Dual control for disturbances with Poisson distribution
Dual response systems optimization. An approximation approach.
DUCS copulas
Based on a recent representation of copulas invariant under univariate conditioning, a new class of copulas linked to a distortion of the identity function is introduced and studied.
Dynamic approach to optimum synthesis of a four-bar mechanism using a swarm intelligence algorithm
This paper presents a dynamic approach to the synthesis of a crank-rocker four-bar mechanism, that is obtained by an optimization problem and its solution using the swarm intelligence algorithm called Modified-Artificial Bee Colony (M-ABC). The proposed dynamic approach states a mono-objective dynamic optimization problem (MODOP), in order to obtain a set of optimal parameters of the system. In this MODOP, the kinematic and dynamic models of the whole system are consider as well as a set of constraints...
Dynamic credibility with outliers and missing observations
In actuarial practice the credibility models must face the problem of outliers and missing observations. If using the -estimation principle from robust statistics in combination with Kalman filtering one obtains the solution of this problem that is acceptable in the numerical framework of the practical actuarial credibility. The credibility models are classified as static and dynamic in this paper and the shrinkage is used for the final ratemaking.
Dynamic programming for an investment/consumption problem in illiquid markets with regime-switching
We consider an illiquid financial market with different regimes modeled by a continuous time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a Cox process with intensity depending on the market regime. Moreover, the risky asset price is subject to liquidity shocks, which change its rate of return and volatility, and induce jumps on its dynamics. In this setting, we study the problem of an economic agent optimizing her expected utility from consumption...
Dynamic programming for stochastic target problems and geometric flows
Dynamic Programming for the stochastic Navier-Stokes equations
We solve an optimal cost problem for a stochastic Navier-Stokes equation in space dimension 2 by proving existence and uniqueness of a smooth solution of the corresponding Hamilton-Jacobi-Bellman equation.
Dynamic programming principle for stochastic recursive optimal control problem with delayed systems
In this paper, we study one kind of stochastic recursive optimal control problem for the systems described by stochastic differential equations with delay (SDDE). In our framework, not only the dynamics of the systems but also the recursive utility depend on the past path segment of the state process in a general form. We give the dynamic programming principle for this kind of optimal control problems and show that the value function is the viscosity solution of the corresponding infinite dimensional...
Dynamic reforming of a quasi pay-as-you-go social security system within a discrete stochastic multidimensional framework using optimal control methods
In many western economies, the phenomenon of ageing population implies that the large Pay-As-You-Go (PAYGO) social security system will run into several severe financial difficulties. In that direction, this paper constructs a discrete-time stochastic model for a quasi PAYGO social security system to allow the potential accumulation of a special (contingency) fund, which can oscillate so as to absorb fluctuations in the various system parameters involved. The basic difference equation is analytically...
Dynamic system evolution and Markov chain approximation.
Economic assessment of the Champagne wine qualitative stock mecanism
In the wine AOC system, the regulation of quantities performed by the professional organizations is aimed to smooth the variations of the quality of the wine due to the variations in the climate that affect the quality of the grapes. Nevertheless, this regulation could be damaging to the consumers due to the price increase resulting from the reduction of the quantities sold on the market. We propose a stochastic control model and a simulation tool able to measure the effects of this mechanism...
Effet d'un bruit blanc sur l'oscillateur harmonique de dimension d
Efficiency of the Stochastic Approximation Method
Efficient measurement of higher-order statistics of stochastic processes
This paper is devoted to analysis of block multi-indexed higher-order covariance matrices, which can be used for the least-squares estimation problem. The formulation of linear and nonlinear least squares estimation problems is proposed, showing that their statements and solutions lead to generalized `normal equations', employing covariance matrices of the underlying processes. Then, we provide a class of efficient algorithms to estimate higher-order statistics (generalized multi-indexed covariance...
Efficient RGB-D data processing for feature-based self-localization of mobile robots
The problem of position and orientation estimation for an active vision sensor that moves with respect to the full six degrees of freedom is considered. The proposed approach is based on point features extracted from RGB-D data. This work focuses on efficient point feature extraction algorithms and on methods for the management of a set of features in a single RGB-D data frame. While the fast, RGB-D-based visual odometry system described in this paper builds upon our previous results as to the general...
Eigenspace of a three-dimensional max-Łukasiewicz fuzzy matrix
Eigenvectors of a fuzzy matrix correspond to stable states of a complex discrete-events system, characterized by a given transition matrix and fuzzy state vectors. Description of the eigenspace (set of all eigenvectors) for matrices in max-min or max-drast fuzzy algebra was presented in previous papers. In this paper the eigenspace of a three-dimensional fuzzy matrix in max-Łukasiewicz algebra is investigated. Necessary and sufficient conditions are shown under which the eigenspace restricted to...
El teorema de separación en el control de sistemas lineales no Gaussianos.
Employing different loss functions for the classification of images via supervised learning
Supervised learning methods are powerful techniques to learn a function from a given set of labeled data, the so-called training data. In this paper the support vector machines approach is applied to an image classification task. Starting with the corresponding Tikhonov regularization problem, reformulated as a convex optimization problem, we introduce a conjugate dual problem to it and prove that, whenever strong duality holds, the function to be learned can be expressed via the dual optimal solutions....
Entropic Conditions and Hedging
In many markets, especially in energy markets, electricity markets for instance, the detention of the physical asset is quite difficult. This is also the case for crude oil as treated by Davis (2000). So one can identify a good proxy which is an asset (financial or physical) (one)whose the spot price is significantly correlated with the spot price of the underlying (e.g. electicity or crude oil). Generally, the market could become incomplete. We explicit exact hedging strategies for exponential...