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1
Prezioso, Luca. "Financial risk sources and optimal strategies in jump-diffusion frameworks." Doctoral thesis, Università degli studi di Trento, 2020. http://hdl.handle.net/11572/254880.
Повний текст джерелаАнотація:
An optimal dividend problem with investment opportunities, taking into consideration a source of strategic risk is being considered, as well as the effect of market frictions on the decision process of the financial entities.
It concerns the problem of determining an optimal control of the dividend under debt constraints and investment opportunities in an economy with business cycles. It is assumed that the company is to be allowed to accept or reject investment opportunities arriving at random times with random sizes, by changing its outstanding indebtedness, which would impact its capital structure and risk profile. This work mainly focuses on the strategic risk faced by the companies; and, in particular, it focuses on the manager's problem of setting appropriate priorities to deploy the limited resources available. This component is taken into account by introducing frictions in the capital structure modification process.
The problem is formulated as a bi-dimensional singular control problem under regime switching in presence of jumps. An explicit condition is obtained in order to ensure that the value function is finite. A viscosity solution approach is used to get qualitative descriptions of the solution.
Moreover, a lending scheme for a system of interconnected banks with probabilistic constraints of failure is being considered. The problem arises from the fact that financial institutions cannot possibly carry enough capital to withstand counterparty failures or systemic risk. In such situations, the central bank or the government becomes effectively the risk manager of last resort or, in extreme cases, the lender of last resort.
If, on the one hand, the health of the whole financial system depends on government intervention, on the other hand, guaranteeing a high probability of salvage may result in increasing the moral hazard of the banks in the financial network. A closed form solution for an optimal control problem related to interbank lending schemes has been derived, subject to terminal probability constraints on the failure of banks which are interconnected through a financial network. The derived solution applies to real bank networks by obtaining a general solution when the aforementioned probability constraints are assumed for all the banks. We also present a direct method to compute the systemic relevance parameter for each bank within the network.
Finally, a possible computation technique for the Default Risk Charge under to regulatory risk measurement processes is being considered. We focus on the Default Risk Charge measure as an effective alternative to the Incremental Risk Charge one, proposing its implementation by a quasi exhaustive-heuristic algorithm to determine the minimum capital requested to a bank facing the market risk associated to portfolios based on assets emitted by several financial agents.
While most of the banks use the Monte Carlo simulation approach and the empirical quantile to estimate this risk measure, we provide new computational approaches, exhaustive or heuristic, currently becoming feasible, because of both new regulation and the high speed - low cost technology available nowadays.
2
Furtado, Guilherme Phillips. "Formulation of impedance control strategy as an optimal control problem." Universidade de São Paulo, 2018. http://www.teses.usp.br/teses/disponiveis/3/3152/tde-05022019-153033/.
Повний текст джерелаАнотація:
A formulation of impedance control for redundant manipulators is developed as a particular case of an optimal control problem. This formulation allows the planning and design of an impedance controller that benets from the stability and eficiency of an optimal controller. Moreover, to circumvent the high computational costs of computing an optimal controller, a sub-optimal feedback controller based on the state-dependent Ricatti equation (SDRE) approach is developed. This approach is then compared with the quadratic programming (QP) control formulation, commonly used to resolve redundancy of robotic manipulators. Numerical simulations of a redundant planar 4-DOF serial link manipulator show that the SDRE control formulation offers superior performance over the control strategy based QP, in terms of stability, performance and required control effort.<br>Uma formulação do controle de impedância para manipuladores redundantes é desenvolvida como um caso particular de um problema de controle ótimo. Essa formulação permite o planejamento e projeto de um controlador de impedância que se beneficia da estabilidade e eficiência de um controlador ótimo. Para evitar lidar com os elevados custos computacionais de se computar um controlador ótimo, um controlador em malha fechada sub-ótimo, baseado na abordagem das equações de Ricatti dependentes de estado (SDRE), é desenvolvido. Essa abordagem é comparada com a formulação de um controlador baseado em programação quadrática (QP), usualmente utilizado para resolver problemas de redundância em manipuladores robóticos. Simulações numéricas de um manipulador serial plano de quatro graus de liberdade mostram que o controlador baseado em SDRE oferece performance superior em relação a um controlador baseado em programação quadrática, em termos de estabilidade, performance e esforço de controle requerido do atuador.
3
Losse, Philip. "The H_infinity Optimal Control Problem for Descriptor Systems." Doctoral thesis, Universitätsbibliothek Chemnitz, 2012. http://nbn-resolving.de/urn:nbn:de:bsz:ch1-qucosa-83628.
Повний текст джерелаАнотація:
The H_infinity control problem is studied for linear constant coefficient descriptor systems. Necessary and sufficient optimality conditions as well as controller formulas are derived in terms of deflating subspaces of even matrix pencils for problems of arbitrary index. A structure preserving method for computing these subspaces is introduced. In combination these results allow the derivation of a numerical algorithm with advantages over the classical methods.
4
Tadi, Mohsen. "An optimal control problem for a Timoshenko beam." Diss., Virginia Tech, 1991. http://hdl.handle.net/10919/39868.
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5
Bondarenko, Oleksandr. "Optimal Control for an Impedance Boundary Value Problem." Thesis, Virginia Tech, 2010. http://hdl.handle.net/10919/36136.
Повний текст джерелаАнотація:
We consider the analysis of the scattering problem. Assume that an incoming time harmonic wave is scattered by a surface of an impenetrable obstacle. The reflected wave is determined by the surface impedance of the obstacle. In this paper we will investigate the problem of choosing the surface impedance so that a desired scattering amplitude is achieved. We formulate this control problem within the framework of the minimization
of a Tikhonov functional. In particular, questions of the existence of an optimal solution
and the derivation of the optimality conditions will be addressed.<br>Master of Science
6
Mukonoweshuro, Rumbidzai Ushendibaba. "The dividend behaviour of NYSE-listed banks within an optimal control theory framework." Thesis, University of Plymouth, 2008. http://hdl.handle.net/10026.1/382.
Повний текст джерелаАнотація:
Within the dividend policy literature there is no universally accepted model to explain dividend behaviour. The theoretical dividend policy literature contains a promising dynamic mathematical model based on optimal control theory formulated by Davidson (1980), in the spirit of the Modigliani-Brumberg-Yaari types of lifecyle hypothesis, but despite being published some time ago the model has not been tested empirically, possibly due to its complexity. It is the main purpose of this research study to investigate the dividend behaviour patterns of banks listed on the NYSE within this optimal control theory framework. This work unfolds in three stages as follows: initially the impacts of the different control planning horizons in determining dividend patterns are examined. Secondly, the factors that govern the control-theoretic dividend patterns are established. Finally the factors that are associated with out-performers of the control theory framework are identified. Appropriate and relevant data from NYSE banking corporations were obtained to test the effectiveness and efficiency of the control theory framework. The application of logistic regression analysis and logistic step-wise regression established the factors that govern the control-theoretic dividend patterns. The application of multiple regression analysis and step-wise regression analysis enabled this study to determine the factors that are associated with out-performers of the control theory framework. Research findings suggest that the long planning horizon model tends to be good explanator of observed dividends, suggesting that the dividend decision is not constrained by short or medium term predicted liquid asset levels. NYSE banks with control-theoretic dividend patterns were associated with the smaller banks, which perform financially well and display a strong share price record, as indicated by the high Tobin's Q ratio, strong dividend yield, a greater return on capital invested, higher leverage, and a smaller number of employees. The NYSE banks with observed dividends that out-perform the control theory framework are associated with banks that have higher profits, as indicated by the higher return on equity, and an implied expanding customer base, as suggested by the higher revenue growth rate. Outperfoming banks also have higher dividend yields, constrained by an implied internally imposed conservative retention policy, as indicated by lower payout ratios and they tend to be smaller in size. Further research in this area is required to investigate the dividend behaviour of organisations operating on other stock markets around the world, and should help to unlock the full potential that is offered by a control theory framework.
7
Jaimoukha, Imad Mahmoud. "The two-block super-optimal distance problem in control." Thesis, Imperial College London, 1990. http://hdl.handle.net/10044/1/46363.
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8
李澤康 and Chak-hong Lee. "Nonlinear time-delay optimal control problem: optimality conditions and duality." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1995. http://hub.hku.hk/bib/B31212475.
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Lee, Chak-hong. "Nonlinear time-delay optimal control problem : optimality conditions and duality /." [Hong Kong] : University of Hong Kong, 1995. http://sunzi.lib.hku.hk/hkuto/record.jsp?B16391640.
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10
Chai, Qinqin. "Computational methods for solving optimal industrial process control problems." Thesis, Curtin University, 2013. http://hdl.handle.net/20.500.11937/1227.
Повний текст джерелаАнотація:
In this thesis, we develop new computational methods for three classes of dynamic optimization problems: (i) A parameter identification problem for a general nonlinear time-delay system; (ii) an optimal control problem involving systems with both input and output delays, and subject to continuous inequality state constraints; and (iii) a max-min optimal control problem arising in gradient elution chromatography.In the first problem, we consider a parameter identification problem involving a general nonlinear time-delay system, where the unknown time delays and system parameters are to be identified. This problem is posed as a dynamic optimization problem, where its cost function is to measure the discrepancy between predicted output and observed system output. The aim is to find unknown time-delays and system parameters such that the cost function is minimized. We develop a gradient-based computational method for solving this dynamic optimization problem. We show that the gradients of the cost function with respect to these unknown parameters can be obtained via solving a set of auxiliary time-delay differential systems from t = 0 to t = T. On this basis, the parameter identification problem can be solved as a nonlinear optimization problem and existing optimization techniques can be used. Two numerical examples are solved using the proposed computational method. Simulation results show that the proposed computational method is highly effective. In particular, the convergence is very fast even when the initial guess of the parameter values is far away from the optimal values.Unlike the first problem, in the second problem, we consider a time delay identification problem, where the input function for the nonlinear time-delay system is piecewise-constant. We assume that the time-delays—one involving the state variables and the other involving the input variables—are unknown and need to be estimated using experimental data. We also formulate the problem of estimating the unknown delays as a nonlinear optimization problem in which the cost function measures the least-squares error between predicted output and measured system output. This estimation problem can be viewed as a switched system optimal control problem with time-delays. We show that the gradient of the cost function with respect to the unknown state delay can be obtained via solving a auxiliary time-delay differential system. Furthermore, the gradient of the cost function with respect to the unknown input delay can be obtained via solving an auxiliary time-delay differential system with jump conditions at the delayed control switching time points. On this basis, we develop a heuristic computational algorithm for solving this problem using gradient based optimization algorithms. Time-delays in two industrial processes are estimated using the proposed computational method. Simulation results show that the proposed computational method is highly effective.For the third problem, we consider a general optimal control problem governed by a system with input and output delays, and subject to continuous inequality constraints on the state and control. We focus on developing an effective computational method for solving this constrained time delay optimal control problem. For this, the control parameterization technique is used to approximate the time planning horizon [0, T] into N subintervals. Then, the control is approximated by a piecewise constant function with possible discontinuities at the pre-assigned partition points, which are also called the switching time points. The heights of the piecewise constant function are decision variables which are to be chosen such that a given cost function is minimized. For the continuous inequality constraints on the state, we construct approximating smooth functions in integral form. Then, the summation of these approximating smooth functions in integral form, which is called the constraint violation, is appended to the cost function to form a new augmented cost function. In this way, we obtain a sequence of approximate optimization problems subject to only boundedness constraints on the decision variables. Then, the gradient of the augmented cost function is derived. On this basis, we develop an effective computational method for solving the time-delay optimal control problem with continuous inequality constraints on the state and control via solving a sequence of approximate optimization problems, each of which can be solved as a nonlinear optimization problem by using existing gradient-based optimization techniques. This proposed method is then used to solve a practical optimal control problem arising in the study of a real evaporation process. The results obtained are highly satisfactory, showing that the proposed method is highly effective.The fourth problem that we consider is a max-min optimal control problem arising in the study of gradient elution chromatography, where the manipulative variables in the chromatographic process are to be chosen such that the separation efficiency is maximized. This problem has three non-standard characteristics: (i) The objective function is nonsmooth; (ii) each state variable is defined over a different time horizon; and (iii) the order of the final times for the state variable, the so-called retention times, are not fixed. To solve this problem, we first introduce a set of auxiliary decision variables to govern the ordering of the retention times. The integer constraints on these auxiliary decision variables are approximated by continuous boundedness constraints. Then, we approximate the control by a piecewise constant function, and apply a novel time-scaling transformation to map the retention times and control switching times to fixed points in a new time horizon. The retention times and control switching times become decision variables in the new time horizon. In addition, the max-min objective function is approximated by a minimization problem subject to an additional constraint. On this basis, the optimal control problem is reduced to an approximate nonlinear optimization problem subject to smooth constraints, which is then solved using a recently developed exact penalty function method. Numerical results obtained show that this approach is highly effective.Finally, some concluding remarks and suggestions for further study are made in the conclusion chapter.
11
Taylor, Tracy A. "Optimal Control and Its Application to the Life-Cycle Savings Problem." VCU Scholars Compass, 2016. http://scholarscompass.vcu.edu/etd/4288.
Повний текст джерелаАнотація:
Throughout the course of this thesis, we give an introduction to optimal control theory and its necessary conditions, prove Pontryagin's Maximum Principle, and present the life-cycle saving under uncertain lifetime optimal control problem. We present a very involved sensitivity analysis that determines how a change in the initial wealth, discount factor, or relative risk aversion coefficient may affect the model the terminal depletion of wealth time, optimal consumption path, and optimal accumulation of wealth path. Through simulation of the life-cycle saving under uncertain lifetime model, we are not only able to present the model dynamics through time, but also to demonstrate the feasibility of the model.
12
Penaud, Antony. "Optimal decisions in finance : passport options and the bonus problem." Thesis, University of Oxford, 2000. http://ora.ox.ac.uk/objects/uuid:292c36da-ce43-481d-ad45-e5e859ca3688.
Повний текст джерелаАнотація:
The object of this thesis is the study of some new financial models. The common feature is that they all involve optimal decisions. Some of the decisions take the form of a control and we enter the theory of stochastic optimal control and of Hamilton-Jacobi-Bellman (HJB) equations. Other decisions are "binary" and we deal with the theory of optimal stopping and free boundary problems. Throughout the thesis we will prefer a heuristic and intuitive approach to a too technical one which could hide the underlying ideas. In the first part we introduce the reader to option pricing, HJB equations and free boundary problems, and we review briefly the use of these mathematical tools in finance. The second part of the thesis deals with passport options. The pricing of these exotic options involves stochastic optimal control and free boundary problems. Finally, in the last part we study the end-of-the-year bonus for traders: how to optimally reward a trader?
13
Rawlik, Konrad Cyrus. "On probabilistic inference approaches to stochastic optimal control." Thesis, University of Edinburgh, 2013. http://hdl.handle.net/1842/8293.
Повний текст джерелаАнотація:
While stochastic optimal control, together with associate formulations like Reinforcement Learning, provides a formal approach to, amongst other, motor control, it remains computationally challenging for most practical problems. This thesis is concerned with the study of relations between stochastic optimal control and probabilistic inference. Such dualities { exempli ed by the classical Kalman Duality between the Linear-Quadratic-Gaussian control problem and the filtering problem in Linear-Gaussian dynamical systems { make it possible to exploit advances made within the separate fields. In this context, the emphasis in this work lies with utilisation of approximate inference methods for the control problem. Rather then concentrating on special cases which yield analytical inference problems, we propose a novel interpretation of stochastic optimal control in the general case in terms of minimisation of certain Kullback-Leibler divergences. Although these minimisations remain analytically intractable, we show that natural relaxations of the exact dual lead to new practical approaches. We introduce two particular general iterative methods ψ-Learning, which has global convergence guarantees and provides a unifying perspective on several previously proposed algorithms, and Posterior Policy Iteration, which allows direct application of inference methods. From these, practical algorithms for Reinforcement Learning, based on a Monte Carlo approximation to ψ-Learning, and model based stochastic optimal control, using a variational approximation of posterior policy iteration, are derived. In order to overcome the inherent limitations of parametric variational approximations, we furthermore introduce a new approach for none parametric approximate stochastic optimal control based on a reproducing kernel Hilbert space embedding of the control problem. Finally, we address the general problem of temporal optimisation, i.e., joint optimisation of controls and temporal aspects, e.g., duration, of the task. Specifically, we introduce a formulation of temporal optimisation based on a generalised form of the finite horizon problem. Importantly, we show that the generalised problem has a dual finite horizon problem of the standard form, thus bringing temporal optimisation within the reach of most commonly used algorithms. Throughout, problems from the area of motor control of robotic systems are used to evaluate the proposed methods and demonstrate their practical utility.
14
Li, Zhen. "Numerical computation of an optimal control problem with homogenization in one-dimensional case." [Ames, Iowa : Iowa State University], 2008.
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15
Zangi, Kambiz Casey. "Optimal feedback control formulation of the active noise cancellation problem : pointwise and distributed." Thesis, Massachusetts Institute of Technology, 1994. http://hdl.handle.net/1721.1/12215.
Повний текст джерелаАнотація:
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 1994.<br>Includes bibliographical references (p. 151-156).<br>by Kambiz C. Zangi.<br>Ph.D.
16
Shedied, Samy Aly. "Optimal Control for a Two Player Dynamic Pursuit Evasion Game; The Herding Problem." Diss., Virginia Tech, 2002. http://hdl.handle.net/10919/26110.
Повний текст джерелаАнотація:
In this dissertation we introduce a new class of pursuit-evasion games; the herding problem. Unlike regular pursuit evasion games where the pursuer aims to hunt the evader the objective of the pursuer in this game is to drive the evader to a certain location on the x-y grid. The dissertation deals with this problem using two different methodologies. In the first, the problem is introduced in the continuous-time, continuous-space domain. The continuous time model of the problem is proposed, analyzed and we came up with an optimal control law for the pursuer is obtained so that the evader is driven to the desired destination position in the x-y grid following the local shortest path in the Euler Lagrange sense. Then, a non-holonomic realization of the two agents is proposed. In this and we show that the optimal control policy is in the form of a feedback control law that enables the pursuer to achieve the same objective using the shortest path.
The second methodology deals with the discrete model representation of the problem. In this formulation, the system is represented by a finite di-graph. In this di-graph, each state of the system is represented by a node in the graph. Applying dynamic programming technique and shortest path algorithms over the finite graph representing the system, we come up with the optimal control policy that the pursuer should follow to achieve the desired goal. To study the robustness, we formulate the problem in a stochastic setting also. We analyze the stochastic model and derive an optimal control law in this setting. Finally, the case with active evader is considered, the optimal control law for this case is obtained through the application of dynamic programming technique.<br>Ph. D.
17
Bernauer, Martin K., and Roland Herzog. "Optimal Control of the Classical Two-Phase Stefan Problem in Level Set Formulation." Universitätsbibliothek Chemnitz, 2010. http://nbn-resolving.de/urn:nbn:de:bsz:ch1-qucosa-62014.
Повний текст джерелаАнотація:
Optimal control (motion planning) of the free interface in classical two-phase Stefan problems is considered. The evolution of the free interface is modeled by a level set function. The first-order optimality system is derived on a formal basis. It provides gradient information based on the adjoint temperature and adjoint level set function. Suitable discretization schemes for the forward and adjoint systems are described. Numerical examples verify the correctness and flexibility of the proposed scheme.
18
Dymkou, Siarhei. "Approximations for some classes of optimal control problems with state constraints and repetitive control systems." Thesis, University of Ballarat, 2005. http://researchonline.federation.edu.au/vital/access/HandleResolver/1959.17/69220.
Повний текст джерелаАнотація:
This report presents the investigation on the research work "Approximations for some classes of optimal control problems with state constraints and repetitive control systems". This report mainly gives the theoretical part of the research which is based on the numerical methods that are developed. It is conjectured that the corresponding algorithms will be realized as computer programs after which they can be used in practical work.<br>Master of Information Technology
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Arantes, Santina de Fátima. "Optimal control applied to pollution problem and stabilization of thermoelastic beam with Signorini condictions." Laboratório Nacional de Computação Científica, 2006. http://www.lncc.br/tdmc/tde_busca/arquivo.php?codArquivo=103.
Повний текст джерелаАнотація:
Estudamos problemas de Controle Ótimo de Sistemas de Parâmetros Distribuídos. O modelo consiste de uma equação diferencial parcial do tipo parabólica que modela o transporte de um poluente em um meio viscoso e incompressível, mais condições de contorno e condição inicial; ou seja, em nosso modelo estamos considerando além do termo difusivo, o termo convectivo. A modelagem matemática desenvolvida permite calcular a concentração do poluente que é despejada numa região do espaço, de forma que no tempo t=T, a concentração do poluente esteja o mais próximo possível da concentração máxima aceitável no meio. Mostramos a existência e unicidade de solução do sistema de estado e de um único controle ótimo sobre um conjunto de funções admissíveis. Caracterizamos o controle ótimo de forma a obter um sistema de otimalidade que permita o cálculo numérico do problema e mostramos a convergência do método. Provamos que o funcional de custo ótimo j(b)=J(u(b,t)) é diferenciável com derivadas parciais contínuas sobre um subconjunto convexo fechado U_ad do espaço de controles U. Como aplicação, estudamos o caso da contaminação de um rio/lagoa pelo mercúrio em água parada e em movimento.O objetivo maior desta parte do trabalho é minimizar, através dos controles, os efeitos causados pelos detritos do agente poluente.
Na segunda parte deste trabalho, estudamos o problema de contato termoelástico que descreve as vibrações dinâmicas de uma viga que está engastada num de seus extremos enquanto o outro está livre e pode se mover entre dois obstáculos rígidos. O principal resultado desta parte do trabalho é mostrar a existência de solução do problema e que a energia associada ao sistema decai exponencialmente a zero quando o tempo vai para o infinito.
Finalmente, em todos os casos, graficamos a solução do problema e analisamos os resultados.
20
Dewaal, Nicholas. "The Importance of the Riemann-Hilbert Problem to Solve a Class of Optimal Control Problems." Diss., CLICK HERE for online access, 2007. http://contentdm.lib.byu.edu/ETD/image/etd1759.pdf.
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21
Winkler, Gunter. "Control constrained optimal control problems in non-convex three dimensional polyhedral domains." Doctoral thesis, Universitätsbibliothek Chemnitz, 2008. http://nbn-resolving.de/urn:nbn:de:bsz:ch1-200800626.
Повний текст джерелаАнотація:
The work selects a specific issue from the numerical analysis of
optimal control problems. We investigate a linear-quadratic optimal
control problem based on a partial differential equation on
3-dimensional non-convex domains. Based on efficient solution methods
for the partial differential equation an algorithm known from control
theory is applied. Now the main objectives are to prove that there is
no degradation in efficiency and to verify the result by numerical
experiments.
We describe a solution method which has second order convergence,
although the intermediate control approximations are piecewise
constant functions. This superconvergence property is gained from a
special projection operator which generates a piecewise constant
approximation that has a supercloseness property, from a sufficiently
graded mesh which compensates the singularities introduced by the
non-convex domain, and from a discretization condition which
eliminates some pathological cases.
Both isotropic and anisotropic discretizations are investigated and
similar superconvergence properties are proven.
A model problem is presented and important results from the regularity
theory of solutions to partial differential equation in non-convex
domains have been collected in the first chapters. Then a collection
of statements from the finite element analysis and corresponding
numerical solution strategies is given. Here we show newly developed
tools regarding error estimates and projections into finite element
spaces. These tools are necessary to achieve the main results. Known
fundamental statements from control theory are applied to the given
model problems and certain conditions on the discretization are
defined. Then we describe the implementation used to solve the model
problems and present all computed results.
22
Veljović, Slobodan. "Shape optimization and optimal boundary control for high intensity focused ultrasound (HIFU)." Aachen Shaker, 2010. http://d-nb.info/1002144639/04.
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23
Loxton, Ryan Christopher. "Optimal control problems involving constrained, switched, and delay systems." Thesis, Curtin University, 2010. http://hdl.handle.net/20.500.11937/1479.
Повний текст джерелаАнотація:
In this thesis, we develop numerical methods for solving five nonstandard optimal control problems. The main idea of each method is to reformulate the optimal control problem as, or approximate it by, a nonlinear programming problem. The decision variables in this nonlinear programming problem influence its cost function (and constraints, if it has any) implicitly through the dynamic system. Hence, deriving the gradient of the cost and the constraint functions is a difficult task. A major focus of this thesis is on developing methods for computing these gradients. These methods can then be used in conjunction with a gradient-based optimization technique to solve the optimal control problem efficiently.The first optimal control problem that we consider has nonlinear inequality constraints that depend on the state at two or more discrete time points. These time points are decision variables that, together with a control function, should be chosen in an optimal manner. To tackle this problem, we first approximate the control by a piecewise constant function whose values and switching times (the times at which it changes value) are decision variables. We then apply a novel time-scaling transformation that maps the switching times to fixed points in a new time horizon. This yields an approximate dynamic optimization problem with a finite number of decision variables. We develop a new algorithm, which involves integrating an auxiliary dynamic system forward in time, for computing the gradient of the cost and constraints in this approximate problem.The second optimal control problem that we consider has nonlinear continuous inequality constraints. These constraints restrict both the state and the control at every point in the time horizon. As with the first problem, we approximate the control by a piecewise constant function and then transform the time variable. This yields an approximate semi-infinite programming problem, which can be solved using a penalty function algorithm. A solution of this problem immediately furnishes a suboptimal control for the original optimal control problem. By repeatedly increasing the number of parameters used in the approximation, we can generate a sequence of suboptimal controls. Our main result shows that the cost of these suboptimal controls converges to the minimum cost.The third optimal control problem that we consider is an applied problem from electrical engineering. Its aim is to determine an optimal operating scheme for a switchedcapacitor DC-DC power converter—an electronic device that transforms one DC voltage into another by periodically switching between several circuit topologies. Specifically, the optimal control problem is to choose the times at which the topology switches occur so that the output voltage ripple is minimized and the load regulation is maximized. This problem is governed by a switched system with linear subsystems (each subsystem models one of the power converter’s topologies). Moreover, its cost function is non-smooth. By introducing an auxiliary dynamic system and transforming the time variable (so that the topology switching times become fixed), we derive an equivalent semi-infinite programming problem. This semi-infinite programming problem, like the one that approximates the continuously-constrained optimal control problem, can be solved using a penalty function algorithm.The fourth optimal control problem that we consider involves a general switched system, which includes the model of a switched-capacitor DC-DC power converter as a special case. This switched system evolves by switching between several subsystems of nonlinear ordinary differential equations. Furthermore, each subsystem switch is accompanied by an instantaneous change in the state. These instantaneous changes—so-called state jumps—are influenced by control variables that, together with the subsystem switching times, should be selected in an optimal manner. As with the previous optimal control problems, we tackle this problem by transforming the time variable to obtain an equivalent problem in which the switching times are fixed. However, the functions governing the state jumps in this new problem are discontinuous. To overcome this difficulty, we introduce an approximate problem whose state jumps are governed by smooth functions. This approximate problem can be solved using a nonlinear programming algorithm. We prove an important convergence result that links the approximate problem’s solution with the original problem’s solution.The final optimal control problem that we consider is a parameter identification problem. The aim of this problem is to use given experimental data to identify unknown state-delays in a nonlinear delay-differential system. More precisely, the optimal control problem involves choosing the state-delays to minimize a cost function measuring the discrepancy between predicted and observed system output. We show that the gradient of this cost function can be computed by solving an auxiliary delay-differential system. On the basis of this result, the optimal control problem can be formulated—and hence solved—as a standard nonlinear programming problem.
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Escobar, Fernández de la Vega Marcos. "Systematic procedure to meet specific input/output constraints in the l₁-optimal control problem design." Thesis, Massachusetts Institute of Technology, 1995. http://hdl.handle.net/1721.1/37143.
Повний текст джерелаАнотація:
Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 1995; and, (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1996.<br>Includes bibliographical references (leaves 86-87).<br>by Marcos Escobar Fernández de la Vega.<br>M.S.
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Mbangeni, Litha. "Development of methods for parallel computation of the solution of the problem for optimal control." Thesis, Cape Peninsula University of Technology, 2010. http://hdl.handle.net/20.500.11838/1110.
Повний текст джерелаАнотація:
Thesis (MTech(Electrical Engineering))--Cape Peninsula University of Technology, 2010<br>Optimal control of fermentation processes is necessary for better behaviour of the
process in order to achieve maximum production of product and biomass. The problem
for optimal control is a very complex nonlinear, dynamic problem requiring long time for
calculation Application of decomposition-coordinating methods for the solution of this
type of problems simplifies the solution if it is implemented in a parallel way in a cluster of
computers. Parallel computing can reduce tremendously the time of calculation through
process of distribution and parallelization of the computation algorithm. These processes
can be achieved in different ways using the characteristics of the problem for optimal
control.
Problem for optimal control of a fed-batch, batch and continuous fermentation processes
for production of biomass and product are formulated. The problems are based on a
criterion for maximum production of biomass at the end of the fermentation process for
the fed-batch process, maximum production of metabolite at the end of the fermentation
for the batch fermentation process and minimum time for achieving steady state
fermentor behavior for the continuous process and on unstructured mass balance
biological models incorporating in the kinetic coefficients, the physiochemical variables
considered as control inputs. An augmented functional of Lagrange is applied and its
decomposition in time domain is used with a new coordinating vector. Parallel computing
in a Matlab cluster is used to solve the above optimal control problems. The calculations
and tasks allocation to the cluster workers are based on a shared memory architecture.
Real-time control implementation of calculation algorithms using a cluster of computers
allows quick and simpler solutions to the optimal control problems.
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Francioni, Marco. "Modeling and optimal flight control of a foiling dinghy." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2021. http://amslaurea.unibo.it/23367/.
Повний текст джерелаАнотація:
This Master Thesis illustrates the physics behind the mathematical model of a foiling dinghy to be used in a model-based autopilot architecture, and the multiple frames of references needed for an exhaustive force description. Using the modeled foiling boat, we performed the non-trivial task of finding meaningful trim setpoints, which were then used throughout the simulations. We applied Optimal Control theories to achieve stability and control of a foiling dinghy with a movable crew at different trim settings
and various environmental parameters, such as wind speed and
sea state, both stationary and time-varying. We developed a prototype of a gain scheduler for the closed-loop to perform tack and jibes maneuvers in multiple environments, and compared the stability and parameters sensitivity of different closed feedback loop architectures, both in a straight line and maneuvering performance.
The maneuvering performances were established with extensive
ad-hoc simulations to properly characterize the behavior of the architecture, while the straight-line response and parameter variation sensitivity was determined through Monte Carlo simulations.
At the end of this paperwork, the two best performing closed-loop architectures proposed were compared to determine which one would be the more promising for a practical application.
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Vierkötter, Matthias [Verfasser], Hanspeter [Akademischer Betreuer] Schmidli, and Josef G. [Akademischer Betreuer] Steinebach. "On the Optimal Stochastic Control of Dividend and Penalty Payments in an Insurance Company / Matthias Vierkötter. Gutachter: Hanspeter Schmidli ; Josef G. Steinebach." Köln : Universitäts- und Stadtbibliothek Köln, 2016. http://d-nb.info/1098427335/34.
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Lazgham, Mourad Verfasser], and Alexander [Akademischer Betreuer] [Schied. "A state-constrained stochastic optimal control problem arising in portfolio liquidation / Mourad Lazgham. Betreuer: Alexander Schied." Mannheim : Universitätsbibliothek Mannheim, 2015. http://d-nb.info/1078852286/34.
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Lazgham, Mourad [Verfasser], and Alexander [Akademischer Betreuer] Schied. "A state-constrained stochastic optimal control problem arising in portfolio liquidation / Mourad Lazgham. Betreuer: Alexander Schied." Mannheim : Universitätsbibliothek Mannheim, 2015. http://d-nb.info/1078852286/34.
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Losse, Philip [Verfasser], Peter [Akademischer Betreuer] Benner, and Timo [Gutachter] Reis. "The H_infinity Optimal Control Problem for Descriptor Systems / Philip Losse ; Gutachter: Timo Reis ; Betreuer: Peter Benner." Chemnitz : Universitätsbibliothek Chemnitz, 2012. http://d-nb.info/1214243266/34.
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Sandro, Manservisi. "Optimal Boundary and Distributed Controls for the Velocity Tracking Problem for Navier-Stokes Flows." Diss., Virginia Tech, 1997. http://hdl.handle.net/10919/30608.
Повний текст джерелаАнотація:
The velocity tracking problem is motivated by the desire to match a desired target flow with a flow which can be controlled through time dependent distributed forces or time dependent boundary conditions.
The flow model is the Navier-Stokes equations for a viscous incompressible fluid and different kinds of controls are studied. Optimal distributed and boundary controls minimizing a quadratic functional and an optimal bounded distributed control are investigated. The distributed optimal and the bounded control are compared with a linear feedback control.
Here, a unified mathematical formulation, covering several specific classes of meaningful control problems in bounded domains, is presented with a complete and detailed analysis of all these time dependent optimal control velocity tracking problems. We concentrate not only on questions such as existence and necessary first order conditions but also on discretization and computational aspects.
The first order necessary conditions are derived in the continuous, in the semidiscrete time approximation and in the fully finite element discrete case. This derivation is needed to obtain an accurate meaningful numerical algorithm with a satisfactory convergence rate. The gradient algorithm is used and several numerical computations are performed to compare and understand the limits imposed by the theory. Some computational aspects are discussed without which problems of any realistic size would remain intractable.<br>Ph. D.
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Avraam, Marios. "Modelling and optimisation of hybrid dynamic processes." Thesis, Imperial College London, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.321942.
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Zhu, Jiamin. "Contrôle optimal de l'attitude d'un lanceur." Thesis, Paris 6, 2016. http://www.theses.fr/2016PA066093.
Повний текст джерелаАнотація:
Cette thèse porte sur un problème couplé des lanceurs, à savoir une manœuvre de l'attitude couplée avec la trajectoire minimisant le temps de manœuvre. La difficulté de ce problème vient essentiellement du phénomène de chattering et du couplage des dynamiques n'ayant pas la même échelle de temps. Avec une analyse géométrique des extrémales venant de l'application du principe du maximum de pontryagin, nous donnons des conditions suffisantes sous lesquelles le phénomène de chattering se produit, pour des systèmes affines bi-entrée. Nons appliquons ensuite ce résultat à notre problème, et montrons que le phénomène de chattering arrive pour les trajectoires optimales, pour certaines données terminales. A l'aide de cette analyse théorique préliminaire, nous mettons en œuvre une méthode de résolution indirecte efficace, combinée à une méthode de continuation prédicteur-correcteur. En cas de chattering, deux stratégies sous-optimales sont proposées: soit une méthode directe dont le contrôle est approché par un contrôle constant par morceaux, soit en stoppant la continuation avant l'échec dû au chattering. Avec le tir multiple et plusieurs paramètres de continuations supplémentaires, cette méthode de résolution est appliquée à chercher une manœuvre de pull-up avec des contraintes sur l'état en minimisant le temps-énergie pour des lanceurs aéroportés. Les résultats numériques permettent de mettre en évidence l'efficacité et la robustesse de notre méthode de résolution<br>In this thesis, we investigate the minimum time control problem for the control and guidance of a launch vehicle, whose motion is described by its attitude kinematics and dynamics but also by its trajectory dynamics. The difficulty of this problem is essentially due to the chattering phenomenon and to the coupling of dynamics of different time scales. With a refined geometric study of the extremals coming from the application of the pontryagin maximum principle, we establish a general result for bi-input control-affine systems, providing sufficient conditions under which the chattering phenomenon occurs. We show how this result can be applied to our problem. Based on this preliminary theoretical analysis, we implement an efficient indirect numerical method, combined with numerical predictor-corrector continuation, in order to compute numerically the optimal solutions of the problem. In case of chattering, two sub-optimal strategies are designed: one is a direct method in which the control is approximated by a piecewise constant control, and the other consists of stopping the continuation procedure before its failure due to chattering. With several additional numerical continuation steps, we apply finally the developed indirect approach to the minimum time-energy pull-up maneuver problem, in which state constraints are also considered, for airborne launchers. Numerical simulations illustrate the efficiency and robustness of our method
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Hepner, Stephan Albert Richard. "Analysis of the planar intercept and tracking problem by application of optimal control and singular perturbation theory /." [S.l.] : [s.n.], 1986. http://e-collection.ethbib.ethz.ch/show?type=diss&nr=8170.
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Martínez, Sosa José. "Optimal exposure strategies in insurance." Thesis, University of Manchester, 2018. https://www.research.manchester.ac.uk/portal/en/theses/optimal-exposure-strategies-in-insurance(3768eede-a363-475b-bf25-8eff039fe6b7).html.
Повний текст джерелаАнотація:
Two optimisation problems were considered, in which market exposure is indirectly controlled. The first one models the capital of a company and an independent portfolio of new businesses, each one represented by a Cram\'r-Lundberg process. The company can choose the proportion of new business it wants to take on and can alter this proportion over time. Here the objective is to find a strategy that maximises the survival probability. We use a point processes framework to deal with the impact of an adapted strategy in the intensity of the new business. We prove that when Cram\'{e}r-Lundberg processes with exponentially distributed claims, it is optimal to choose a threshold type strategy, where the company switches between owning all new businesses or none depending on the capital level. For this type of processes that change both drift and jump measure when crossing the constant threshold, we solve the one and two-sided exit problems. This optimisation problem is also solved when the capital of the company and the new business are modelled by spectrally positive L\'vy processes of bounded variation. Here the one-sided exit problem is solved and we prove optimality of the same type of threshold strategy for any jump distribution. The second problem is a stochastic variation of the work done by Taylor about underwriting in a competitive market. Taylor maximised discounted future cash flows over a finite time horizon in a discrete time setting when the change of exposure from one period to the next has a multiplicative form involving the company's premium and the market average premium. The control is the company's premium strategy over a the mentioned finite time horizon. Taylor's work opened a rich line of research, and we discuss some of it. In contrast with Taylor's model, we consider the market average premium to be a Markov chain instead of a deterministic vector. This allows to model uncertainty in future conditions of the market. We also consider an infinite time horizon instead of finite. This solves the time dependency in Taylor's optimal strategies that were giving unrealistic results. Our main result is a formula to calculate explicitly the value function of a specific class of pricing strategies. Further we explore concrete examples numerically. We find a mix of optimal strategies where in some examples the company should follow the market while in other cases should go against it.
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Mahoui, Sihem. "Contrôle optimal de quelques phénomènes de diffusion en domaines pollués." Thesis, Guyane, 2018. http://www.theses.fr/2018YANE0003/document.
Повний текст джерелаАнотація:
Dans ce travail, on s'intéresse à l'analyse mathématique et au contrôle optimal pour des problèmes de diffusion relevant de certains domaines comme l'écologie ou l'environnement et comportant des termes de pollution inconnus en général. De plus, on souhaite agir sur le système en un seul point du domaine considéré pour des raisons de coût. La modélisation de ces problèmes se traduit généralement par un système de type parabolique avec donnée manquante (initiale ou aux limites) représentant la pollution, et où l'on introduit une fonction de contrôle de ce système. La méthode suivie pour résoudre ces problèmes est celle du contrôle à moindres regrets développée par J.-L. Lions et bien adaptée aux problèmes à données manquantes.Plus précisément, on est concerné par des problèmes de type parabolique qui décrivent la diffusion d'un fluide (eau) contaminé dans un domaine (une lagune ou un estuaire) par une pollution ayant son origine sur une partie du bord. De plus, on considère que la fonction source (le contrôle) est localisée en un point, c'est ce qu'on appelle le contrôle ponctuel. On cherche alors le (ou les) contrôle(s) qui peuvent améliorer la situation au lieu de la laisser à l'abandon (sans contrôle).Les solutions ne sont pas des fonctions régulières et ne peuvent être considérées qu'au sens faible. Deux méthodes sont utilisées: la première est la méthode de transposition de Lions-Magenes, détaillée au chapitre 3 de la thèse, et la deuxième méthode consiste à régulariser la masse de Dirac (le support du contrôle est un point) présentée au chapitre4. Pour les deux méthodes, on montre l'existence d'une solution faible et on établit un système d'optimalité singulier (SOS) du contrôle ponctuel à moindres regrets.Un dernier chapitre est consacré aux schémas numériques associés au problème de contrôle ponctuel à moindres regrets, où l'on obtient des estimations d'erreur par la méthode des éléments finis<br>In this thesis, we are interested in mathematical analysis and optimal control of diffusion problems where there are pollution terms. In addition, we want to act on the system in a single point of the domain for cost reasons. The systems being studied are parabolic with missing (initial or boundary) data representing pollution, where we introduce a control function. The method of low-regret control of J.-L. Lions, used here for the first time to the pointwise control, seems to be well suited. We then look for the control which can improve the situation instead of doing nothing (no control).Solutions are not regular functions and can only be considered in the weak sense. Two methods are used here: the first one is the method of transposition of Lions-Magenes, detailed in Chapter 3 of the thesis, and the second method consists in regularizing the Dirac mass, presented in chapter 4. Each one of the two methods offers a new point of view. In particular, the functional spaces where the existence of a solution is obtained are different. For both methods, however, a singular optimality system is established for the low-regret pointwise control.A final chapter is devoted to the numerical schemes associated to the low-regret pointwise optimal control, where we obtain error estimates using finite elements method (FEM)
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Kim, Hongchul. "Analysis and finite element approximation of an optimal shape control problem for the steady-state Navier-Stokes equations." Diss., This resource online, 1993. http://scholar.lib.vt.edu/theses/available/etd-06062008-170935/.
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Fekom, Mathilde. "Sequential Resource Allocation for network diffusion control." Thesis, université Paris-Saclay, 2021. http://www.theses.fr/2021UPASM008.
Повний текст джерелаАнотація:
L’endiguement dynamique d’un processus de diffusion indésirable sur réseau, comme une épidémie, exige d’un décideur (DM) qu’il soit capable de répondre à son évolution en prenant les bonnes mesures de con- trôle au bon moment. Cette tâche peut être considérée comme la gestion de l’allocation d’une quantité limitée de ressources aux nœuds du réseau, avec pour objectif de réduire les effets du processus.Dans cette thèse, nous étendons le problème de l’allocation dynamique de ressources (DRA) et pro- posons un cadre de contrôle dynamique à itéra- tions/tours multiples, que nous réalisons grâce à deux modèles dérivés: le DRA restreint et le DRA séquen- tiel (RDRA, SDRA). Contrairement aux considérations standards dans lesquelles l’information et l’accès sont complets, ces nouveaux modèles prennent en compte les éventuelles restrictions d’accès concernant les informa- tions disponibles sur le réseau et/ou la capacité à agir sur ses nœuds. À chaque cycle d’intervention, le DM a un accès limité aux informations relatives à une fraction des nœuds, et obtient également l’accès pour agir sur eux de manière séquentielle.Ce dernier aspect séquentiel dans le processus de décision offre une perspective com- plètement nouvelle au contrôle du processus de diffusion dynamique, ce qui fait de ce travail le premier à présen- ter le problème du contrôle dynamique comme une série de processus de sélection séquentielleDans le cadre du problème de sélection séquentielle (SSP), des décisions immédiates et irrévocables doivent être prises par le décideur, tandis que les candidats ar- rivent dans un ordre aléatoire et sont examinés pour l’un des créneaux de sélection disponible. Pour les besoins du contrôle de la diffusion en réseau, ce que nous pro- posons se traduit par sélectionner les bons nœuds afin deleur allouer les ressources de contrôle dans un processus séquentiel à plusieurs itérations. Cependant, les vari- antes standard du SSP, comme le très connu problème de la secrétaire, commencent par un ensemble de sélec- tion vide (démarrage à froid) et effectuent le processus de sélection une fois sur un seul ensemble de candidats (unique itération). Ces deux limites sont abordées dans la présente thèse. Tout d’abord, nous introduisons un nouveau paramètre de démarrage à chaud qui considère avoir à portée de main un ensemble de référence, c’est-à- dire un ensemble d’éléments préalablement sélectionnés d’une qualité donnée. Le DM tente ensuite de mettre à jour de manière optimale cet ensemble tout en exam- inant la séquence de candidats qui arrivent, contraint par la possibilité de mettre à jour l’affectation à chaque créneau de sélection (ressource) au plus une fois. Le pro- cessus de sélection séquentielle aux multiples itérations, est alors introduit comme une extension naturelle de la sélection de démarrage à chaud.Des fonctions objectif basées sur le rang et le score de la sélection finale sont prises en compte. Une approche basée sur la séparation de la séquence en deux phases est proposée pour la première, tandis que la stratégie optimale basée sur le calcul d’un seuil d’acceptation dy- namique est dérivée pour la seconde en supposant que la distribution des scores est connue. Ces stratégies sont ensuite mises en comparaison pour leur efficacité dans le cadre de la sélection traditionnelle ainsi que pour la résolution des problèmes de contrôle sur réseaux qui ont motivé cette thèse. La généralité des modèles introduits permet leur application à une grande variété de domaines et de problèmes; par exemple, les processus de recrute- ment récurrents, la gestion de ressources (par exemple, lits, personnel) dans les unités de soins de santé, ainsi que la résolution de problèmes combinatoires difficiles sous contraintes, comme le problème de b-diversification que l’on trouve dans les applications de traitement de flux de données (entre autres, en robotique)<br>The dynamic containment of an undesired network diffusion process, such as an epidemic, requires a decision maker (DM) to be able to respond to its evo- lution by taking the right control actions at the right moments. This task can be seen as managing the alloca- tion of a limited amount of resources to the graph nodes, with the objective to reduce the effects of the process.In this thesis we extend the Dynamic Resource Alloca- tion (DRA) problem and propose a multi-round dynamic control framework, which we realize through two derived models: the Restricted and the Sequential DRA (RDRA, SDRA). Contrary to the standard full-information and full-access DRA considerations, these new models take into account possible access restrictions regarding the the available information about the network and/or the ability to act on its nodes. At each intervention round, the DM has limited access to information related to a fraction of the nodes, and is also gaining access to act on them in a sequential fashion. The latter sequential as- pect in the decision process offers a completely new per- spective to the dynamic diffusion process control, making this work the first to cast the dynamic control problem as a series of specially designed sequential selection pro- cesses.In the Sequential Selection Problem (SSP), immediate and irrevocable decisions need to be made by the DM as candidate items arrive randomly and get examined for one of the limited selection slots available. For the needs of network diffusion control, what we propose translatesinto selecting the right nodes to allocate the control re- sources in a multi-round sequential process. However, standard SSP variants, such as the very well-known sec- retary problem, begin with an empty selection set (cold- start) and perform the selection process once over a single candidate set (single-round). These two limita- tions are addressed in this thesis. First, we introduce the novel Warm-starting SSP setting that considers hav- ing at hand a reference set, which is a set of previously selected items of a given quality, and tries to update optimally that set while examining the sequence of ar- riving candidates, constrained by being able to update the assignment to each selection slot (resource) at most once. The Multi-round Sequential Selection Process, the new online-within-online problem, is then introduced as a natural extension of the warm-starting selection.Both rank-based and score-based ob jective functions over the final selection are considered. A cutoff-based approach is proposed for the former, while the optimal strategy based on dynamic thresholding is derived for the latter assuming that the score distribution is known. These strategies are then put in comparison for their efficiency in the traditional selection setting as well as in solving network control problems that motivated this thesis. The generality of the introduced models allow their application to a wide variety of fields and problems; for instance, reoccurring recruiting processes, manage- ment of resources (e.g. beds, staff) in healthcare units, as well as tackling difficult combinatorial problems under constrains, such as the b-diversification problem found in data-stream processing applications (e.g. in robotics)
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Bountourelis, Theologos. "Efficient pac-learning for episodic tasks with acyclic state spaces and the optimal node visitation problem in acyclic stochastic digaphs." Diss., Atlanta, Ga. : Georgia Institute of Technology, 2008. http://hdl.handle.net/1853/28144.
Повний текст джерелаАнотація:
Thesis (M. S.)--Industrial and Systems Engineering, Georgia Institute of Technology, 2009.<br>Committee Chair: Reveliotis, Spyros; Committee Member: Ayhan, Hayriye; Committee Member: Goldsman, Dave; Committee Member: Shamma, Jeff; Committee Member: Zwart, Bert.
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Lie, Han Cheng [Verfasser]. "On a strongly convex approximation of a stochastic optimal control problem for importance sampling of metastable diffusions / Han Cheng Lie." Berlin : Freie Universität Berlin, 2016. http://d-nb.info/1095540165/34.
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Keller, Diana [Verfasser], Wilfried [Akademischer Betreuer] Grecksch, and Björn [Akademischer Betreuer] Schmalfuß. "An optimal control problem for the stochastic nonlinear Schrödinger equation in variational formulation / Diana Keller. Betreuer: Wilfried Grecksch ; Björn Schmalfuß." Halle, Saale : Universitäts- und Landesbibliothek Sachsen-Anhalt, 2015. http://d-nb.info/1078898413/34.
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Barbieri, Fabio. "Linear systems with Markov jumps and multiplicative noises: the constrained total variance problem." Universidade de São Paulo, 2016. http://www.teses.usp.br/teses/disponiveis/3/3139/tde-17032017-100317/.
Повний текст джерелаАнотація:
In this work we study the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noises. We consider the multiperiod and finite time horizon optimization of a mean-variance cost function under a new criterion. In this new problem, we apply a constraint on the total output variance weighted by its risk parameter while maximizing the expected output. The optimal control law is obtained from a set of interconnected Riccati difference equations, extending previous results in the literature. The application of our results is exemplified by numerical simulations of a portfolio of stocks and a risk-free asset.<br>Neste trabalho, estudamos o problema do controle ótimo estocástico de sistemas lineares em tempo discreto sujeitos a saltos Markovianos e ruídos multiplicativos. Consideramos a otimização multiperíodo, com horizonte de tempo finito, de um funcional da média-variância sob um novo critério. Neste novo problema, maximizamos o valor esperado da saída do sistema ao mesmo tempo em que limitamos a sua variância total ponderada pelo seu parâmetro de risco. A lei de controle ótima é obtida através de um conjunto de equações de diferenças de Riccati interconectadas, estendendo resultados anteriores da literatura. São apresentadas simulações numéricas para uma carteira de investimentos com ações e um ativo de risco para exemplificarmos a aplicação de nossos resultados.
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Wendl, Stefan [Verfasser], and Hans Josef [Akademischer Betreuer] Pesch. "On a Prototype of an Optimal Control Problem Governed by Ordinary and Partial Differential Equations / Stefan Wendl. Betreuer: Hans Josef Pesch." Bayreuth : Universität Bayreuth, 2014. http://d-nb.info/1060031558/34.
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Olaya, Sébastien. "Contribution à la modélisation multi-physique et au contrôle optimal d'un générateur houlomoteur : application à un système "deux corps"." Thesis, Brest, 2016. http://www.theses.fr/2016BRES0051/document.
Повний текст джерелаАнотація:
Cette thèse s’inscrit dans le cadre du 12ème appel à projet du Fonds Unique Interministériel (FUI) lancé par l’Etat au premier semestre 2011. Le projet « EM BILBOQUET » a été colabellisé par les pôles de compétitivité Mer Bretagne, Mer PACA et Tenerrdis. Il consiste en la réalisation d’un nouveau système de génération d’électricité issue du mouvement relatif entre deux corps flottants, mus par la houle. Dans cette thèse, nous nous sommes intéressés au contrôle optimal à appliquer sur la génératrice via les convertisseurs statiques, afin d’extraire le maximum d’énergie de la houle incidente. Dans un premier temps, nous avons établi les équations dynamiques régissant le comportement de la structure dans la houle en adoptant les hypothèses de la théorie potentielle. Pour ce faire, nous avons développé un code de calcul spécifique, basé sur une résolution du problème linéaire de tenue à la mer, par des méthodes dites semi-analytiques. Ce code de calcul permet de déterminer les coefficients hydrodynamiques nécessaires à l’écriture de l’équation dynamique dans le domaine fréquentiel, mais aussi dans le domaine temporel via une modification de la formulation de Cummins. Cette dernière nous permet ainsi, dans un second temps, de formuler le problème de maximisation de l’énergie récupérée comme un problème d’optimisation où la variable à optimiser est le couple résistant de la génératrice. Le problème est résolu en temps réel en adoptant une résolution par algorithme dit à horizon fuyant<br>In this thesis, we perform a study on a self-reacting point absorber, project FUI 12 “EM BILBOQUET”, in order to optimise energy extraction from incoming waves. Main researches use seabed for providing reference to a floating body, called buoy. However, as it is well-known that ocean energy is greater far away from the shore, sea-depth becomes a constraint. In this thesis a damping plate attached to a spar keel is proposed to allow the floating body to react against it. Energy resulting from the relative motion between the two concentric bodies i.e. the buoy and the spar is harnessed by a rack-and-pinion, which drive a permanent magnet synchronous generator through a gearbox. In the first part of the thesis we have developed a wave-to-wire model i.e. a model of the whole electro-mechanical chain from sea to grid. To this purpose we have developed our own hydrodynamic code, based on linear potential theory and on a semianalytical approach, solving the seakeeping problem. The hydrodynamic coefficients obtained such as added mass, radiation damping, and wave excitation forces are required for solving the dynamic equation based on Cummins formulation. The second part of the thesis focuses on the self-reacting point-absorber optimal control strategy and the Model Predictive Control (MPC) formulation is proposed. Objective function attempting to optimise the power generation is directly formulated as an absorbed power maximisation problem and thus no optimal references, such as buoy and/or spar velocity, are required. However, rather than using the full-order WEC model in the optimisation problem, that can be time-consuming due to its high order, and also because of the linear assumptions, we propose the use of a “phenomenologically" one-body equivalent model derived from the Thévenin’s theorem
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Ramirez, Ivan. "Mathematical Modeling of Immune Responses to Hepatitis C Virus Infection." Digital Commons @ East Tennessee State University, 2014. https://dc.etsu.edu/etd/2425.
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An existing mathematical model of ordinary differential equations was studied to better understand the interactions between hepatitis C virus (HCV) and the immune system cells in the human body. Three possible qualitative scenarios were explored: dominant CTL response, dominant antibody response, and coexistence. Additionally, a sensitivity analysis was carried out to rank model parameters for each of these scenarios. Therapy was addressed as an optimal control problem. Numerical solutions of optimal controls were computed using a forward-backward sweep scheme for each scenario. Model parameters were estimated using ordinary least squares fitting from longitudinal data (serum HCV RNA measurements) given in reported literature.
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Fogliano, Valerio. "Euclid GNC: an optimal attitude estimation algorithm in an output regulation problem framework for the control of a scientific satellite in Fine Pointing Mode." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2019.
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The work presented in this thesis is based on the design and analysis of the control system of the EUCLID satellite in Fine Pointing Mode. Its dynamical behaviour has been reproduced considering the effective errors given by the sensors and the main disturbances affecting its motion during the mission.
Through this work it has been designed an algorithm which is capable of providing the software robustness and the reduction of the computational cost needed in the industrial world and at the same time reaching the performance aimed by the academy.
In other words, it has been showed that the industrial and the academical worlds can be synthesized in a highly efficient way.
This goal has been achieved by designing an optimal estimator, which is capable of correcting the measurements coming from the sensors in terms of noise and delay, coupled with a linear optimal control algorithm fed into an error feedback output regulator. The estimator has been designed on the well-known Multiplicative Extended Kalman Filter model, modified for the delay correction of the star tracker by means of a backward state propagation for the state update correction. Meanwhile, the controller is exploiting the optimal control and the error feedback output regulation theory, leading to the tracking of not only step reference trajectories but also sinusoidal time varying signals.
Eventually, the reported simulations are highlighting the high performances reached by the observer, obtaining a very low error on the angular position, order of 10^(-3) deg, and angular velocity estimation, order of 10^(-5) rad/s. Furthermore, the pointing error requirement has been respected thanks to the high accuracy provided by the optimal controller, which gave an angular error of the order of 10^(-3) deg.
Lastly, the results obtained by the output regulator showed a remarkable ability in annihilating the tracking errors not only for periodic unstable but also for asymptotically stable reference trajectories.
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Chang, Chin-Yao. "Hierarchical Control of Inverter-Based Microgrids." The Ohio State University, 2016. http://rave.ohiolink.edu/etdc/view?acc_num=osu1471815065.
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Ziegenbalg, Stefan. "Kontrolle freier Ränder bei der Erstarrung von Kristallschmelzen." Doctoral thesis, Saechsische Landesbibliothek- Staats- und Universitaetsbibliothek Dresden, 2008. http://nbn-resolving.de/urn:nbn:de:bsz:14-ds-1212521184972-55836.
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Bei der Kristallzüchtung insbesondere von Halbleitern hat die Form des freien Randes (dem Interface zwischen fester und flüssiger Phase) einen starken Einfluss auf die Qualität des Kristalls. Die Dissertation befasst sich mit der Optimalsteuerung der Form und des Verlaufs des freien Randes. Als Vorlage für die in der Arbeit betrachteten Modellkonfigurationen dient das VGF-Verfahren (Vertical Gradient Freeze). Der Erstarrungsprozess wird durch ein Zweiphasen-Stefan-Problem mit durch Konvektion und Lorentzkräfte getriebener Strömung beschrieben. Der freie Rand wird als Graph formuliert. Das Kontrollziel besteht in der Ansteuerung eines gewünschten Verlaufs des freien Randes. Als Kontrollgrößen dient die Temperatur auf der Wand des Schmelztiegels und/oder wandnahe oder verteilte Lorentzkräfte. Das Kontrollziel wird durch Minimierung eines geeigneten Kosten-Funktionals erreicht. Das daraus resultierende Minimierungsproblem wird mit einem Adjungierten-Ansatz gelöst. Anhand numerischer Experimente mit Aluminium und Gallium-Arsenid Schmelzen wird gezeigt, das das vorgestellte Verfahren gut funktioniert.
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Sampathnarayanan, Balaji. "Analysis and Design of Stable and Optimal Energy Management Strategies for Hybrid Electric Vehicles." The Ohio State University, 2012. http://rave.ohiolink.edu/etdc/view?acc_num=osu1357079732.
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Chupin, Maxime. "Interplanetary transfers with low consumption using the properties of the restricted three body problem." Thesis, Paris 6, 2016. http://www.theses.fr/2016PA066307/document.
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Le premier objectif de cette thèse est de bien comprendre les propriétés de la dynamique du problème circulaire restreint des trois corps et de les utiliser pour calculer des missions pour satellites pourvus de moteurs à faible poussée. Une propriété fondamentale est l'existence de variétés invariantes associées à des orbites périodiques autour des points de \bsc{Lagrange}. En suivant l'idée de l'\emph{Interplanetary Transport Network}, la connaissance et le calcul des variétés invariantes, comme courants gravitationnels, sont cruciaux pour le \emph{design} de missions spatiales. Une grande partie de ce travail de thèse est consacrée au développement de méthodes numériques pour calculer le transfert entre variétés invariantes de façon optimale. Le coût que l'on cherche alors à minimiser est la norme $L^{1}$ du contrôle car elle est équivalente à minimiser la consommation des moteurs. On considère aussi la norme $L^{2}$ du contrôle car elle est, numériquement, plus facile à minimiser. Les méthodes numériques que nous utilisons sont des méthodes indirectes rendues plus robustes par des méthodes de continuation sur le coût, sur la poussée, et sur l'état final. La mise en œuvre de ces méthodes repose sur l'application du Principe du Maximum de Pontryagin. Les algorithmes développés dans ce travail permettent de calculer des missions réelles telles que des missions entre des voisinages des points de \bsc{Lagrange}. L'idée principale est d'initialiser un tir multiple avec une trajectoire admissible composée de parties contrôlées (des transferts locaux) et de parties non-contrôlées suivant la dynamique libre (les variétés invariantes). Les méthodes mises au point ici, sont efficaces et rapides puisqu'il suffit de quelques minutes pour obtenir la trajectoire optimale complète. Enfin, on développe une méthode hybride, avec à la fois des méthodes directes et indirectes, qui permettent d'ajuster la positions des points de raccord sur les variétés invariantes pour les missions à grandes variations d'énergie. Le gradient de la fonction valeur est donné par les valeurs des états adjoints aux points de raccord et donc ne nécessite pas de calculs supplémentaire. Ainsi, l'implémentation de algorithme du gradient est aisée<br>The first objective of this work is to understand the dynamical properties of the circular restricted three body problem in order to use them to design low consumption missions for spacecrafts with a low thrust engine. A fundamental property is the existence of invariant manifolds associated with periodic orbits around Lagrange points. Following the Interplanetary Transport Network concept, invariant manifolds are very useful to design spacecraft missions because they are gravitational currents. A large part of this work is devoted to designing a numerical method that performs an optimal transfer between invariant manifolds. The cost we want to minimize is the $L^{1}$-norm of the control which is equivalent to minimizing the consumption of the engines. We also consider the $L^{2}$-norm of the control which is easier to minimize numerically. The numerical methods are indirect ones coupled with different continuations on the thrust, on the cost, and on the final state, to provide robustness. These methods are based on the application of the Pontryagin Maximum Principal. The algorithms developed in this work allow for the design of real life missions such as missions between the realms of libration points. The basic idea is to initialize a multiple shooting method with an admissible trajectory that contains controlled parts (local transfers) and uncontrolled parts following the natural dynamics (invariant manifolds). The methods developed here are efficient and fast (less than a few minutes to obtain the whole optimal trajectory). Finally, we develop a hybrid method, with both direct and indirect methods, to adjust the position of the matching points on the invariant manifolds for missions with large energy gaps. The gradient of the value function is given by the values of the costates at the matching points and does not require any additional computation. Hence, the implementation of the gradient descent is easy