We explore reformulation of nonlinear stochastic programs with several joint chance constraints by stochastic programs with suitably chosen penalty-type objectives. We show that the two problems are asymptotically equivalent. Simpler cases with one chance constraint and particular penalty functions were studied in [6,11]. The obtained problems with penalties and with a fixed set of feasible solutions are simpler to solve and analyze then the chance constrained programs. We discuss solving both problems...

In this paper, we consider a multi-agent consensus problem with an active leader and variable interconnection topology. The dynamics of the active leader is given in a general form of linear system. The switching interconnection topology with communication delay among the agents is taken into consideration. A neighbor-based estimator is designed for each agent to obtain the unmeasurable state variables of the dynamic leader, and then a distributed feedback control law is developed to achieve consensus....

This paper studies the constrained robust adaptive stabilization problem for a class of lower triangular systems with unknown control direction. A robust adaptive feedback control law for the systems is proposed by incorporating the technique of Barrier Lyapunov Function with Nussbaum gain. Such a controlled system arises from the study of the constrained robust output regulation problem for a class of output feedback systems with the unknown control direction and a nonlinear exosystem. An application...

This paper deals with convergence model of interest rates, which explains the evolution of interest rate in connection with the adoption of Euro currency. Its dynamics is described by two stochastic differential equations – the domestic and the European short rate. Bond prices are then solutions to partial differential equations. For the special case with constant volatilities closed form solutions for bond prices are known. Substituting its constant volatilities by instantaneous volatilities we...

The autocorrelation function describing the linear dependence is not suitable for description of residual dependence of the regime-switching models. In this contribution, inspired by Rakonczai ([20]), we will model the residual dependence of the regime-switching models (SETAR, LSTAR and ESTAR) with the autocopulas (Archimedean, EV and their convex combinations) and construct improved quality models for the original real time series.