21 resultados para Controlled stochastic differential equation, Infinite-dimensional stochastic differential equation, Quadratic optimal control
Resumo:
We deal with homogeneous isotropic turbulence and use the two-point velocity correlation tensor field (parametrized by the time variable t) of the velocity fluctuations to equip an affine space K3 of the correlation vectors by a family of metrics. It was shown in Grebenev and Oberlack (J Nonlinear Math Phys 18:109–120, 2011) that a special form of this tensor field generates the so-called semi-reducible pseudo-Riemannian metrics ds2(t) in K3. This construction presents the template for embedding the couple (K3, ds2(t)) into the Euclidean space R3 with the standard metric. This allows to introduce into the consideration the function of length between the fluid particles, and the accompanying important problem to address is to find out which transformations leave the statistic of length to be invariant that presents a basic interest of the paper. Also we classify the geometry of the particles configuration at least locally for a positive Gaussian curvature of this configuration and comment the case of a negative Gaussian curvature.
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The Chafee-Infante equation is one of the canonical infinite-dimensional dynamical systems for which a complete description of the global attractor is available. In this paper we study the structure of the pullback attractor for a non-autonomous version of this equation, u(t) = u(xx) + lambda(xx) - lambda u beta(t)u(3), and investigate the bifurcations that this attractor undergoes as A is varied. We are able to describe these in some detail, despite the fact that our model is truly non-autonomous; i.e., we do not restrict to 'small perturbations' of the autonomous case.
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In this paper, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noises under two criteria. The first one is an unconstrained mean-variance trade-off performance criterion along the time, and the second one is a minimum variance criterion along the time with constraints on the expected output. We present explicit conditions for the existence of an optimal control strategy for the problems, generalizing previous results in the literature. We conclude the paper by presenting a numerical example of a multi-period portfolio selection problem with regime switching in which it is desired to minimize the sum of the variances of the portfolio along the time under the restriction of keeping the expected value of the portfolio greater than some minimum values specified by the investor. (C) 2011 Elsevier Ltd. All rights reserved.
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In this paper we study the continuity of invariant sets for nonautonomous infinite-dimensional dynamical systems under singular perturbations. We extend the existing results on lower-semicontinuity of attractors of autonomous and nonautonomous dynamical systems. This is accomplished through a detailed analysis of the structure of the invariant sets and its behavior under perturbation. We prove that a bounded hyperbolic global solutions persists under singular perturbations and that their nonlinear unstable manifold behave continuously. To accomplish this, we need to establish results on roughness of exponential dichotomies under these singular perturbations. Our results imply that, if the limiting pullback attractor of a nonautonomous dynamical system is the closure of a countable union of unstable manifolds of global bounded hyperbolic solutions, then it behaves continuously (upper and lower) under singular perturbations.
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Feedback stabilization of an ensemble of non interacting half spins described by the Bloch equations is considered. This system may be seen as an interesting example for infinite dimensional systems with continuous spectra. We propose an explicit feedback law that stabilizes asymptotically the system around a uniform state of spin +1/2 or -1/2. The proof of the convergence is done locally around the equilibrium in the H-1 topology. This local convergence is shown to be a weak asymptotic convergence for the H-1 topology and thus a strong convergence for the C topology. The proof relies on an adaptation of the LaSalle invariance principle to infinite dimensional systems. Numerical simulations illustrate the efficiency of these feedback laws, even for initial conditions far from the equilibrium. (C) 2011 Elsevier Ltd. All rights reserved.
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This paper studies the asymptotic optimality of discrete-time Markov decision processes (MDPs) with general state space and action space and having weak and strong interactions. By using a similar approach as developed by Liu, Zhang, and Yin [Appl. Math. Optim., 44 (2001), pp. 105-129], the idea in this paper is to consider an MDP with general state and action spaces and to reduce the dimension of the state space by considering an averaged model. This formulation is often described by introducing a small parameter epsilon > 0 in the definition of the transition kernel, leading to a singularly perturbed Markov model with two time scales. Our objective is twofold. First it is shown that the value function of the control problem for the perturbed system converges to the value function of a limit averaged control problem as epsilon goes to zero. In the second part of the paper, it is proved that a feedback control policy for the original control problem defined by using an optimal feedback policy for the limit problem is asymptotically optimal. Our work extends existing results of the literature in the following two directions: the underlying MDP is defined on general state and action spaces and we do not impose strong conditions on the recurrence structure of the MDP such as Doeblin's condition.
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In this article, we study the existence of mild solutions for fractional neutral integro-differential equations with infinite delay.
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We investigate the interface dynamics of the two-dimensional stochastic Ising model in an external field under helicoidal boundary conditions. At sufficiently low temperatures and fields, the dynamics of the interface is described by an exactly solvable high-spin asymmetric quantum Hamiltonian that is the infinitesimal generator of the zero range process. Generally, the critical dynamics of the interface fluctuations is in the Kardar-Parisi-Zhang universality class of critical behavior. We remark that a whole family of RSOS interface models similar to the Ising interface model investigated here can be described by exactly solvable restricted high-spin quantum XXZ-type Hamiltonians. (C) 2012 Elsevier B.V. All rights reserved.
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Over the past few years, the field of global optimization has been very active, producing different kinds of deterministic and stochastic algorithms for optimization in the continuous domain. These days, the use of evolutionary algorithms (EAs) to solve optimization problems is a common practice due to their competitive performance on complex search spaces. EAs are well known for their ability to deal with nonlinear and complex optimization problems. Differential evolution (DE) algorithms are a family of evolutionary optimization techniques that use a rather greedy and less stochastic approach to problem solving, when compared to classical evolutionary algorithms. The main idea is to construct, at each generation, for each element of the population a mutant vector, which is constructed through a specific mutation operation based on adding differences between randomly selected elements of the population to another element. Due to its simple implementation, minimum mathematical processing and good optimization capability, DE has attracted attention. This paper proposes a new approach to solve electromagnetic design problems that combines the DE algorithm with a generator of chaos sequences. This approach is tested on the design of a loudspeaker model with 17 degrees of freedom, for showing its applicability to electromagnetic problems. The results show that the DE algorithm with chaotic sequences presents better, or at least similar, results when compared to the standard DE algorithm and other evolutionary algorithms available in the literature.
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We present results for longitudinal dynamic hysteresis in single domain particles with uniaxial anisotropy. The combined influence of temperature, field-sweeping frequency, and field amplitude is discussed in detail. A novel and efficient numerical method is proposed, based on the direct solution of the infinite hierarchy of differential recurrence relations obtained from averaging over the stochastic realizations of the magnetic Langevin equation. (C) 2012 American Institute of Physics. [doi:10.1063/1.3676416]
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Tetradifon, a potentially carcinogenic and mutagenic pesticide, can contribute to environmental and human contamination when applied to green bell pepper crops. In this context, in this work, a reliable and sensitive method for determination of tetradifon in Brazilian green bell pepper samples involving a differential pulse voltammetry (DPV) technique on a glassy carbon electrode is proposed. The electrochemical behavior of tetradifon as followed by cyclic voltammetry (CV) suggests that its reduction occurs via an irreversible five-electron transfer vs. Ag vertical bar AgCl, KCl 3 M reference electrode. Very well-resolved diffusion controlled voltammetric peaks have been obtained in a supporting electrolyte solution composed of a mixture of 40% dimethylformamide (DMF), 30% methanol, and 30% NaOH 0.3 mol L-1 at -1.43, -1.57, -1.73, -1.88, and -2.05 V. The proposed DPV method has a good linear response in the 3.00 - 10.0 mu mol L-1 range, with a limit of detection (L.O.D) of 0.756 mu mol L-1 and 0.831 mu mol L-1 in the absence and in the presence of the matrix, respectively. Moreover, improved L.O.D results (0.607 mu mol L-1) have been achieved in the absence of DMF from the supporting electrolyte solution. Recovery has been evaluated in five commercial green bell pepper samples, and recovery percentages ranging from 91.0 to 109 have been obtained for tetradifon determinations. The proposed voltammetric method has also been tested for reproducibility, repeatability, and potential interferents, and the results obtained for these three analytical parameters are satisfactory for electroanalytical purposes. (C) 2012 The Electrochemical Society. [DOI: 10.1149/2.024207jes] All rights reserved.
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This article reports on the influence of the magnetization damping on dynamic hysteresis loops in single-domain particles with uniaxial anisotropy. The approach is based on the Neel-Brown theory and the hierarchy of differential recurrence relations, which follow from averaging over the realizations of the stochastic Landau-Lifshitz equation. A new method of solution is proposed, where the resulting system of differential equations is solved directly using optimized algorithms to explore its sparsity. All parameters involved in uniaxial systems are treated in detail, with particular attention given to the frequency dependence. It is shown that in the ferromagnetic resonance region, novel phenomena are observed for even moderately low values of the damping. The hysteresis loops assume remarkably unusual shapes, which are also followed by a pronounced reduction of their heights. Also demonstrated is that these features remain for randomly oriented ensembles and, moreover, are approximately independent of temperature and particle size. (C) 2012 American Institute of Physics. [doi:10.1063/1.3684629]
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We characterize the existence of periodic solutions of some abstract neutral functional differential equations with finite and infinite delay when the underlying space is a UMD space. (C) 2011 Elsevier Inc. All rights reserved.
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Background: Dysregulation of HPA axis has been widely described in subjects with bipolar disorder (BD), including changes in cortisol levels during mood episodes and euthymia. However, most of the studies were done with medicated BD patients with variable length of illness, which was shown to interfere on peripheral cortisol levels. Therefore, the present study aims to evaluate plasma cortisol levels in drug-naive BD subjects during the first manic episode, as well as investigate the relationship between plasma cortisol levels and manic symptomatology. Methods: Twenty-six drug-naive patients were enrolled meeting criteria for a first manic episode in bipolar I disorder. Severity of mania was assessed using the Young Mania Rating Scale (YMRS). The control group included 27 healthy subjects matched by age and gender. Cortisol was quantified using a direct radioimmunoassay. Results: Plasma cortisol levels were decreased during first manic episode compared to healthy controls. Higher cortisol levels were positively associated with the presence of irritability (dysphoria), while elated mania showed lower cortisol levels compared to controls. Limitation: Data including larger samples are lacking. Conclusion: Higher cortisol in dysphoric mania compared to predominantly elated/euphoric mania may indicate a clinical and neurobiological polymorphic phenomenon, potentially involving a higher biological sensitivity to stress in the presence of irritable mood. The present findings highlight the importance to add a dimensional approach to the traditional categorical diagnosis for future neurobiological studies in BD. (C) 2011 Elsevier B.V. All rights reserved.
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We consider an interacting particle system representing the spread of a rumor by agents on the d-dimensional integer lattice. Each agent may be in any of the three states belonging to the set {0,1,2}. Here 0 stands for ignorants, 1 for spreaders and 2 for stiflers. A spreader tells the rumor to any of its (nearest) ignorant neighbors at rate lambda. At rate alpha a spreader becomes a stifler due to the action of other (nearest neighbor) spreaders. Finally, spreaders and stiflers forget the rumor at rate one. We study sufficient conditions under which the rumor either becomes extinct or survives with positive probability.