Search results for "matrix theory"
showing 9 items of 9 documents
Bootstrap validation of links of a minimum spanning tree
2018
We describe two different bootstrap methods applied to the detection of a minimum spanning tree obtained from a set of multivariate variables. We show that two different bootstrap procedures provide partly distinct information that can be highly informative about the investigated complex system. Our case study, based on the investigation of daily returns of a portfolio of stocks traded in the US equity markets, shows the degree of robustness and completeness of the information extracted with popular information filtering methods such as the minimum spanning tree and the planar maximally filtered graph. The first method performs a "row bootstrap" whereas the second method performs a "pair bo…
Feasibility issues in static output-feedback controller design with application to structural vibration control
2014
Recent results in output-feedback controller design make possible an efficient computation of static output-feedback controllers by solving a single-step LMI optimization problem. This new design strategy is based on a simple transformation of variables, and it has been applied in the field of vibration control of large structures with positive results. There are, however, some feasibility problems that can compromise the effectiveness and applicability of the new approach. In this paper, we present some relevant properties of the variable transformations that allow devising an effective procedure to deal with these feasibility issues. The proposed procedure is applied in designing a static…
Static output-feedback control under information structure constraints
2013
An important challenge in the static output-feedback control context is to provide an isolated gain matrix possessing a zero-nonzero structure, mainly in problems presenting information structure constraints. Although some previous works have contributed some relevant results to this issue, a fully satisfactory solution has not yet been achieved up to now. In this note, by using a Linear Matrix Inequality approach and based on previous results given in the literature, we present an e cient methodology which permits to obtain an isolated static output-feedback gain matrix having, simultaneously, a zero-nonzero structure imposed a priori. Peer Reviewed
Response determination of linear dynamical systems with singular matrices: A polynomial matrix theory approach
2017
Abstract An approach is developed based on polynomial matrix theory for formulating the equations of motion and for determining the response of multi-degree-of-freedom (MDOF) linear dynamical systems with singular matrices and subject to linear constraints. This system modeling may appear for reasons such as utilizing redundant DOFs, and can be advantageous from a computational cost perspective, especially for complex (multi-body) systems. The herein developed approach can be construed as an alternative to the recently proposed methodology by Udwadia and coworkers, and has the significant advantage that it circumvents the use of pseudoinverses in determining the system response. In fact, ba…
Cluster analysis for portfolio optimization
2005
We consider the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio. We show that the use of clustering algorithms can improve the reliability of the portfolio in terms of the ratio between predicted and realized risk. Bootstrap analysis indicates that this improvement is obtained in a wide range of the parameters N (number of assets) and T (investment horizon). The predicted and realized risk level and the relative portfolio composition of the selected portfolio for a given value of the portfolio return are also investigated for each considered filtering method.
Evolution of correlation structure of industrial indices of U.S. equity markets
2013
We investigate the dynamics of correlations present between pairs of industry indices of US stocks traded in US markets by studying correlation based networks and spectral properties of the correlation matrix. The study is performed by using 49 industry index time series computed by K. French and E. Fama during the time period from July 1969 to December 2011 that is spanning more than 40 years. We show that the correlation between industry indices presents both a fast and a slow dynamics. The slow dynamics has a time scale longer than five years showing that a different degree of diversification of the investment is possible in different periods of time. On top to this slow dynamics, we als…
Decomposition of one-loop QCD amplitudes into primitive amplitudes based on shuffle relations
2013
We present the decomposition of QCD partial amplitudes into primitive amplitudes at one-loop level and tree level for arbitrary numbers of quarks and gluons. Our method is based on shuffle relations. This method is purely combinatorial and does not require the inversion of a system of linear equations.
FDTD characterization of evanescent modes-multimode analysis of waveguide discontinuities
2000
In this paper, a finite-difference time-domain numerical dispersion relation for evanescent waves is derived, and its impact on the modeling accuracy is studied. The numerical evanescent constant is found to differ from the analytical one. As a result, a correction must be used to compute discontinuity parameters. This influences the reference plane chosen for the analysis of propagating modes. Moreover, on calculating multimode transmission and reflection coefficients, the dispersion for evanescent higher order modes is determinant. The dispersive relation is derived, discussed, and used to correct the evanescent constants for the multimode analysis of a waveguide discontinuity.
Application of the ADR method for the evaluation of the scattering matrix of an open ended coaxial
2007
The use of ADR method for locating poles near the real axis is proposed when the scattering matrix for an open ended coaxial is analysed radiating over a multilayer structure ended in a perfect electrical wall. So a better and faster integral evaluation is made once the subintegral function behaviour is known.