Search results for "stochastic"
showing 10 items of 1018 documents
Hedging of Spatial Temperature Risk with Market-Traded Futures
2011
The main objective of this work is to construct optimal temperature futures from available market-traded contracts to hedge spatial risk. Temperature dynamics are modelled by a stochastic differential equation with spatial dependence. Optimal positions in market-traded futures minimizing the variance are calculated. Examples with numerical simulations based on a fast algorithm for the generation of random fields are presented.
A novel technique for stochastic root-finding: Enhancing the search with adaptive d-ary search
2017
The most fundamental problem encountered in the field of stochastic optimization, is the Stochastic Root Finding (SRF) problem where the task is to locate an unknown point x∗ for which g(x∗) = 0 for a given function g that can only be observed in the presence of noise [15]. The vast majority of the state-of-the-art solutions to the SRF problem involve the theory of stochastic approximation. The premise of the latter family of algorithms is to oper ate by means of so-called “small-step”processesthat explorethe search space in a conservative manner. Using this paradigm, the point investigated at any time instant is in the proximity of the point investigated at the previous time instant, render…
Approximation-Based Adaptive Fuzzy Tracking Control for a Class of Nonstrict-Feedback Stochastic Nonlinear Time-Delay Systems
2015
This paper focuses on the problem of approximation-based adaptive fuzzy tracking control for a class of stochastic nonlinear time-delay systems with a nonstrict-feedback structure. A variable separation approach is introduced to overcome the design difficulty from the nonstrict-feedback structure. Mamdani-type fuzzy logic systems are utilized to model the unknown nonlinear functions in the process of controller design, and an adaptive fuzzy tracking controller is systematically designed by using a backstepping technique. It is shown that the proposed controller guarantees that all signals in the closed-loop system are fourth-moment semiglobally uniformly ultimately bounded, and the tracking…
Average flow constraints and stabilizability in uncertain production-distribution systems
2009
We consider a multi-inventory system with controlled flows and uncertain demands (disturbances) bounded within assigned compact sets. The system is modelled as a first-order one integrating the discrepancy between controlled flows and demands at different sites/nodes. Thus, the buffer levels at the nodes represent the system state. Given a long-term average demand, we are interested in a control strategy that satisfies just one of two requirements: (i) meeting any possible demand at each time (worst case stability) or (ii) achieving a predefined flow in the average (average flow constraints). Necessary and sufficient conditions for the achievement of both goals have been proposed by the aut…
Subsignal-based denoising from piecewise linear or constant signal
2011
15 pages; International audience; n the present work, a novel signal denoising technique for piecewise constant or linear signals is presented termed as "signal split." The proposed method separates the sharp edges or transitions from the noise elements by splitting the signal into different parts. Unlike many noise removal techniques, the method works only in the nonorthogonal domain. The new method utilizes Stein unbiased risk estimate (SURE) to split the signal, Lipschitz exponents to identify noise elements, and a polynomial fitting approach for the sub signal reconstruction. At the final stage, merging of all parts yield in the fully denoised signal at a very low computational cost. St…
Parasite population delay model of malaria type with stochastic perturbation and environmental criterion for limitation of disease
2009
AbstractWe present a stochastic delay model of an infectious disease (malaria) transmitted by a vectors (mosquitoes) after an incubation time. A criterion for limitation of disease is found.
An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps
2014
Partial integro-differential equation (PIDE) formulations are often preferable for pricing options under models with stochastic volatility and jumps, especially for American-style option contracts. We consider the pricing of options under such models, namely the Bates model and the so-called stochastic volatility with contemporaneous jumps (SVCJ) model. The nonlocality of the jump terms in these models leads to matrices with full matrix blocks. Standard discretization methods are not viable directly since they would require the inversion of such a matrix. Instead, we adopt a two-step implicit-explicit (IMEX) time discretization scheme, the IMEX-CNAB scheme, where the jump term is treated ex…
Regularity of solutions to differential equations with non-Lipschitz coefficients
2008
AbstractWe study the ordinary and stochastic differential equations whose coefficients satisfy certain non-Lipschitz conditions, namely, we study the behaviors of small subsets under the flows generated by these equations.
Spatial Besov regularity for stochastic partial differential equations on Lipschitz domains
2010
We use the scale of Besov spaces B^\alpha_{\tau,\tau}(O), \alpha>0, 1/\tau=\alpha/d+1/p, p fixed, to study the spatial regularity of the solutions of linear parabolic stochastic partial differential equations on bounded Lipschitz domains O\subset R^d. The Besov smoothness determines the order of convergence that can be achieved by nonlinear approximation schemes. The proofs are based on a combination of weighted Sobolev estimates and characterizations of Besov spaces by wavelet expansions.
Stabilization of discrete-time systems with stochastic sampling
2012
This paper is concerned with the stabilization problem of discrete-time systems with stochastic sampling. It is assumed that there are a single-rate sampling in the plant input and two stochastic sampling rates in the controller input whose occurrence probabilities are given constants and satisfy a Bernoulli distribution. By Lyapunov function approach, a new sufficient condition is presented for the mean square asymptotic stability of the system. Based on this, the design procedure for stabilization controllers is proposed. Finally, an example is given to demonstrate the effectiveness of the proposed techniques.