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Analysis and synthesis of state-feedback controllers with timing jitter
Constant linear linear system status the convex quadratic performance the linear matrix inequality (lmi) and lyapunov function
2015/8/10
We consider a continuous-time linear system with sampled constant linear state-feedback control and a convex quadratic performance measure. The sample times, however, are subject to variation within s...
An Efficient Algorithm for the Optimal Market Timing over Two Stocks
Optimal trading strategy investment return largest change sufficient statistics transaction cost
2007/12/12
In this paper, the optimal trading strategy in timingthe market by switching between two stocks is given. In order todeal with a large sample size with a fast turnaround computationtime, we propose a...