Search results for "optimal"
showing 10 items of 706 documents
Robust Mean Field Games
2015
Recently there has been renewed interest in large-scale games in several research disciplines, with diverse application domains as in the smart grid, cloud computing, financial markets, biochemical reaction networks, transportation science, and molecular biology. Prior works have provided rich mathematical foundations and equilibrium concepts but relatively little in terms of robustness in the presence of uncertainties. In this paper, we study mean field games with uncertainty in both states and payoffs. We consider a population of players with individual states driven by a standard Brownian motion and a disturbance term. The contribution is threefold: First, we establish a mean field syste…
Optimal design of new steel connections
2019
The Limited Resistance Rigid Perfectly Plastic Hinge (LRPH) are special steel connections mainly usable to join beam elements of plane or spa-tial steel frames. The fundamental characteristics of these devices are the mutu-al independence of their own resistance and stiffness features as well as the re-spect of assigned constraints related to the elastic and limit behaviour of the joined elements. Within the frame structural scheme, the device plays the role of a rigid perfectly plastic hinge, constituted by a suitably sized sandwich sec-tion. The efficient use of the LRPH in the relevant frame depends on the appro-priate design of the device geometry. In the present paper, a new approach d…
A Fokker–Planck control framework for multidimensional stochastic processes
2013
AbstractAn efficient framework for the optimal control of probability density functions (PDFs) of multidimensional stochastic processes is presented. This framework is based on the Fokker–Planck equation that governs the time evolution of the PDF of stochastic processes and on tracking objectives of terminal configuration of the desired PDF. The corresponding optimization problems are formulated as a sequence of open-loop optimality systems in a receding-horizon control strategy. Many theoretical results concerning the forward and the optimal control problem are provided. In particular, it is shown that under appropriate assumptions the open-loop bilinear control function is unique. The res…
American Option Pricing and Exercising with Transaction Costs
2005
In this paper we examine the problem of finding the reservation option prices and corresponding exercise policies of American options in a market with proportional transaction costs using the utility based approach proposed by Davis and Zariphopoulou (1995). We present a model where the option holder has a constant absolute risk aversion. We discuss the numerical algorithm and propose a new characterization of the option holder's value function. We suggest original discretization schemes for computing reservation prices and exercise policies of American options. The discretization schemes are implemented for the cases of American put and call options. We present the study of the optimal tra…
Effective simulation model and new control strategy to improve energy efficiency in hybrid electric land vehicle
2014
The main objectives of this work is to develop an effective modeling method for an easydeployment of a control strategy, to review and study an optimal control strategy for a specific application, and to analyze improvement that can be effected to engine for better efficiency in hybrid vehicle architecture. The scopes of this work include the simulation part of the studied system and its validation with experimental results. Study cases are used to analyze optimization that can be effected to the original system. A well established optimization tool is chosen to optimize the actual control strategy and becomes a benchmark of a new optimal control strategy to be deployed in the system. A pre…
Smart strategy of an hybrid vehicle global energetic system gestion
2018
The main objective of this work is to develop an optimal management strategy to improve energetic efficiency of hybrid electric vehicle. This work is composed by a mobility experimental analysis part, a numerical modelization part and an optimization part of the energy management strategy. The study of mobility allow to highligth and quantify the predictibility of trips, due to a constraint mobility.The dynamic modelling of the vehicle which is necesary to study perfomance of strategies, was realized by Energetic Macroscopic Representation (EMR) which is a good methode in this case. The proposed strategy is based on the predictive control (MPC), solve by a method of Programming Quadratic, a…
Implementation aspects of interactive multiobjective optimization for modeling environments: The case of GAMS-NIMBUS
2014
Abstract. Interactive multiobjective optimization methods have provided promising results in the literature but still their implementations are rare. Here we introduce a core structure of interactive methods to enable their convenient implementation. We also demonstrate how this core structure can be applied when implementing an interactive method using a modeling environment. Many modeling environments contain tools for single objective optimization but not for interactive multiobjective optimization. Furthermore, as a concrete example, we present GAMS-NIMBUS Tool which is an implementation of the classification-based NIMBUS method for the GAMS modeling environment. So far, interactive met…
Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
2016
In this comment we discuss the problem of reconciling the linear efficiency of price returns with the long-memory of supply and demand. We present new evidence that shows that efficiency is maintained by a liquidity imbalance that co-moves with the imbalance of buyer vs. seller initiated transactions. For example, during a period where there is an excess of buyer initiated transactions, there is also more liquidity for buy orders than sell orders, so that buy orders generate smaller and less frequent price responses than sell orders. At the moment a buy order is placed the transaction sign imbalance tends to dominate, generating a price impact. However, the liquidity imbalance rapidly incre…
On parsing optimality for dictionary-based text compression—the Zip case
2013
Dictionary-based compression schemes are the most commonly used data compression schemes since they appeared in the foundational paper of Ziv and Lempel in 1977, and generally referred to as LZ77. Their work is the base of Zip, gZip, 7-Zip and many other compression software utilities. Some of these compression schemes use variants of the greedy approach to parse the text into dictionary phrases; others have left the greedy approach to improve the compression ratio. Recently, two bit-optimal parsing algorithms have been presented filling the gap between theory and best practice. We present a survey on the parsing problem for dictionary-based text compression, identifying noticeable results …
Dictionary-symbolwise flexible parsing
2012
AbstractLinear-time optimal parsing algorithms are rare in the dictionary-based branch of the data compression theory. A recent result is the Flexible Parsing algorithm of Matias and Sahinalp (1999) that works when the dictionary is prefix closed and the encoding of dictionary pointers has a constant cost. We present the Dictionary-Symbolwise Flexible Parsing algorithm that is optimal for prefix-closed dictionaries and any symbolwise compressor under some natural hypothesis. In the case of LZ78-like algorithms with variable costs and any, linear as usual, symbolwise compressor we show how to implement our parsing algorithm in linear time. In the case of LZ77-like dictionaries and any symbol…