Control of the spectrum of irregular oscillations of linear systems with coinciding ranks of the matrix multiplying the control and the extended matrix

We consider a linear periodic control system such that the ranks of the matrix multiplying the control and the extended matrix consisting of the averaged coefficient matrix and the matrix multiplying the control are the same. We assume that the control has the form of feedback linear in the state variables and is periodic with the same period as the system itself. We pose the problem of control of the frequency spectrum of strongly irregular periodic oscillations with an objective set, that is, the problem of finding a feedback coefficient such that the closed system has a strongly irregular periodic solution with the desired frequencies. We obtain necessary and sufficient conditions for the solvability of this problem.     

A crystal with a singular potential in a homogeneous electric field

We study the asymptotic behavior of solutions to the one-dimensional Schrödinger equation -ψ″+d(x)ψ-Fxψ=Eψ for large arguments. We assume that the potential q is a periodic function and is absolutely integrable over the period. We show that the spectral problem for the original Schrödinger equation can be reduced to the spectral problem for a discrete system. If the potential q is smooth, the transition matrix tends to the unit matrix rapidly; if q is not smooth, the transition matrix tends to the unit matrix slowly, and the discrete system demonstrates random properties. This explains why the spectrum of the original equation has remained practically unexplored.     

Asynchronous pole assignment for linear systems with blocks of incomplete rank

We consider a linear periodic control system with constant matrix multiplying the control in the critical case under the assumption that the mean of the coefficient matrix is block triangular and some blocks of its nonstationary part have incomplete column rank. A linear state feedback control periodic with the same period as the system itself is considered. We obtain necessary and sufficient conditions for the solvability of the asynchronous pole assignment problem, that is, the problem of finding a feedback factor such that the closed-loop system has a strongly irregular periodic solution with desired frequencies.     

关于周期对称三对角矩阵的广义特征值反问题

在给定部分特征值、部分特征向量及附加条件下提出了一类反问题,并给出了此问题解存在性的证明及求解的算法.     

Portfolio selection under VaR constraints

In this paper we show that by assuming a constant variance/covariance matrix over the holding period, the VaR limits can often be exceeded within the relevant horizon period. To minimize this risk, we formulate the problem in terms of portfolio selection and propose an innovative methodology using conditional VaR that minimizes the VaR at each point of the holding period. We rewrite the optimisation problem by taking into consideration the variability of risk on all assets eligible to be included in the portfolio.JEL Classification: C150, G110     

A matrix pencil approach to the existence of compactly supported reconstruction functions in average sampling

The aim of this work is to solve a question raised for average sampling in shift-invariant spaces by using the well-known matrix pencil theory. In many common situations in sampling theory, the available data are samples of some convolution operator acting on the function itself: this leads to the problem of average sampling, also known as generalized sampling. In this paper we deal with the existence of a sampling formula involving these samples and having reconstruction functions with compact support. Thus, low computational complexity is involved and truncation errors are avoided. In practice, it is accomplished by means of a FIR filter bank. An answer is given in the light of the generalized sampling theory by using the oversampling technique: more samples than strictly necessary are used. The original problem reduces to finding a polynomial left inverse of a polynomial matrix intimately related to the sampling problem which, for a suitable choice of the sampling period, becomes a matrix pencil. This matrix pencil approach allows us to obtain a practical method for computing the compactly supported reconstruction functions for the important case where the oversampling rate is minimum. Moreover, the optimality of the obtained solution is established.     

Spectrum control problem for strongly irregular periodic vibrations of linear systems with zero mean of the coefficient matrix

We consider a linear periodic control system with zero mean of the coefficient matrix and with linear state feedback control periodic with the same period. We obtain necessary and sufficient conditions for the solvability of the frequency spectrum control problem with a given goal set for strongly irregular periodic vibrations. In this problem, one should find a feedback coefficient such that the closed system has a strongly irregular periodic solution with the desired frequencies.     

Multiperiod portfolio optimization models in stochastic markets using the mean–variance approach

We consider several multiperiod portfolio optimization models where the market consists of a riskless asset and several risky assets. The returns in any period are random with a mean vector and a covariance matrix that depend on the prevailing economic conditions in the market during that period. An important feature of our model is that the stochastic evolution of the market is described by a Markov chain with perfectly observable states. Various models involving the safety-first approach, coefficient of variation and quadratic utility functions are considered where the objective functions depend only on the mean and the variance of the final wealth. An auxiliary problem that generates the same efficient frontier as our formulations is solved using dynamic programming to identify optimal portfolio management policies for each problem. Illustrative cases are presented to demonstrate the solution procedure with an interpretation of the optimal policies.     

The single server semi-markov queue

A general model for the single server semi-Markov queue is studied. Its solution is reduced to a matrix factorization problem. Given this factorization, results are obtained for the distributions of actual and virtual waiting times, queue lengths both at arrival epochs and in continuous time, the number of customers during a busy period, its length and the length of a busy cycle. Two examples are discussed for which explicit factorizations have been obtained.     

Asynchronous pole assignment for linear systems with independent blocks

We consider a linear periodic control system with linearly independent column bases of the blocks of the coefficient matrix, which has zero mean value and admits a block triangular representation. For the case of a linear state feedback control periodic with the same period as the system itself, we obtain necessary and sufficient conditions for the solvability of the asynchronous pole assignment problem, i.e., the problem of finding a feedback coefficient such that the closed-loop system has a strongly irregular periodic solution with the desired frequencies.     

Minimizing the condition number of a positive definite matrix by completion

Summary. We consider the problem of minimizing the spectral condition number of a positive definite matrix by completion: \noindent where is an Hermitian positive definite matrix, a matrix and is a free Hermitian matrix. We reduce this problem to an optimization problem for a convex function in one variable. Using the minimal solution of this problem we characterize the complete set of matrices that give the minimum condition number. Received October 15, 1993     

套汇问题研究

把套汇问题转化为网络规划中找负回路问题,用F loyd算法解决了套汇问题.讨论了避免套汇兑换率矩阵必须是正互反矩阵的结论,以及给出了兑换率矩阵调整为正互反矩阵的方法.     

0-1对策的完全混合Nash均衡的代数求解法

将求解一般0-1策略对策的完全混合Nash均衡的问题转化为求解根为正的纯小数的高次代数方程组的问题.作为一种特殊而重要的情形,利用Pascal矩阵,Newton矩阵(对角元素为Newton二项式系数的对角矩阵)和Pascal-Newton矩阵(Pascal矩阵和Newton矩阵的逆阵的乘积)将求解对称0-1对策的完全混合Nash均衡的问题转化为求解根为正的纯小数的高次代数方程的问题,并给出第二问题的反问题(由完全混合Nash均衡求解对称0-1对策族)的求解方法.同时,给出了一些算例来说明对应问题的算法.     

The community problem for Stieltjes matrices

The communality problem in factor analysis is that of reducing the diagonal elements of a correlation matrix so that the resulting matrix will be positive semidefinite and of minimum rank. The problem is well studied, but no effective solution procedures have been devised. In this paper, we propose a variant problem and give an algorithm for its solution. We prove that a solution to this problem also solves the communality problem if the correlation matrix is Stieltjes.     

Control of asynchronous spectrum of linear systems with a two-sided dependence of blocks of complete column rank

We consider a linear periodic control system with a two-sided dependence of blocks of complete column rank in the nonstationary component of the coefficient matrix in the critical case. In this case, the nontrivial intersection of vector subspaces formed by linear spans of the columns in the blocks can be arbitrary. We assume that the control is given in the form of feedback linear in the state variables and is periodic with the period of the system. We derive necessary and sufficient conditions for the solvability of the control problem for the asynchronous spectrum, that is, the problem of finding a feedback coefficient such that the closed system has a strongly irregular periodic solution with the desired frequencies.     

The Inverse Problem Method on the Half-Line and a Nested System of Riccati Equations

A mixed problem for the nonlinear Bogoyavlenskii system on the half-line is studied by the inverse problem method. The solution of the mixed problem is reduced to the solution of the inverse spectral problem of recovering a forth-order differential operator on the half-line from the Weyl matrix. We derive evolution equations for the elements of the Weyl matrix and give an algorithm for the solution of the mixed problem. Evolution equations of the elements of the Weyl matrix are nonlinear. It is shown that they can be reduced to a nested system of three successively solvable matrix Riccati equations.     

The Wiener maximum quadratic assignment problem

We investigate a special case of the maximum quadratic assignment problem where one matrix is a product matrix and the other matrix is the distance matrix of a one-dimensional point set. We show that this special case, which we call the Wiener maximum quadratic assignment problem, is NP-hard in the ordinary sense and solvable in pseudo-polynomial time.Our approach also yields a polynomial time solution for the following problem from chemical graph theory: find a tree that maximizes the Wiener index among all trees with a prescribed degree sequence. This settles an open problem from the literature.     

改进蚁群算法优化周期性车辆路径问题

周期性车辆路径问题(PVRP)是标准车辆路径问题(VRP)的扩展,PVRP将配送期由单一配送期延伸到T(T＞1)期,因此,PVRP需要优化每个配送期的顾客组合和配送路径。由于PVRP是一个内嵌VRP的问题,其比标准VRP问题更加复杂,难于求解。本文采用蚁群算法对PVRP进行求解,并提出采用两种改进措施——多维信息素的运用和基于扫描法的局部优化方法来提高算法的性能。最后,通过9个经典PVRP算例对该算法进行了数据实验,结果表明本文提出的改进蚁群算法求解PVRP问题是可行有效的,同时也表明两种改进措施可以显著提高算法的性能。     

MATRIX EQUATION AXB = E WITH PX = sXP CONSTRAINT

The matrix equation AXB = E with the constraint PX=sXP is considered,where P is a given Hermitian matrix satisfying p~2=I and s=±1.By an eigenvalue decomposition of P,the constrained problem can be equivalently transformed to a well-known unconstrained problem of matrix equation whose coefficient matrices contain the corresponding eigenvector, and hence the constrained problem can be solved in terms of the eigenvectors of P.A simple and eigenvector-free formula of the general solutions to the constrained problem by generalized inverses of the coefficient matrices A and B is presented.Moreover,a similar problem of the matrix equation with generalized constraint is discussed.     

Rational matrix approximation with a priori error bounds for non-symmetric matrix Riccati equations with analytic coefficients

In this paper the exact solution of the non-symmetric matrixRiccati equation with analytic coefficients is approximatedby a rational matrix function with a prefixed accuracy. Thisrational matrix function is locally defined as the exact solutionof a Riccati problem with matrix polynomial coefficients obtainedby truncation of the Taylor expansions of the matrix coefficientsof the original problem.