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Linear quadratic regulation of polytopic time-inhomogeneous Markov jump linear systems (extended version)
[article]
2019
arXiv
pre-print
Preserved Fulltext
We take into account this aspect by considering Markov jump linear systems where the underlying Markov chain is polytopic and time-inhomogeneous, i.e. its transition probability matrix is varying over ...
In most real cases transition probabilities between operational modes of Markov jump linear systems cannot be computed exactly and are time-varying. ...
In fact, there exists a considerable number of works on discretetime Markov jump systems (both linear and nonlinear) with polytopic uncertainties, which can be either time-varying or time-invariant, as ...
arXiv:1903.03091v1
fatcat:j64eudp7dvhplj6ik2dmz4o3au
A Probabilistic Characterization of Random and Malicious Communication Failures in Multi-Hop Networked Control
[article]
2018
arXiv
pre-print
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The control problem of a linear discrete-time dynamical system over a multi-hop network is explored. ...
We obtain a sufficient condition for the stability of the networked control system by utilizing our probabilistic approach. ...
., “Optimal robust control and a separation
principle for polytopic time-inhomogeneous Markov jump linear systems,” in Proc. IEEE
Conf. Dec. Contr., pp. 6525–6530, 2017.
[37] A. ...
arXiv:1711.06855v3
fatcat:kraef7mnfvhfbj5heg4hlray3q
Central Limit Model Checking
[article]
2018
arXiv
pre-print
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This allows us to derive an abstraction in terms of a time-inhomogeneous discrete-time Markov chain (DTMC), whose dimension is independent of the number of species, on which model checking is performed ...
Our methods can be used for formal analysis of a wide range of distributed stochastic systems, including biochemical systems, sensor networks and population protocols. ...
Principles of model checking, volume 26202649. MIT
press Cambridge, 2008.
11. D. P. Bertsekas and S. Shreve. Stochastic optimal control: the discrete-time case.
2004.
12. P. Billingsley. ...
arXiv:1804.08744v1
fatcat:vl2f23usa5bkfdargq2l3ujlmu
[IEEE Robotics & Automation Society]
2012
IEEE robotics & automation magazine
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in a finite time.
16:20-16:40
ThB5.5
Robust Control and Computation Issues for a Class of
Linear Multivariable Uncertain Systems (I), pp. 1023-1028
Kosmidou, Olga
Democritus Univ. of Thrace ...
state feedback switched control design problem for discrete-time switched linear systems. ...
doi:10.1109/mra.2012.2229854
fatcat:rjrxtwk4jbcgjpvjdad6mougsq
IEEE Robotics & Automation Society
2012
IEEE robotics & automation magazine
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in a finite time.
16:20-16:40
ThB5.5
Robust Control and Computation Issues for a Class of
Linear Multivariable Uncertain Systems (I), pp. 1023-1028
Kosmidou, Olga
Democritus Univ. of Thrace ...
state feedback switched control design problem for discrete-time switched linear systems. ...
doi:10.1109/mra.2012.2230568
fatcat:33actbknxrel3jnag2kx7cncem
IEEE Robotics & Automation Society
2011
IEEE robotics & automation magazine
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in a finite time.
16:20-16:40
ThB5.5
Robust Control and Computation Issues for a Class of
Linear Multivariable Uncertain Systems (I), pp. 1023-1028
Kosmidou, Olga
Democritus Univ. of Thrace ...
state feedback switched control design problem for discrete-time switched linear systems. ...
doi:10.1109/mra.2011.941112
fatcat:owvu2behc5hulpcae2dp5myigm
IEEE Robotics & Automation Society
2011
IEEE robotics & automation magazine
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in a finite time.
16:20-16:40
ThB5.5
Robust Control and Computation Issues for a Class of
Linear Multivariable Uncertain Systems (I), pp. 1023-1028
Kosmidou, Olga
Democritus Univ. of Thrace ...
state feedback switched control design problem for discrete-time switched linear systems. ...
doi:10.1109/mra.2011.943480
fatcat:d2wvloyv6jcbzp2yathd52mx2u
The Vessel Schedule Recovery Problem (VSRP) – A MIP model for handling disruptions in liner shipping
2013
European Journal of Operational Research
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A major focus in EWO is the optimization of manufacturing plants as part of the overall optimization of the supply chain. Major operational items include production planning, scheduling, and control. ...
This talk provides an overview of major modeling and computational challenges in the development of deterministic and stochastic linear/nonlinear mixedinteger optimization models for planning and scheduling ...
-Optimal Dynamic Tax Evasion: A Portfolio Approach Francesco Menoncin, Economics, Brescia University, Via S. Faustino, 74/B, 25122, Brescia, Italy, menoncin@eco.unibs.it, Rosella Levaggi ...
doi:10.1016/j.ejor.2012.08.016
fatcat:c27kagfnxnhjfbil2rydhjhomm
On Fitting Finite Dirichlet Mixture Using ECM and MML
[chapter]
2005
Lecture Notes in Computer Science
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The system is analysed for different active periods corresponding to the service time of an M/G/1 queue and the busy period of an M/G/1 queue. ...
During active periods, which are controlled by an exponential timer, there is a steady inflow into the fluid buffer at rate c0 and there is a steady outflow at rate c1 from the system when the buffer is ...
The asymptotics in K is obtained by proving the Large Deviations Principle (LDP) and solving a control problem. ...
doi:10.1007/11551188_19
fatcat:gtzi5u6emvfyxea3zbklobnvom
Author index to volumes 261–280
1998
Linear Algebra and its Applications
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Nichols, Modal coupling in linear control systems using robust eigenstructure assignment 2755276 (1998) 359 Liu, B., see Cheng, B. 277 (1998) 83 Liu, J. and L. ...
Sreeram, A new characterization on stability bounds for singularly perturbed systems 263 (1997) 377-388 Logemann, H., Destabilising effects of small time delays on feedback controlled descriptor systems ...
doi:10.1016/s0024-3795(98)10141-6
fatcat:c65ue3ajqzhj3k2ov4kivfcde4
Index
1999
Linear Algebra and its Applications
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Yang and C.B. Soh, Robust controllability and robust closedloop stability with static output feedback for a class of uncertain descriptor systems 297 (1999) 133 Lin, C. ...
for linear time-varying systems 203±206 (1994) 385 Feldmann, S. and G. ...
., Rotation and Lorentz transformations in 2´2 and 2´4 complex matrices and in polarized-light physics 254 (1997) 383 Nowicki, A., On the nonexistence of rational ®rst integrals for systems of linear dierential ...
doi:10.1016/s0024-3795(99)00243-8
fatcat:xz5sbc3lzngydobg3ln6xp2cum
Fourier's Method of Linear Programming and Its Dual
1986
The American mathematical monthly
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60Jxx
Markov processes
60J05
Discrete-time Markov processes on general state spaces
60J10
Markov chains (discrete-time Markov processes on discrete state
spaces)
60J20
Applications of Markov chains ...
optimal control problems [See also 93C05]
49N10
Linear-quadratic problems
49N15
Duality theory
49N20
Periodic optimization
49N25
Impulsive optimal control problems
49N30
Problems with incomplete ...
twistor methods; Newman-Penrose formalism 83C65 Methods of noncommutative geometry [See also 58B34] 83C75 Space-time singularities, cosmic censorship, etc. 83C80 Analogues in lower dimensions 83C99 None ...
doi:10.2307/2322281
fatcat:yvhgyh2epbcwdoqdhuaopkcrue
Numerical Stabilization of the Melt Front for Laser Beam Cutting
[chapter]
2010
Numerical Mathematics and Advanced Applications 2009
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The resulting linear systems are solved alternatively by the Multigrid method and Krylov subspace methods. We treat two types of boundary conditions: Dirichlet and natural boundary condition. ...
We use non-conforming Cruzeix Raviart elements for velocity, piecewise constant elements for pressure, and linear Lagrange elements for concentration. ...
Multigrid Methods for Elliptic Optimal Control Problems with Neumann Boundary Control The proposed approach is based on the optimality system, which, for the model problem, leads to a linear system for ...
doi:10.1007/978-3-642-11795-4_6
fatcat:nx4nvuxaxfbcdjknopny53ck5e
Author index to volumes 301–400
2005
Linear Algebra and its Applications
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Koltchinskii, Statistical learning methods in linear algebra and control problems: the example of finite-time control of uncertain linear systems 351-352 (2002) 11 Abdel-Ghaffar, K.A.S., The determinant ...
Horváth and G. Horváth, Analysis of inhomogeneous Markov reward models 386 (2004) 383 ten Berge, J.M.F., N.D. ...
doi:10.1016/s0024-3795(05)00125-4
fatcat:mrc33u36wnh57lis5jwcb7bmaa
Arbitrage-free neural-SDE market models
[article]
2021
arXiv
pre-print
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2021 pre-print arXiv:2105.11053v1 fatcat:6vrmxprtwfcdvca3fvjwrhwtfq
We derive a state space for prices which are free from static (or model-independent) arbitrage and study the inference problem where a model is learnt from discrete time series data of stock and option ...
We use neural networks as function approximators for the drift and diffusion of the modelled SDE system, and impose constraints on the neural nets such that no-arbitrage conditions are preserved. ...
We thank Florian Huchede, Director of Quantitative Risk Management, and other colleagues at CME Group for providing valuable data access, suggestions from the business perspective, and continued support ...
arXiv:2105.11053v2
fatcat:vq2irmmm6zbctmzvnovxf4kv6e
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