Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises

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.

An analysis of Taguchi's on-line quality monitoring procedure for variables based on the results of a sequence of inspections

In this paper, a procedure for the on-line process control of variables is proposed. This procedure consists of inspecting the m-th item from every m produced items and deciding, at each inspection, whether the process is out-of-control. Two sets of limits, warning (µ0 ± W) and control (µ0 ± C), are used. If the value of the monitored statistic falls beyond the control limits or if a sequence of h observations falls between the warning limits and the control limits, the production is stopped for adjustment; otherwise, production goes on. The properties of an ergodic Markov chain are used to obtain an expression for the average cost per item. The parameters (the sampling interval m, the widths of the warning, the control limits W and C(W < C), and the sequence length (h) are optimized by minimizing the cost function. A numerical example illustrates the proposed procedure.

Steel fibre reinforced concrete pipes. Part 2: numerical model to simulate the crushing test

This paper is part of an extensive work about the technological development, experimental analysis and numerical modeling of steel fibre reinforced concrete pipes. The first part ("Steel fibre reinforced concrete pipes. Part 1: technological analysis of the mechanical behavior") dealt with the technological development of the experimental campaign, the test procedure and the discussion of the structural behavior obtained for each of the dosages of fibre used. This second part deals with the aspects of numerical modeling. In this respect, a numerical model called MAP, which simulates the behavior of fibre reinforced concrete pipes with medium-low range diameters, is introduced. The bases of the numerical model are also mentioned. Subsequently, the experimental results are contrasted with those produced by the numerical model, obtaining excellent correlations. It was possible to conclude that the numerical model is a useful tool for the design of this type of pipes, which represents an important step forward to establish the structural fibres as reinforcement for concrete pipes. Finally, the design for the optimal amount of fibres for a pipe with a diameter of 400 mm is presented as an illustrating example with strategic interest.