽人意之处.例如,有人先将广义系统正常化后再讨论其最优控制,这样就回到了正常线性系统的已知结果;有人把一部分状态作为控制变量来求解,因此,这种控制方式实际上是不能实现的.在[1]中,我们曾讨论过无脉冲模的广义线性系统二次最优控制问题,给出了(x~*,u~*)为最优解的充要条件.由于没有涉及到脉冲模的存在,因此     

EXISTENCE AND CONTROLLABILITY FOR NONLINEAR FRACTIONAL CONTROL SYSTEMS WITH DAMPING IN HILBERT SPACES

In this paper, we are concerned with the existence of mild solution and controllability for a class of nonlinear fractional control systems with damping in Hilbert spaces.Our first step is to give the representation of mild solution for this control system by utilizing the general method of Laplace transform and the theory of(α, γ)-regularized families of operators. Next, we study the solvability and controllability of nonlinear fractional control systems with damping under some suitable sufficient conditions. Finally, two examples are given to illustrate the theory.     

ON OPTIMAL BACKWARD PERTURBATION ANALYSIS FOR THE LINEAR SYSTEM WITH BLOCK CYCLIC COEFFICIENT MATRIX

Based on the block style spectral decomposition, this paper deals with the optimal backward perturbation analysis for the linear system with block cyclic coefficient matrix.     

有界线性泛函的近似计算

本文中我们讨论Ｈｉｌｂｅｒｔ这僮中的有界线性泛函的似计算及其误差计算。     

HILBERT空间中散逸动力系统一般线性方法的散逸稳定性

１．引言 １９９４年,Ｓｔｕａｒｔ与 Ｈｕｍｐｈｒｉｅｓ［４,５］首先考察了用 Ｒｕｎｇｅ－Ｋｕｔｔａ方法求解 Ｒｍ中的散逸动力系统（２．１）－（２．２）时数值解是否继承真解具有的散逸稳定性,并表明代数稳定且不可约的 Ｒｕｎｇｅ－Ｋｕｔｔａ方法是散逸稳定的且有一有界吸引集．１９９６年,本文作者［１］把这一工作推广到了两类特殊的一般线性方法．１９９７年,Ｈｉｌｌ在［３］中证明了Ａ－稳定是单支方法散逸稳定的充要条件,在［２］中又把文［４,５］的工作推广到了 Ｈｉｌｂｅｒｔ空间中的散逸动力系统（２．１）－（…     

希尔伯特空间上的李雅普诺夫定理

我们用■(C)记n维欧氏空间 C~n 上的 n×n 阶矩阵全体,其中自共轭矩阵全体记为■_n.关于矩阵的 Lyapunov 定理和 Stein 定理通常分别叙述成Lyapunov 定理.对矩阵 A∈■(C),存在一自共轭矩阵 x∈■_n,且 X>0(正定),使 AX XA~*>0的充要条件是 A 的特征值完全落在复平面的右半开平面内.这里 A~*表示 A 的转置共轭矩阵,而右半开平面是指不包含虚轴的右半平面.     

线性规划内点法中判别最优基的准则

线性规划内点法中判别最优基的准则魏紫銮（中国科学院计算数学与科学工程计算研究所）ＡＮＯＰＴＩＭＡＬＢＡＳＩＳＩＤＥＮＴＩＦＩＣＡＴＩＯＮＣＲＩＴＥＲＩＯＮＦＯＲＩＮＴＥＲＩＯＲＰＯＩＮＴＬＩＮＥＡＲＰＲＯＧＲＡＭＭＩＮＧＡＬＧＯＲＩＴＨＭＳ￥ＷｅｉＺ...     

BIFURCATION RESULTS FOR A SEMILINEAR SCHRODINGER EQUATION WITH INDEFINITE LINEAR PART

This paper studies the following semilinear SchrSdinger problem -Δu v(x)u=λu-g(x)|u|^p-1u,x∈R^N It is proven that there exists a bifurcation branch of solutions for the above problem, when g(x) can possibly vanish except for a bounded domain Ω∈R^N.     

Banach空间中非光滑指标奇异最优控制

本文对于Ｂａｎａｃｈ空间中分布参数系统讨论非光滑指标奇异最优控制问题，利用Ｍｏｏｒｓ－Ｐｅｎｒｏｓｅ广义逆与Ｃｌａｒｋｅ广义梯度证得奇异最优控制的存在性，并给出广义一阶必要条件，推广了Ｌｉｏｎｓ［３］的相应结果．     

A NEW CRITERION FOR STABILITY OF LINEARTIME-DEPENDENT SYSTEM

1IntroductionWhenacontrolsystemisdesignedandanalysed,therearemanyperformanceindexesthatshouldbetakenintoaccount.Amongthem,themostimportantoneisstabilityofthesystem.Fromapracticalpointofview,astablesystemisuseful,whileanunstableoneuseless.Thereforethestudy…     

LINEAR TRANSPORT EQUATION WITH INDEFINITE COLLISION OPERATOR

The operator theory on indefinite inner product spaces is used to discuss the halfrange problem of linear transport equation with indefinite collision operator. A counterexample to [1] is given and a relation between measures of nonuniqueness and noncompleteness is established.     

证券价格长期波动控制系统的最优控制策略

探讨证券价格长期波动控制系统的最优控制问题.建立了在有效市场条件下证券价格长期波动的控制系统模型.为了使证券价格和内在价值按照人们预期的目标变化,探讨了对它们服从的系统采用经典信息结构下的随机最优控制策略问题.设计了使系统的输出跟踪证券内在价值的估计值,同时使调节控制的幅度尽可能小的性能指标,给出了最优控制策略的求解公式和计算过程,并给出了考虑系统性能的计算过程,对相应结果进行了分析.主要结论是:当价值对价格的均衡回归调整不足,或投资者对前期价值的增值预期乐观时,最优控制策略所起的作用在加强;而当价值对价格的均衡回归调整过度,或投资者对前期价值的增值预期悲观时,最优控制策略所起的作用在减弱.这些结果可以为完善证券市场和上市公司的监管提供理论依据     

关于变化再生核希尔伯特空间在线算法的一个注记

本文研究了由高斯核的方差在算法中引起的一些误差,利用再生核的一些特殊性质对这些误差进行分析.这些误差在分析算法的收敛速度时起到了重要的作用.     

ON THE CAUCHY PROBLEM FOR AW-RASCLE SYSTEM WITH LINEAR DAMPING

The existence of global BV solutions for the Aw-Rascle system with linear damping is considered.In order to get approximate solutions we consider the system in Lagrangian coordinates,then by using the wave front tracking method coupling with and suitable splitting algorithm and the ideas of[1]we get a sequence of approximate solutions.Finally we show the convergence of this approximate sequence to the weak entropic solution.