Bioeconomic modelling of a three-species fishery with switching effect

This paper aims to study the problem of combined harvesting of a system involving one predator and two prey species fishery in which the predator feeds more intensively on the more abundant species. Mathematical formulation of the optimal harvest policy is given and its solution is derived in the equiblibrium case by using Pontryagin's Maximum principle. Dynamic optimization of the harvest policy is also discussed by takingE(t), the combined harvest effort, as a dynamic variable. Biological and bioeconomic interpretations of the results associated with the optimal equilibirum solution are explained. The significance of the constraints required for the existence of an optimal singular control are also given.     

Singular control of delay systems

A necessary condition, equivalent to Jacobson's condition, for optimality of a singular control is derived for systems represented by difference-differential equations.     

Joint project of fishery and poultry - A bioeconomic model

This paper considers the optimal joint harvest of prawns and poultry in a linked bioeconomic system. Through the cultivation process, poultry and prawns are reciprocal predators of one another. Prawns of non-marketable quality are fed to the birds, and birds which perish (in greater numbers in the face of increased density) are fed to prawns, along with a lot of other things that one does not usually consider prawns to eat (hogs, broken rice, etc.). The paper derives optimality conditions for the joint “effort” imposed in each of these industries, where effort is somehow analogous to the control variable in classical Gordon-Schaefer fishery problems. Growth of both species is governed by parameters as well as externally applied nutrients and the biomass of the other species available as supplemental nutrition. Analysis of the boundedness of this dynamical system is discussed. The conditions for local and global stability are derived. Finally, an optimal harvesting policy is discussed by applying Pontryagin’s Maximal Principle. Due to linearity of the objective function with respect to the control variable, the solution is bang-bang in this control and the best policy is to reach the singular equilibrium as quickly as possible by switching to the singular control.     

Optimal Market Making in the Foreign Exchange Market

Abstract

This paper is concerned with optimal market making in the foreign exchange market. The market maker's holdings in the different currencies are modelled as stochastic processes that are influenced by both the stochastic exchange rates and the stochastic customer buy and sell orders. The market maker can control their own bid and ask price quotes and, additionally, can buy and sell at other market participants' quotes. The resulting stochastic control problem consists of a controlled diffusion problem for the optimal quotes and a singular control problem for optimal trades at other market participants' quotes. A Markov chain approximation is used to derive optimal strategies.     

Silnikov's orbit in coupled Duffing's systems

The existence of Silnikov's orbit is demonstrated in coupled Duffing's equation using Melnikov's method and Geometrical singular perturbation theory. The numerical simulations are also given for a special coupled Duffing's system.     

Modified deflation algorithm for the solution of singular problems. II. Nonlinear multipoint boundary value problems

Various kinds of iterative methods have been proposed for the solution of nonlinear multipoint boundary-value problems MPBVP's. However, it is necessary for these methods that the adjusting matrix, which corresponds to the Jacobian of nonlinear equations, is nonsingular at the solution. In this paper an algorithm for the singular solution of nonlinear MPBVP's, which is an extension of the modified deflation algorithm for the singular root of nonlinear algebraic equations developed by the author is presented. According to the present method, the singular solution can ultimately be reduced to the usual simple solution and both convergency and accuracy can greatly be improved. The effectiveness of the present method is shown by solving two illustrative examples.     

Optimizing venture capital investments in a jump diffusion model

We study two practical optimization problems in relation to venture capital investments and/or Research and Development (R&D) investments. In the first problem, given the amount of the initial investment and the cash flow structure at the initial public offering (IPO), the venture capitalist wants to maximize overall discounted cash flows after subtracting subsequent investments, which keep the invested company solvent. We describe this problem as a mixture of singular stochastic control and optimal stopping problems. The second problem is concerned with optimal dividend policy. Rather than selling the company at an IPO, the investor may want to harvest technological achievements in the form of dividend when it is appropriate. The optimal control policy in this problem is a mixture of singular and impulse controls. E. Bayraktar was supported in part by the National Science Foundation, under grant DMS-0604491.     

An optimal policy for a fish harvest

A dynamical model for harvesting a fish population system is proposed by introducing control into the known Verhulst-Pearl model. An optimal control problem including some parameters is stated, and the usual necessary conditions are applied. For specific parameter values, the candidate control policy is deduced, and optimality is verified by applying a sufficiency theorem. The optimal trajectories may contain maximum and minimum control arcs as well as a singular subarc. The significance of the singular arc is interpreted in terms of the system dynamics.     

Minimum-fuel rocket trajectories involving intermediate-thrust arcs

The optimal trajectories in the neighborhood of an optimal intermediate-thrust arc are investigated for the minimumfuel orbit rendezvous problem with fixed specific impulse. Since such an arc is singular, the thrust acceleration magnitude being the singular control component, a second-variation analysis leads to the identification of a field of neighboring, singular arcs in a state space of dimension four rather than six, provided that a suitable Jacobi condition is met. A given neighboring initial six-dimensional state vector does not generally lie on a neighboring singular arc, and junction onto the appropriate singular arc must be accomplished by a short period of strong variations in the acceleration. This contributes an addition to the fuel expenditure which is of order 5/2 rather than 2 in the initial state displacement. The minimization of this higher-order cost, in the case of bounded acceleration, leads to an unsymmetrical version of Fuller's problem, whose solution requires an infinite number of switches between maximum and zero thrust during the short period. For unbounded thrust, the junction simplifies to either coast-impulse-singular trajectories or impulse-coast-impulse-singular trajectories. The neighboring singular arc meets the final condition in 4 dimensions, rather than 6 dimensions, and rendezvous must be completed by another, terminal short period of strong variations in the acceleration. Implications for midcourse guidance near a singular arc are discussed.     

The Blackett Memorial Lecture: 3rd December 1998

This paper analyses Patrick Blackett's role as an adviser on science and technology policy to the Labour Party in the 1950s and 1960s. It highlights his advocacy of an interventionist stance on the part of government by reference to his belief that British industrial performance was being affected adversely by a misallocation of R&D resources in favour of the military-defence sector at the expense of civilian manufacturing industry. This serves as a prelude to an appraisal of Blackett's career as an official adviser on industrial policy to the Labour Governments in office between 1964 and 1970. During that time Blackett fulfilled key roles in the formation of the new Ministry of Technology and the Industrial Reorganisation Corporation. The overall conclusion is that despite Blackett's dual status as the ‘father of OR’ and the leading scientist of the left, his effectiveness was limited by a naïve belief in the relevance of a policy stance validated by reference to his experiences in operational research during the Second World War. It was simply not possible to replicate in a peacetime economy, subject to democratic checks and balances, the extreme centralised control characteristic of total war.     

Liquidity risk and optimal dividend/investment strategies

In this paper, we study the problem of determining an optimal control on the dividend and investment policy of a firm operating under uncertain environment and risk constraints. We allow the company to make investment decisions by acquiring or selling producing assets whose value is governed by a stochastic process. The firm may face liquidity costs when it decides to buy or sell assets. We formulate this problem as a multi-dimensional mixed singular and multi-switching control problem and use a viscosity solution approach. We numerically compute our optimal strategies and enrich our studies with numerical results and illustrations.     

Saddle-point equilibrium sequence in one class of singular infinite horizon zero-sum linear-quadratic differential games with state delays

ABSTRACT

We consider an infinite horizon zero-sum linear-quadratic differential game with state delays in the dynamics. The cost functional of this game does not contain a control cost of the minimizing player (the minimizer), meaning that the considered game is singular. For this game, definitions of the saddle-point equilibrium and the game value are proposed. These saddle-point equilibrium and game value are obtained by a regularization of the singular game. Namely, we associate this game with a new differential game for the same equation of dynamics. The cost functional in the new game is the sum of the original cost functional and an infinite horizon integral of the square of the minimizer's control with a small positive weight coefficient. This new game is regular, and it is a cheap control game. An asymptotic analysis of this cheap control game is carried out. Using this asymptotic analysis, the existence of the saddle-point equilibrium and the value of the original game is established, and their expressions are derived. Illustrative example is presented.     

An Acceleration Method in the Homotopy Newton's Continuation for Nonlinear Singular Problems

The nonlinear singular problem $f(u)=0$ is considered. Here $f$ is a $C^3$ mapping from $E^n$ to $E^n$. The Jacobian matrix $f'(u)$ is singular at the solution $u^*$ of $f(u)=0$. A new acceleration method in the homotopy Newton's continuation is proposed. The quadratic convergence of the new algorithm is proved. A numerical example is given.     

An Experimental Study of Inertial Waves in a Closed Cone

An experimental study of inertial waves in a closed cone is presented in which the inertial waves are excited by a slight periodic oscillation superimposed on the cone's basic rotation rate. The dynamic pressure field is measured along the cone's rotation axis; no standing modal structure is observed, confirming Greenspan's (1969) argument that the closed cone appears open to inertial oscillations and the inertial wave spectrum is continuous. Similar pressure measurements made in the frustum of a right circular cone show that removal of the singular apex of the cone leads to standing wave modes.     

Kostant's convexity theorem and the compact classical groups

The relationship between the classical Schur-Horn's theorem on the diagonal elements of a Hermitian matrix with prescribed eigenvalues and Kostant's convexity theorem in the context of Lie groups. By using Kostant's convexity theorem, we work out the statements on the special orthogonal group and the symplectic group explicitly. Schur-Horn's result can be stated in terms of a set of inequalities. The counterpart in the Lie-theoretic context is related to a partial ordering, introduced by Atiyah and Bott, defined on the closed fundamental Weyl chamber. Some results of Thompson on the diagonal elements of a matrix with prescribed singular values are recovered. Thompson-Poon's theorem on the convex hull of Hermitian matrices with prescribed eigenvalues is also generalized. Then a result of Atiyah-Bott is recovered.     

Centralisers in Surface Braid Groups

Abstract

Let Σ be an orientable surface. We generalise Fenn–Rolfsen–Zhu's results on centralisers of singular braids on the disk to singular braids on Σ. As a corollary, we derive a simple and geometric proof of the fact that the word problem is solvable in the monoid of singular braids on n strands on Σ.     

Approximated Solution of a Nonlinear Singular Equation of Prandtl's Type

A nonlinear strongly singular integral equation, which can be reduced to a nonlinear singular integro-differential equation of Prandtl's type, is considered. A collocation method for solution is treated and the convergence of the approximated solution to the unique solution of the nonlinear integral equation is proved.     

On the mathematical foundations of hyperthermia therapy

Hyperthermia is an aid to standard cancer therapy. The aim is to heat up a tumour region inside the patient's body with the help of microwave radiation. The microwayes are generated by some suitable antenna array. Here we investigate the control properties of such antenna configurations and determine their resolution capabilities. We will define the hyperthermia operator, which can produce every field of any antenna array up to any degree of accuracy. We shall see that this operator is compact and we are able to compute a singular system under general assumptions explicitly. This, together with a detailed knowledge of the decay of the singular values, constitutes the tools with which we treat the previously stated problems. We examine the propagation of microwave radiation in homogeneous media and then carry over the results obtained to the case of inhomogeneous media.     

Iterative methods for the solution of a singular control formulation of a GMWB pricing problem

Discretized singular control problems in finance result in highly nonlinear algebraic equations which must be solved at each timestep. We consider a singular stochastic control problem arising in pricing a guaranteed minimum withdrawal benefit (GMWB), where the underlying asset is assumed to follow a jump diffusion process. We use a scaled direct control formulation of the singular control problem and examine the conditions required to ensure that a fast fixed point policy iteration scheme converges. Our methods take advantage of the special structure of the GMWB problem in order to obtain a rapidly convergent iteration. The direct control method has a scaling parameter which must be set by the user. We give estimates for bounds on the scaling parameter so that convergence can be expected in the presence of round-off error. Example computations verify that these estimates are of the correct order. Finally, we compare the scaled direct control formulation to a formulation based on a block version of the penalty method (Huang and Forsyth in IMA J Numer Anal 32:320?C351, 2012). We show that the scaled direct control method has some advantages over the penalty method.     

Numerical Verification of Solutions of Periodic Integral Equations with a Singular Kernel

This paper proposes the method of numerical verification of solutions of a periodic integral equation with a logarithmic singular kernel, which is typically found in some two-dimensional potential problems. The verification method utilizes a property of the singular integral for trigonometric polynomials, the periodic Sobolev space and Schauder's fixed point theorem.