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Discrete time infinite horizon risk sensitive portfolio selection with proportional transaction costs

Łukasz Stettner (2008)

Banach Center Publications

Long run risk sensitive portfolio selection is considered with proportional transaction costs. In the paper two methods to prove existence of solutions to suitable Bellman equations are presented. The first method is based on discounted cost approximation and requires uniform absolute continuity of iterations of transition operators of the factor process. The second method is based on uniform ergodicity of portions of the capital invested in assets and requires additional assumptions concerning...

Discrete time risk sensitive portfolio optimization with consumption and proportional transaction costs

Łukasz Stettner (2005)

Applicationes Mathematicae

Risk sensitive and risk neutral long run portfolio problems with consumption and proportional transaction costs are studied. Existence of solutions to suitable Bellman equations is shown. The asymptotics of the risk sensitive cost when the risk factor converges to 0 is then considered. It turns out that optimal strategies are stationary functions of the portfolio (portions of the wealth invested in assets) and of economic factors. Furthermore an optimal portfolio strategy for a risk neutral control...

Discrete-time Markov control processes with recursive discount rates

Yofre H. García, Juan González-Hernández (2016)

Kybernetika

This work analyzes a discrete-time Markov Control Model (MCM) on Borel spaces when the performance index is the expected total discounted cost. This criterion admits unbounded costs. It is assumed that the discount rate in any period is obtained by using recursive functions and a known initial discount rate. The classic dynamic programming method for finite-horizon case is verified. Under slight conditions, the existence of deterministic non-stationary optimal policies for infinite-horizon case...

Discrete-time predictive control with overparameterized delay-plant models and an identified cancellation order

Zdzisław Kowalczuk, Piotr Suchomski (2005)

International Journal of Applied Mathematics and Computer Science

The paper presents several solutions to the discrete-time generalized predictive (GPC) controller problem, including an anticipative filtration mechanism, which are suitable for plants with nonzero transportation delays. Necessary modifications of the GPC design procedure required for controlling plants based on their non-minimal models are discussed in detail. Although inevitably invoking the troublesome pole-zero cancellation problem, such models can be used in adaptive systems as a remedy for...

Discrete-time state description of pure deadtime processes

Václav Soukup (1999)

Kybernetika

This contribution deals with the discrete-time linear state models of pure deadtime multi-input, multi-output dynamic processes. A straightforward way is presented to obtain minimum-dimensional state realizations of these processes.

Discrete-time symmetric polynomial equations with complex coefficients

Didier Henrion, Jan Ježek, Michael Šebek (2002)

Kybernetika

Discrete-time symmetric polynomial equations with complex coefficients are studied in the scalar and matrix case. New theoretical results are derived and several algorithms are proposed and evaluated. Polynomial reduction algorithms are first described to study theoretical properties of the equations. Sylvester matrix algorithms are then developed to solve numerically the equations. The algorithms are implemented in the Polynomial Toolbox for Matlab.

Discretization schemes for Lyapunov-Krasovskii functionals in time-delay systems

Keqin Gu (2001)

Kybernetika

This article gives an overview of discretized Lyapunov functional methods for time-delay systems. Quadratic Lyapunov–Krasovskii functionals are discretized by choosing the kernel to be piecewise linear. As a result, the stability conditions may be written in the form of linear matrix inequalities. Conservatism may be reduced by choosing a finer mesh. Simplification techniques, including elimination of variables and using integral inequalities are also discussed. Systems with multiple delays and...

Distributed classification learning based on nonlinear vector support machines for switching networks

Yinghui Wang, Peng Lin, Huashu Qin (2017)

Kybernetika

In this paper, we discuss the distributed design for binary classification based on the nonlinear support vector machine in a time-varying multi-agent network when the training data sets are distributedly located and unavailable to all agents. In particular, the aim is to find a global large margin classifier and then enable each agent to classify any new input data into one of the two labels in the binary classification without sharing its all local data with other agents. We formulate the support...

Distributed consensus control for discrete-time linear multi-agent systems with reduced-order observer

Wenhai Chen, Lixin Gao, Xiaole Xu, Bingbing Xu (2015)

Kybernetika

In this paper, we investigate multi-agent consensus problem with discrete-time linear dynamics under directed interaction topology. By assumption that all agents can only access the measured outputs of its neighbor agents and itself, a kind of distributed reduced-order observer-based protocols are proposed to solve the consensus problem. A multi-step algorithm is provided to construct the gain matrices involved in the protocols. By using of graph theory, modified discrete-time algebraic Riccati...

Currently displaying 121 – 140 of 194