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Robust Optimal Control of Linear Discrete-Time Systems Using Primal-Dual Interior-Point Methods
Robust Optimal Control Linear Discrete-Time Systems Primal-Dual Interior-Point Methods
2015/7/10
This paper describes how to efficiently solve a robust optimal control problem using recently developed primal-dual interior-point methods. Among potential applications are model predictive control. T...
On Time-Invariant Purified-Output-Based Discrete Time Control
Time-Invariant Purified-Output-Based Discrete Time Control
2015/7/10
In an earlier paper, we have demonstrated that the family of all affine non-anticipative output-based control laws in a discrete time linear dynamical system affected by uncertain disturbances is equi...
Statistical inference for discrete-time samples from affine stochastic delay differential equations
asymptotic normality composite likelihood consistency discrete time observation of continuous-time models prediction-based estimating functions pseudo-likelihood stochastic delay differential equation
2013/4/28
Statistical inference for discrete time observations of an affine stochastic delay differential equation is considered. The main focus is on maximum pseudo-likelihood estimators, which are easy to cal...
Causal band-limited approximation and forecasting for discrete time processes
band-limited processes discrete time processes causal filters sampling low-pass filters forecasting.
2012/9/18
We study causal dynamic approximation of non-bandlimited discretetime processes by band-limited discrete time processes such that a part of the historical path of the underlying process is approximate...
Extension of Lipschitz integrands and minimization of nonconvex integral functionals. Applications to the optimal recourse problem in discrete time
Extension of Lipschitz integrands minimization of nonconvex integral functionals
2009/9/24
Extension of Lipschitz integrands and minimization of nonconvex integral functionals. Applications to the optimal recourse problem in discrete time。
On martingale measures for stochastic processes with discrete time
martingale measures stochastic processes discrete time
2009/9/22
Let (X(t); f E N') be a random sequence adopted to .
a filtration (Ft)in (a,F ,P ) satisfying some natural assumption. If
none of the events (X (t + 1) > X (t)), (X (t + 1) < X (t)) can be predicted...
Discrete time portfolio selection with proportional transaction cost
PortfoIio selection Transaction costs Bellman equation
2009/9/22
In the paper discrete time portblio selection with
maximization of a discounted satisfaction functional is studied. In Section
2 the case without transaction costs is considered and explint
solutio...
Discrete time periodically correlated Markov processes
periodically correlated proasses Markov processes covariance characterization
2009/9/22
We consider a discrete time periodically correlated
process {X.} which is also Markov in the wide sense. We provide
closed formulas for the covariance function R (n, m) = EX, X, and for
the spectra...
Risk sensitive adaptive control of discrete time Markov processes
Adaptive control risk sensitive contral discrete time controlled Markov process
2009/9/21
Adap~ve control of discrete time Markov processes
with an innnite horizon risk sensitive cost hadionat is investigated.
Tfie con~nuityo f the optimal nsk sensitive cost with respect
to a parmetes o...
Princing European options on instruments with a constant dividend yield:The randomized discrete-time approach
Option pricing dividends randomization alternative models
2009/9/21
Due to the well-known fact that market returns are not
normally distributed, we use generalized hyperbolic distributions for
pricing options in a randomized discrete-time setup. The obtained
formul...
Asymptotic variance of functionals of discrete-time Markov chains via the Drazin inverse.
Markov chain state space transition kernel
2009/3/23
We consider a ψ-irreducible, discrete-time Markov chain on a general state space with transition kernel P. Under suitable conditions on the chain, kernels can be treated as bounded linear operators...
Martingale selection problem and asset pricing in finite discrete time
Martingale selection problem asset pricing finite discrete time
2009/3/23
Given a set-valued stochastic process (Vt)t=0,...,T, we say that the martingale selection problem is solvable if there exists an adapted sequence of selectors ξt in Vt, admitting an equivalent marting...
Discrete time nonlinear filters with informative observations are stable
Discrete time nonlinear filters informative observation
2009/3/23
The nonlinear filter associated with the discrete time signal-observation model $(X_k,Y_k)$ is known to forget its initial condition as $ktoinfty$ regardless of the observation structure when the sign...
Estimation of the spectral density of a homogeneous random stable discrete time field
homogeneous stable fields spectral density estimate
2009/2/23
In earlier papers, 2π-periodic spectral data windows have been used in spectral estimation of discretetime random fields having finite second-order moments. In this paper, we show that 2π-periodic spe...