A numerical method of matrix spectral factorization
A numerical procedure for filtering and efficient high-order signal differentiation
In this paper, we propose a numerical algorithm for filtering and robust signal differentiation. The numerical procedure is based on the solution of a simplified linear optimization problem. A compromise between smoothing and fidelity with respect to the measurable data is achieved by the computation of an optimal regularization parameter that minimizes the Generalized Cross Validation criterion (GCV). Simulation results are given to highlight the effectiveness of the proposed procedure.
A parallel projection method for linear algebraic systems
A direct projection method for solving systems of linear algebraic equations is described. The algorithm is equivalent to the algorithm for minimization of the corresponding quadratic function and can be generalized for the minimization of a strictly convex function.
A penalty method for deriving necessary conditions in problems of optimal control
A pencil approach to high gain feedback and generalized state space systems
A pension fund in the accumulation phase: a stochastic control approach
In this paper we propose and study a continuous time stochastic model of optimal allocation for a defined contribution pension fund in the accumulation phase. The level of wealth is constrained to stay above a "solvency level". The fund manager can invest in a riskless asset and in a risky asset, but borrowing and short selling are prohibited. The model is naturally formulated as an optimal stochastic control problem with state constraints and is treated by the dynamic programming approach. We show...
A perturbation approach to approximate value iteration for average cost Markov decision processes with Borel spaces and bounded costs
The present paper studies the approximate value iteration (AVI) algorithm for the average cost criterion with bounded costs and Borel spaces. It is shown the convergence of the algorithm and provided a performance bound assuming that the model satisfies a standard continuity-compactness assumption and a uniform ergodicity condition. This is done for the class of approximation procedures that can be represented by linear positive operators which give exact representation of constant functions and...
A pole assignment technique for multivariable systems with input delay
A polynomial solution to regulation and tracking. I. Deterministic problem
A polynomial solution to regulation and tracking. II. Stochastic problem
A possibilistic view on set and multiset comparison
A Posteriori Error Estimation for Reduced Order Solutions of Parametrized Parabolic Optimal Control Problems
We consider the efficient and reliable solution of linear-quadratic optimal control problems governed by parametrized parabolic partial differential equations. To this end, we employ the reduced basis method as a low-dimensional surrogate model to solve the optimal control problem and develop a posteriori error estimation procedures that provide rigorous bounds for the error in the optimal control and the associated cost functional. We show that our approach can be applied to problems involving...
A practical procedure for estimation of linear models via asymptotic quasi-likelihood.
A practical solution to implement nonlinear output regulation via dynamic mappings
This paper presents a novel error-feedback practical solution for real-time implementation of nonlinear output regulation. Sufficient and necessary conditions for both state- and error-feedback output regulation have been established for linear and nonlinear systems several decades ago. In their most general form, these solutions require solving a set of nonlinear partial differential equations, which may be hard or even impossible to solve analytically. In recent years, a methodology for dynamic...
A probabilistic method for certification of analytically redundant systems
Analytical fault detection algorithms have the potential to reduce the size, power and weight of safety-critical aerospace systems. Analytical redundancy has been successfully applied in many non-safety critical applications. However, acceptance for aerospace applications will require new methods to rigorously certify the impact of such algorithms on the overall system reliability. This paper presents a theoretical method to assess the probabilistic performance for an analytically redundant system....
A problem of robust control of a system with time delay
A problem of guaranteed control is under discussion. This problem consists in the attainment of a given target set by a phase trajectory of a system described by an equation with time delay. An uncontrolled disturbance (along with a control) is assumed to act upon the system. An algorithm for solving the problem in the case when information on a phase trajectory is incomplete (measurements of a 'part' of coordinates) is designed. The algorithm is stable with respect to informational noises and computational...
A procedure for designing stabilizing output feedback controllers
A Production Inventory Problem with Random Point Demand
A proof of the minimum principle using flows
A quadratic optimal control problem for a class of linear discrete distributed systems
A linear quadratic optimal control problem for a class of discrete distributed systems is analyzed. To solve this problem, we introduce an adequate topology and establish that optimal control can be determined though an inversion of the appropriate isomorphism. An example and a numerical approach are given.