On a Problem of Optimal Stochastic Control with Incomplete Information

We study a problem of Bayesian adaptive control arising in mathematical finance. For this particular problem, we obtain explicit formulas for the value function and the optimal control policy.     

Optimal fields for problems with delays

The theory of optimal fields is developed for optimal control problems in which the state variables are solutions of integral equations with delayed arguments. The maximum principle obtained reflects the effects of the delay in the control argument. The Hamilton-Jacobi equations are derived for this problem.     

An Optimal Control Problem for Flows with Discontinuities

In this paper, we study a design problem for a duct flow with a shock. The presence of the shock causes numerical difficulties. Good shock-capturing schemes with low continuity properties often cannot be combined successfully with efficient optimization methods requiring smooth functions. A remedy studied in this paper is to introduce the shock location as an explicit variable. This allows one to fit the shock and yields a problem with sufficiently smooth functions. We prove the existence of optimal solutions, Fréchet differentiability, and the existence of Lagrange multipliers. In the second part, we introduce and investigate the discrete problem and study the relations between the optimality conditions for the infinite-dimensional problem and the discretized one. This reveals important information for the numerical solution of the problem. Numerical examples are given to demonstrate the theoretical findings.     

Existence and Structure of Optimal Solutions of Infinite-Dimensional Control Problems

In this work we analyze the structure of optimal solutions for a class of infinite-dimensional control systems. We are concerned with the existence of an overtaking optimal trajectory over an infinite horizon. The existence result that we obtain extends the result of Carlson, Haurie, and Jabrane to a situation where the trajectories are not necessarily bounded. Also, we show that an optimal trajectory defined on an interval [0,τ] is contained in a small neighborhood of the optimal steady-state in the weak topology for all t ∈ [0,τ] \backslash E , where E \subset [0,τ] is a measurable set such that the Lebesgue measure of E does not exceed a constant which depends only on the neighborhood of the optimal steady-state and does not depend on τ . Accepted 26 July 2000. Online publication 13 November 2000.     

Forward-backward Stochastic Differential Equations and Backward Linear Quadratic Stochastic Optimal Control Problem

In this paper, we use the solutions of forward-backward stochastic differential equations to get the optimal control for backward stochastic linear quadratic optimal control problem. And we also give the linear feedback regulator for the optimal control problem by using the solutions of a group of Riccati equations.     

带有控制-状态混合约束的时滞Volterra型积分系统的最优控制问题

对带有控制-状态混合约束的一类受控时滞Volterra型积分系统,导出了其最优控制的一组必要条件和一组充分条件．     

A trace regularity result for thermoelastic equations with application to optimal boundary control

We consider a mixed problem for a Kirchoff thermoelastic plate model with clamped boundary conditions. We establish a sharp regularity result for the outer normal derivative of the thermal velocity on the boundary. The proof, based upon interpolation techniques, benefits from the exceptional regularity of traces of solutions to the elastic Kirchoff equation. This result, which complements recent results obtained by the second and third authors, is critical in the study of optimal control problems associated with the thermoelastic system when subject to thermal boundary control. Indeed, the present regularity estimate can be interpreted as a suitable control-theoretic property of the corresponding abstract dynamics, which is crucial to guarantee well-posedness for the associated differential Riccati equations.     

Optimal control of impulsive Volterra equations with variable impulse times

We obtain necessary conditions of optimality for impulsive Volterra integral equations with switching and impulsive controls, with variable impulse time-instants. The present work continues and complements our previous work on impulsive Volterra control with fixed impulse times.     

Fast Solvers of Fredholm Optimal Control Problems

<正>The formulation of optimal control problems governed by Fredholm integral equations of second kind and an efficient computational framework for solving these control problems is presented.Existence and uniqueness of optimal solutions is proved. A collective Gauss-Seidel scheme and a multigrid scheme are discussed.Optimal computational performance of these iterative schemes is proved by local Fourier analysis and demonstrated by results of numerical experiments.     

移动传感器网络中的最大价值路径扫描覆盖算法

扫描覆盖是当前移动传感器网络的一个重要覆盖技术,其主要通过规划移动传感器的巡逻路径对事件兴趣点（Points of Interest,POI）进行定期监测,从而以相对于普通覆盖方案更低廉的成本实现对POI监控．研究最大价值路径扫描覆盖,即使用移动传感器扫描覆盖分布在一条路径上的POI集合,使得被覆盖POI的价值总和达到最大．首先设计了一个基于线性规划随机取整的近似算法,通过将问题松弛并刻画为一个线性规划,然后对线性规划最优解取整得到一个扫描覆盖方案．该算法可在O（mn^3.5L）时间内求解,并具有可证明的近似比1-1/e．其次,通过扩展基于贪心策略的集合覆盖算法,设计了一个时间复杂度为O（m²n²）的贪心算法,其主要思想为循环选取一个单位巡逻范围覆盖POI价值最大的传感器．为优化运行时间,基于MVSCP问题的特殊结构将算法时间进一步改进至O（m log m+mn²）．最后,通过仿真实验分析所设计算法的实际性能.实验结果表明,线性规划随机取整算法运行时间低至整数规划算法的百分之一,但其所求解的质量只略低于整数规划算法;改进的贪心算法虽然不具有可证明的近似比,但其实际所求解的质量并不弱于线性规划随机取整算法,并且具有三者中最佳的运行时间．     

几何随机图大连通分支覆盖面积及其在传感器网络中的应用

随机网络中的大连通分支能体现一个网络的连通情况,是几何随机图研究的-个热点,具有重要的理论意义和应用价值.本文利用渗流理论,研究了几何随机图大连通分支覆盖面积所具有的性质,并将理论结果应用到大型无线传感器网络中,研究了无线传感器网络覆盖的性质.研究结果表明,对于节点服从泊松分布的大型无线传感器网络,其大连通分支覆盖区域大小与总区域大小的比值趋于-个常数,且并估计出了2维空间中没有被大连通分支所覆盖的连通区域(本文称为空洞)的大小.这些结果为衡量无线传感器网络性能提供了理论基础,对实际布网和网络优化等具有一定的指导意义.     

Optimal Decentralized Regulation for a Class of Flow Networks

Optimal decentralized regulation is considered for a class of flow networks where, at each intersection, a selective switch links a single input–output pair at anytime. It is shown that a special case of the above is an urban traffic network with signalized intersection. We analyze first the traffic situation of an isolated intersection based on the point-queuing model of traffic and model the intersection dynamics via two states: either unsaturated or saturated. According to the different traffic characteristics of the two states, we design two intersection controllers and then combine them into one hybrid controller. This hybrid controller is extended to the multi-intersection case and becomes a decentralized hybrid intersection controller. A simulation study is given in this paper and it shows that this decentralized hybrid intersection control method can improve the performance of traffic networks and by extension the performance of more general flow networks.     

一类非平稳随机传递系统的最佳非线性滤波及优化算法

运用最佳非线性滤波方法及优化算法,讨论了一类不完全数据与具有连续时间的非平稳随机过程的最佳控制问题,得到了这两种状态下的两个最佳控制数学模型,给出了这类非平稳随机传递系统的最佳编码与最佳译码的建立方法,为解决这类非平稳随机过程的最佳控制提供了一种有效可靠的解决方法.     

条件平均场随机微分方程的最优控制问题

作者研究了一个条件平均场随机微分方程的最优控制问题.这种方程和某些部分信息下的随机最优控制问题有关,并且可以看做是平均场随机微分方程的推广.作者以庞特里雅金最大值原理的形式给出最优控制满足的必要和充分条件.此外,文中给出一个线性二次最优控制问题来说明理论结果的应用.     

Connection between an Exactly Solvable Stochastic Optimal Control Problem and a Nonlinear Reaction-Diffusion Equation

We present an exactly soluble optimal stochastic control problem involving a diffusive two-states random evolution process and connect it to a nonlinear reaction-diffusion type of equation by using the technique of logarithmic transformations. The work generalizes the recently established connection between the non-linear Boltzmann-like equations introduced by Ruijgrok and Wu and the optimal control of a two-states random evolution process. In the sense of this generalization, the nonlinear reaction-diffusion equation is identified as the natural diffusive generalization of the Ruijgrok–Wu and Boltzmann model.     

Optimal Value and Post Optimal Solution in a Transportation Problem

In this work, we analyse the transportation problem of a real-life situation by obtaining the optimal feasible solutions, thus carrying out the sensitivity analysis of the problem. The work utilises the data obtained from the Asejire and Ikeja plants of Coca-Cola company, aiming to aid decision-making regarding the best possible options to satisfy customers at the barest minimum cost of transportation. Rerunning the optimization of a problem is an expensive scheme for gathering and obtaining enough data required for a problem. Thus, to minimize the transportation cost, the sensitivity analysis of parameters is a good tool to determine the behaviour of some input parameters where the values of these parameters are varied arbitrarily such that optimal results are verified. Maple 18 Software is used to solve the problem and the result obtained is compared with the values evaluated from northwest corner method, least cost method and Vogel''s approximation method. The study critically shows how a little change in a unit or more of any model parameter affects the expected results.     

Hertz接触问题的精确的积分方程

本文给出Hertz接触问题的精确积分方程,也就是将压力作用下接触面中各点的水平位移也考虑在内而得到的积分方程.     

有限时区上的最优转换和停止问题

讨论了有限时区上的最优转换和停止问题,它是一类同时具备脉冲控制和最优停止特征的最优控制问题.问题的最优值以及最优转换和停止决策可以由具有混合障碍的多维反射倒向随机微分方程的解来刻画.接着考虑了形式更一般的反射倒向随机微分方程并证明了方程解的存在唯一性.     

有限时区上的最优转换和停止问题

讨论了有限时区上的最优转换和停止问题,它是一类同时具备脉冲控制和最优停止特征的最优控制问题.问题的最优值以及最优转换和停止决策可以由具有混合障碍的多维反射倒向随机微分方程的解来刻画.接着考虑了形式更一般的反射倒向随机微分方程并证明了方程解的存在唯一性.     

AIS Based Distributed Wireless Sensor Network for Mobile Search and Rescue Robot Tracking

This research presents the implementation of GSCF, an AIS-based control framework, on a distributed wireless sensor network for tracking search and rescue robots in open fields. The General Suppression Control Framework (GSCF) is a framework inspired by the suppression hypothesis of the immune discrimination theory. The framework consists of five distinct components; each carries a specific function that can generate long-term and short-term influences to other components by the use of humoral and cellular signals. The goal of the research is to develop mathematical models that can assist the control and analyses of robots behavior through the use of Suppressor Cells in the Suppression Modulator. Acquire data from the physical robot will be used as simulation parameters in future search and rescue research.