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41.
Haleh Valian Mohsen A. Jafari Davood Golmohammadi 《Annals of Operations Research》2016,239(2):625-641
A control-theoretic decision making system is proposed for an agent (decision maker) to “optimally” allocate and deploy his/her resources over time among a dynamically changing list of opportunities (e.g., financial assets), in an uncertain market environment. The solution is a sequence of actions with the objective of optimizing total reward function. This control-theoretic approach is unique in a sense that it solves the problem at distinct time epochs over a finite time horizon and strategies are discovered directly. Rather than basing a decision making system on forecasts or training via a reinforcement learning algorithm using current state data, we train our system via a Q-learning algorithm using Geometric Brownian Motion as an asset price function. While the above problem is quite general, we focus solely on the problem of dynamic financial portfolio management with the objective of maximizing the expected utility for a given risk level. The performance functions that we consider for our system are realized mean return, drawdown and standard deviation. We find that our model achieves a better return and drawdown compared to a known market index as a benchmark. 相似文献
42.
Velinda Calvert Somayeh Mashayekhi Mohsen Razzaghi 《Mathematical Methods in the Applied Sciences》2016,39(5):1268-1284
In this paper, a numerical method for solving Lane‐Emden type equations, which are nonlinear ordinary differential equations on the semi‐infinite domain, is presented. The method is based upon the modified rational Bernoulli functions; these functions are first introduced. Operational matrices of derivative and product of modified rational Bernoulli functions are then given and are utilized to reduce the solution of the Lane‐Emden type equations to a system of algebraic equations. Illustrative examples are included to demonstrate the validity and applicability of the technique. Copyright © 2015 John Wiley & Sons, Ltd. 相似文献
43.
Optical Review - Importance of simultaneous measurement of temperature and strain by fiber Bragg grating (FBG) sensors has led to innovation of several renewing techniques. Most of them are based... 相似文献
44.
Rani Warsi Sullivan Mohsen Razzaghi Jutima Simsiriwong 《Mathematical Methods in the Applied Sciences》2011,34(2):140-146
The objective of this paper is to present an algorithm from which a rapidly convergent solution is obtained for Volterra integral equations of Hammerstein type. Such equations are often encountered when describing the response of viscoelastic materials where the time dependency of the material properties is often expressed in the form of a convolution integral. Frequently, singularity is encountered and often ignored when dealing with the constitutive equations of viscoelastic materials. In this paper, the singularity is incorporated in the solution and the iterative scheme used to solve the equation converges within six iterations to a typical toleration error of 10?5. The algorithm is applied to the strain response of a polymer under impulsive (constant) loading and the results show excellent correlation between the experimental and analytical solution. Copyright © 2010 John Wiley & Sons, Ltd. 相似文献
45.
In the nonlinear structural analysis, the nonlinear effects are commonly localized and the rest of the structure behaves in a linear manner. Considering this fact, this research work proposes a harmonic balance solution in order to determine the nonlinear response of the structures. The solution is simplified by using an exact dynamic reduction along with the modal expansion technique. This novel approach, which is applicable to both discrete and continuous systems, converts the system equations of motion in each harmonic to a small set of nonlinear algebraic equations. The full set of system equations is reduced to a discrete system with a few generalized degrees of freedom (DOFs) confined to the localized nonlinear regions. The resultant reduced order model is shown to be accurate enough for determining the periodic response. To demonstrate the capability of the proposed method, numerical case studies for continuous and discrete systems, including systems with internal resonance, have been studied and the outcomes are validated with benchmark studies. In addition, the method is applied in the identification process of an experimental test setup with unknown frictional support parameters, and the results are presented and discussed. 相似文献
46.
This paper deals with the optimal control of a one-machine two-product manufacturing system with setup changes, operating in a continuous time dynamic environment. The system is deterministic. When production is switched from one product to the other, a known constant setup time and a setup cost are incurred. Each product has specified constant processing time and constant demand rate, as well as an infinite supply of raw material. The problem is formulated as a feedback control problem. The objective is to minimize the total backlog, inventory and setup costs incurred over a finite horizon. The optimal solution provides the optimal production rate and setup switching epochs as a function of the state of the system (backlog and inventory levels). For the steady state, the optimal cyclic schedule is determined. To solve the transient case, the system's state space is partitioned into mutually exclusive regions such that with each region, the optimal control policy is determined analytically. 相似文献
47.
This paper presents a combination of the hybrid spectral collocation technique and the spectral homotopy analysis method(SHAM for short) for solving the nonlinear boundary value problem(BVP for short) for the electrohydrodynamic flow of a fluid in an ion drag configuration in a circular cylindrical conduit. The accuracy of the present solution is found to be in excellent agreement with the previously published solution. The authors use an averaged residual error to find the optimal convergence-control parameters. Comparisons are made between SHAM generated results, results from literature and Matlab ode45 generated results, and good agreement is observed. 相似文献
48.
Bound states of Dirac fermions in monolayer gapped graphene in the presence of local perturbations 下载免费PDF全文
In graphene,conductance electrons behave as massless relativistic particles and obey an analogue of the Dirac equation in two dimensions with a chiral nature.For this reason,the bounding of electrons in graphene in the form of geometries of quantum dots is impossible.In gapless graphene,due to its unique electronic band structure,there is a minimal conductivity at Dirac points,that is,in the limit of zero doping.This creates a problem for using such a highly motivated new material in electronic devices.One of the ways to overcome this problem is the creation of a band gap in the graphene band structure,which is made by inversion symmetry breaking(symmetry of sublattices).We investigate the confined states of the massless Dirac fermions in an impured graphene by the short-range perturbations for "local chemical potential" and "local gap".The calculated energy spectrum exhibits quite different features with and without the perturbations.A characteristic equation for bound states(BSs) has been obtained.It is surprisingly found that the relation between the radial functions of sublattices wave functions,i.e.,f_m~+(r),g_m~+(r),and f_m~-(r),g_m~-(r),can be established by SO(2) group. 相似文献
49.
This paper presents a hierarchical regression type model for analyzing the dependency of sample extremes on time, space and a covariate effect. The model is based on the assumption that the observations follow independently a generalized extreme value distribution given location, scale and shape parameters. Then a multivariate spatial process is considered to accommodate the association and spatial correlation in the distribution parameters. The mean of the process incorporates the underlying dynamics which is elaborated on the lower stage of hierarchy. Finally, three spatio-temporal dynamic linear models drive independently this mean function to take the variations in the parameters separately into account. In a Bayesian setting, the model structure leads to parallel implementation of the Markov chain Monte Carlo algorithm in a sense that it is less time consuming. Our methodology is applied to the monthly maxima of wind speed with temperature as a covariate for which the relationship is expressed in terms of a penalized spline regression model. The comparison of the proposed model with several simpler ones suggests considerable improvements in wind speed analysis. 相似文献
50.
Mohsen Miraoui 《Mathematical Methods in the Applied Sciences》2017,40(13):4716-4726
In this article, a new approach for pseudo almost periodic solution under the measure theory, under Acquistpace‐Terreni conditions. We make extensive use of interpolation spaces and exponential dichotomy techniques to obtain the existence of μ‐pseudo almost periodic solutions to some classes of nonautonomous partial evolution equations. For illustration, we propose some application to a nonautonomous heat equation. Copyright © 2017 John Wiley & Sons, Ltd. 相似文献