Search results for "Singular control"
showing 3 items of 3 documents
A Unified Approach to Portfolio Optimization with Linear Transaction Costs
2004
In this paper we study the continuous time optimal portfolio selection problem for an investor with a finite horizon who maximizes expected utility of terminal wealth and faces transaction costs in the capital market. It is well known that, depending on a particular structure of transaction costs, such a problem is formulated and solved within either stochastic singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the contemporary approaches and is capable to deal with any problem where transaction costs are a linear/piecewise-linear function of the volume of trade. We also discuss some methods for solving numerically the p…
Geometric optimal control of the contrast problem in Magnetic Resonance Imaging
2012
Abstract The control of the dynamics of spin systems by magnetic fields has opened intriguing possibilities in quantum computing and in Nuclear Magnetic Resonance spectroscopy. In this framework, optimal control theory has been used to design control fields able to realize a given task while minimizing a prescribed cost such as the energy of the field or the duration of the process. However, some of the powerful tools of optimal control had not been used yet for NMR applications in medical imagery. Here, we show that the geometric control theory approach can be advantageously combined with NMR methods to crucially optimize the imaging contrast. This approach is applied to a benchmark proble…
Singular systems in dimension 3: Cuspidal case and tangent elliptic flat case
2007
We study two singular systems in R3. The first one is affine in control and we achieve weighted blowings-up to prove that singular trajectories exist and that they are not locally time optimal. The second one is linear in control. The characteristic vector field in sub-Riemannian geometry is generically singular at isolated points in dimension 3. We define a case with symmetries, which we call flat, and we parametrize the sub-Riemannian sphere. This sphere is subanalytic.