Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise

In this article, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noise under three kinds of performance criterions related to the final value of the expectation and variance of the output. In the first problem it is desired to minimise the final variance of the output subject to a restriction on its final expectation, in the second one it is desired to maximise the final expectation of the output subject to a restriction on its final variance, and in the third one it is considered a performance criterion composed by a linear combination of the final variance and expectation of the output of the system. We present explicit sufficient conditions for the existence of an optimal control strategy for these problems, generalising previous results in the literature. We conclude this article presenting a numerical example of an asset liabilities management model for pension funds with regime switching.

Extensions of discrete triangular distributions and boundary bias in kernel estimation for discrete functions

Asymmetric discrete triangular distributions are introduced in order to extend the symmetric ones serving for discrete associated kernels in the nonparametric estimation for discrete functions. The extension from one to two orders around the mode provides a large family of discrete distributions having a finite support. Establishing a bridge between Dirac and discrete uniform distributions, some different shapes are also obtained and their properties are investigated. In particular, the mean and variance are pointed out. Applications to discrete kernel estimators are given with a solution to a boundary bias problem. (C) 2010 Elsevier B.V. All rights reserved.

Semilinear parabolic problems in thin domains with a highly oscillatory boundary

In this paper, we study the behavior of the solutions of nonlinear parabolic problems posed in a domain that degenerates into a line segment (thin domain) which has an oscillating boundary. We combine methods from linear homogenization theory for reticulated structures and from the theory on nonlinear dynamics of dissipative systems to obtain the limit problem for the elliptic and parabolic problems and analyze the convergence properties of the solutions and attractors of the evolutionary equations. (C) 2011 Elsevier Ltd. All rights reserved.

Synchronization of Discrete-Time Chaotic Systems in Bandlimited Channels

Over the last couple of decades, many methods for synchronizing chaotic systems have been proposed with communications applications in view. Yet their performance has proved disappointing in face of the nonideal character of usual channels linking transmitter and receiver, that is, due to both noise and signal propagation distortion. Here we consider a discrete-time master-slave system that synchronizes despite channel bandwidth limitations and an allied communication system. Synchronization is achieved introducing a digital filter that limits the spectral content of the feedback loop responsible for producing the transmitted signal. Copyright (C) 2009 Marcio Eisencraft et al.

Energy gain induced by boundary crisis

We consider a nonlinear system and show the unexpected and surprising result that, even for high dissipation, the mean energy of a particle can attain higher values than when there is no dissipation in the system. We reconsider the time-dependent annular billiard in the presence of inelastic collisions with the boundaries. For some magnitudes of dissipation, we observe the phenomenon of boundary crisis, which drives the particles to an asymptotic attractive fixed point located at a value of energy that is higher than the mean energy of the nondissipative case and so much higher than the mean energy just before the crisis. We should emphasize that the unexpected results presented here reveal the importance of a nonlinear dynamics analysis to explain the paradoxical strategy of introducing dissipation in the system in order to gain energy.

Non-linear boundary element formulation applied to contact analysis using tangent operator

This work presents a non-linear boundary element formulation applied to analysis of contact problems. The boundary element method (BEM) is known as a robust and accurate numerical technique to handle this type of problem, because the contact among the solids occurs along their boundaries. The proposed non-linear formulation is based on the use of singular or hyper-singular integral equations by BEM, for multi-region contact. When the contact occurs between crack surfaces, the formulation adopted is the dual version of BEM, in which singular and hyper-singular integral equations are defined along the opposite sides of the contact boundaries. The structural non-linear behaviour on the contact is considered using Coulomb`s friction law. The non-linear formulation is based on the tangent operator in which one uses the derivate of the set of algebraic equations to construct the corrections for the non-linear process. This implicit formulation has shown accurate as the classical approach, however, it is faster to compute the solution. Examples of simple and multi-region contact problems are shown to illustrate the applicability of the proposed scheme. (C) 2011 Elsevier Ltd. All rights reserved.

Inverse analysis FOR two-dimensional structures using the boundary element method

Inverse analysis is currently an important subject of study in several fields of science and engineering. The identification of physical and geometric parameters using experimental measurements is required in many applications. In this work a boundary element formulation to identify boundary and interface values as well as material properties is proposed. In particular the proposed formulation is dedicated to identifying material parameters when a cohesive crack model is assumed for 2D problems. A computer code is developed and implemented using the BEM multi-region technique and regularisation methods to perform the inverse analysis. Several examples are shown to demonstrate the efficiency of the proposed model. (C) 2010 Elsevier Ltd. All rights reserved,

Non-linear boundary element formulation with tangent operator to analyse crack propagation in quasi-brittle materials

This work deals with analysis of cracked structures using BEM. Two formulations to analyse the crack growth process in quasi-brittle materials are discussed. They are based on the dual formulation of BEM where two different integral equations are employed along the opposite sides of the crack surface. The first presented formulation uses the concept of constant operator, in which the corrections of the nonlinear process are made only by applying appropriate tractions along the crack surfaces. The second presented BEM formulation to analyse crack growth problems is an implicit technique based on the use of a consistent tangent operator. This formulation is accurate, stable and always requires much less iterations to reach the equilibrium within a given load increment in comparison with the classical approach. Comparison examples of classical problem of crack growth are shown to illustrate the performance of the two formulations. (C) 2009 Elsevier Ltd. All rights reserved.

BEM formulation for von Karman plates

This work deals with nonlinear geometric plates in the context of von Karman`s theory. The formulation is written such that only the boundary in-plane displacement and deflection integral equations for boundary collocations are required. At internal points, only out-of-plane rotation, curvature and in-plane internal force representations are used. Thus, only integral representations of these values are derived. The nonlinear system of equations is derived by approximating all densities in the domain integrals as single values, which therefore reduces the computational effort needed to evaluate the domain value influences. Hyper-singular equations are avoided by approximating the domain values using only internal nodes. The solution is obtained using a Newton scheme for which a consistent tangent operator was derived. (C) 2009 Elsevier Ltd. All rights reserved.

An alternative multi-region BEM technique for three-dimensional elastic problems

The main objective of this work is to present an alternative boundary element method (BEM) formulation for the static analysis of three-dimensional non-homogeneous isotropic solids. These problems can be solved using the classical boundary element formulation, analyzing each subregion separately and then joining them together by introducing equilibrium and displacements compatibility. Establishing relations between the displacement fundamental solutions of the different domains, the alternative technique proposed in this paper allows analyzing all the domains as one unique solid, not requiring equilibrium or compatibility equations. This formulation also leads to a smaller system of equations when compared to the usual subregion technique, and the results obtained are even more accurate. (C) 2008 Elsevier Ltd. All rights reserved.

Multiple random crack propagation using a boundary element formulation

This paper proposes a boundary element method (BEM) model that is used for the analysis of multiple random crack growth by considering linear elastic fracture mechanics problems and structures subjected to fatigue. The formulation presented in this paper is based on the dual boundary element method, in which singular and hyper-singular integral equations are used. This technique avoids singularities of the resulting algebraic system of equations, despite the fact that the collocation points coincide for the two opposite crack faces. In fracture mechanics analyses, the displacement correlation technique is applied to evaluate stress intensity factors. The maximum circumferential stress theory is used to evaluate the propagation angle and the effective stress intensity factor. The fatigue model uses Paris` law to predict structural life. Examples of simple and multi-fractured structures loaded until rupture are considered. These analyses demonstrate the robustness of the proposed model. In addition, the results indicate that this formulation is accurate and can model localisation and coalescence phenomena. (C) 2010 Elsevier Ltd. All rights reserved.

Wavelet-Galerkin method for one-dimensional elastoplasticity and damage problems: Constitutive modeling and computational aspects

This work presents an analysis of the wavelet-Galerkin method for one-dimensional elastoplastic-damage problems. Time-stepping algorithm for non-linear dynamics is presented. Numerical treatment of the constitutive models is developed by the use of return-mapping algorithm. For spacial discretization we can use wavelet-Galerkin method instead of standard finite element method. This approach allows to locate singularities. The discrete formulation developed can be applied to the simulation of one-dimensional problems for elastic-plastic-damage models. (C) 2007 Elsevier Inc. All rights reserved.

Discrete approximation to the global spectrum of the tangent operator for flow past a circular cylinder

This paper deals with the calculation of the discrete approximation to the full spectrum for the tangent operator for the stability problem of the symmetric flow past a circular cylinder. It is also concerned with the localization of the Hopf bifurcation in laminar flow past a cylinder, when the stationary solution loses stability and often becomes periodic in time. The main problem is to determine the critical Reynolds number for which a pair of eigenvalues crosses the imaginary axis. We thus present a divergence-free method, based on a decoupling of the vector of velocities in the saddle-point system from the vector of pressures, allowing the computation of eigenvalues, from which we can deduce the fundamental frequency of the time-periodic solution. The calculation showed that stability is lost through a symmetry-breaking Hopf bifurcation and that the critical Reynolds number is in agreement with the value presented in reported computations. (c) 2007 IMACS. Published by Elsevier B.V. All rights reserved.

Generalized Coupled Algebraic Riccati Equations for Discrete-time Markov Jump with Multiplicative Noise Systems

In this paper we consider the existence of the maximal and mean square stabilizing solutions for a set of generalized coupled algebraic Riccati equations (GCARE for short) associated to the infinite-horizon stochastic optimal control problem of discrete-time Markov jump with multiplicative noise linear systems. The weighting matrices of the state and control for the quadratic part are allowed to be indefinite. We present a sufficient condition, based only on some positive semi-definite and kernel restrictions on some matrices, under which there exists the maximal solution and a necessary and sufficient condition under which there exists the mean square stabilizing solution fir the GCARE. We also present a solution for the discounted and long run average cost problems when the performance criterion is assumed be composed by a linear combination of an indefinite quadratic part and a linear part in the state and control variables. The paper is concluded with a numerical example for pension fund with regime switching.

Linear minimum mean square filter for discrete-time linear systems with Markov jumps and multiplicative noises

In this paper we obtain the linear minimum mean square estimator (LMMSE) for discrete-time linear systems subject to state and measurement multiplicative noises and Markov jumps on the parameters. It is assumed that the Markov chain is not available. By using geometric arguments we obtain a Kalman type filter conveniently implementable in a recurrence form. The stationary case is also studied and a proof for the convergence of the error covariance matrix of the LMMSE to a stationary value under the assumption of mean square stability of the system and ergodicity of the associated Markov chain is obtained. It is shown that there exists a unique positive semi-definite solution for the stationary Riccati-like filter equation and, moreover, this solution is the limit of the error covariance matrix of the LMMSE. The advantage of this scheme is that it is very easy to implement and all calculations can be performed offline. (c) 2011 Elsevier Ltd. All rights reserved.