A model of dynamic liquidity contracts

I study long-term financial contracts between lenders and borrowers in the absence of perfect enforceability and when both parties are credit constrained. Borrowers repeatedly have projects to undertake and need external financing. Lenders can commit to contractual agreements whereas borrowers can renege any period. I show that equilibrium contracts feature interesting dynamics: the economy exhibits efficient investment cycles; absence of perfect enforcement and shortage of capital skew the cycles toward states of liquidity drought; credit is rationed if either the lender has too little capital or if the borrower has too little collateral. This paper's technical contribution is its demonstration of the existence and characterization of financial contracts that are solutions to a non-convex dynamic programming problem.

Computing Distance Functions from Generalized Sources on Weighted Polyhedral Surfaces

We present algorithms for computing approximate distance functions and shortest paths from a generalized source (point, segment, polygonal chain or polygonal region) on a weighted non-convex polyhedral surface in which obstacles (represented by polygonal chains or polygons) are allowed. We also describe an algorithm for discretizing, by using graphics hardware capabilities, distance functions. Finally, we present algorithms for computing discrete k-order Voronoi diagrams

Generalized Higher-Order Voronoi Diagrams on Polyhedral Surfaces

We present an algorithm for computing exact shortest paths, and consequently distances, from a generalized source (point, segment, polygonal chain or polygonal region) on a possibly non-convex polyhedral surface in which polygonal chain or polygon obstacles are allowed. We also present algorithms for computing discrete Voronoi diagrams of a set of generalized sites (points, segments, polygonal chains or polygons) on a polyhedral surface with obstacles. To obtain the discrete Voronoi diagrams our algorithms, exploiting hardware graphics capabilities, compute shortest path distances defined by the sites

Computationally reliable approaches of contractive MPC for discrete-time systems

La tesis pretende explorar acercamientos computacionalmente confiables y eficientes de contractivo MPC para sistemas de tiempo discreto. Dos tipos de contractivo MPC han sido estudiados: MPC con coacción contractiva obligatoria y MPC con una secuencia contractiva de conjuntos controlables. Las técnicas basadas en optimización convexa y análisis de intervalos son aplicadas para tratar MPC contractivo lineal y no lineal, respectivamente. El análisis de intervalos clásicos es ampliado a zonotopes en la geometría para diseñar un conjunto invariante de control terminal para el modo dual de MPC. También es ampliado a intervalos modales para tener en cuenta la modalidad al calcula de conjuntos controlables robustos con una interpretación semántica clara. Los instrumentos de optimización convexa y análisis de intervalos han sido combinados para mejorar la eficacia de contractive MPC para varias clases de sistemas de tiempo discreto inciertos no lineales limitados. Finalmente, los dos tipos dirigidos de contractivo MPC han sido aplicados para controlar un Torneo de Fútbol de Copa Mundial de Micro Robot (MiroSot) y un Tanque-Reactor de Mezcla Continua (CSTR), respectivamente.

Extending the friction cone algorithm for arbitrary polygon based haptic objects

Most haptic environments are based on single point interactions whereas in practice, object manipulation requires multiple contact points between the object, fingers, thumb and palm. The Friction Cone Algorithm was developed specifically to work well in a multi-finger haptic environment where object manipulation would occur. However, the Friction Cone Algorithm has two shortcomings when applied to polygon meshes: there is no means of transitioning polygon boundaries or feeling non-convex edges. In order to overcome these deficiencies, Face Directed Connection Graphs have been developed as well as a robust method for applying friction to non-convex edges. Both these extensions are described herein, as well as the implementation issues associated with them.

Synthesis method for visible and infrared broadband spaceflight antireflection coatings

Evolutionary synthesis methods, as originally described by Dobrowolski, have been shown in previous literature to be an effective method of obtaining anti-reflection coating designs. To make this method even more effective, the combination of a good starting design, the best suited thin-film materials, a realistic optimization target function and a non-gradient optimization method are used in an algorithm written for a PC. Several broadband anti-reflection designs obtained by this new design method are given as examples of its usefulness.

Trefftz discontinuous Galerkin methods for acoustic scattering on locally refined meshes

We extend the a priori error analysis of Trefftz-discontinuous Galerkin methods for time-harmonic wave propagation problems developed in previous papers to acoustic scattering problems and locally refined meshes. To this aim, we prove refined regularity and stability results with explicit dependence of the stability constant on the wave number for non convex domains with non connected boundaries. Moreover, we devise a new choice of numerical flux parameters for which we can prove L2-error estimates in the case of locally refined meshes near the scatterer. This is the setting needed to develop a complete hp-convergence analysis.

Fuzzy c-means density based clustering using data induced metric

We propose a new data induced metric to perform un supervised data classification (clustering). Our goal is to automatically recognize clusters of non-convex shape. We present a new version of fuzzy c-means al gorithm, based on the data induced metric, which is capable to identify non-convex d-dimensional clusters.

Pseudoconvex proximal splitting for L∞problems in multiview geometry

In this paper we study optimization methods for minimizing large-scale pseudoconvex L∞problems in multiview geometry. We present a novel algorithm for solving this class of problem based on proximal splitting methods. We provide a brief derivation of the proposed method along with a general convergence analysis. The resulting meta-algorithm requires very little effort in terms of implementation and instead makes use of existing advanced solvers for non-linear optimization. Preliminary experiments on a number of real image datasets indicate that the proposed method experimentally matches or outperforms current state-of-the-art solvers for this class of problems.

On backwards and forwards reachable sets bounding for perturbed time-delay systems

Linear systems with interval time-varying delay and unknown-but-bounded disturbances are considered in this paper. We study the problem of finding outer bound of forwards reachable sets and inter bound of backwards reachable sets of the system. Firstly, two definitions on forwards and backwards reachable sets, where initial state vectors are not necessary to be equal to zero, are introduced. Then, by using the Lyapunov-Krasovskii method, two sufficient conditions for the existence of: (i) the smallest possible outer bound of forwards reachable sets; and (ii) the largest possible inter bound of backwards reachable sets, are derived. These conditions are presented in terms of linear matrix inequalities with two parameters need to tuned, which therefore can be efficiently solved by combining existing convex optimization algorithms with a two-dimensional search method to obtain optimal bounds. Lastly, the obtained results are illustrated by four numerical examples.

Stable feature selection with support vector machines

The support vector machine (SVM) is a popular method for classification, well known for finding the maximum-margin hyperplane. Combining SVM with l1-norm penalty further enables it to simultaneously perform feature selection and margin maximization within a single framework. However, l1-norm SVM shows instability in selecting features in presence of correlated features. We propose a new method to increase the stability of l1-norm SVM by encouraging similarities between feature weights based on feature correlations, which is captured via a feature covariance matrix. Our proposed method can capture both positive and negative correlations between features. We formulate the model as a convex optimization problem and propose a solution based on alternating minimization. Using both synthetic and real-world datasets, we show that our model achieves better stability and classification accuracy compared to several state-of-the-art regularized classification methods.

Detection of dynamic background due to swaying movements from motion features

Dynamically changing background (dynamic background) still presents a great challenge to many motion-based video surveillance systems. In the context of event detection, it is a major source of false alarms. There is a strong need from the security industry either to detect and suppress these false alarms, or dampen the effects of background changes, so as to increase the sensitivity to meaningful events of interest. In this paper, we restrict our focus to one of the most common causes of dynamic background changes: 1) that of swaying tree branches and 2) their shadows under windy conditions. Considering the ultimate goal in a video analytics pipeline, we formulate a new dynamic background detection problem as a signal processing alternative to the previously described but unreliable computer vision-based approaches. Within this new framework, we directly reduce the number of false alarms by testing if the detected events are due to characteristic background motions. In addition, we introduce a new data set suitable for the evaluation of dynamic background detection. It consists of real-world events detected by a commercial surveillance system from two static surveillance cameras. The research question we address is whether dynamic background can be detected reliably and efficiently using simple motion features and in the presence of similar but meaningful events, such as loitering. Inspired by the tree aerodynamics theory, we propose a novel method named local variation persistence (LVP), that captures the key characteristics of swaying motions. The method is posed as a convex optimization problem, whose variable is the local variation. We derive a computationally efficient algorithm for solving the optimization problem, the solution of which is then used to form a powerful detection statistic. On our newly collected data set, we demonstrate that the proposed LVP achieves excellent detection results and outperforms the best alternative adapted from existing art in the dynamic background literature.

Controle preditivo robusto baseado em desigualdades matriciais lineares aplicado a um sistema de tanques acoplados

This work deals with an on-line control strategy based on Robust Model Predictive Control (RMPC) technique applied in a real coupled tanks system. This process consists of two coupled tanks and a pump to feed the liquid to the system. The control objective (regulator problem) is to keep the tanks levels in the considered operation point even in the presence of disturbance. The RMPC is a technique that allows explicit incorporation of the plant uncertainty in the problem formulation. The goal is to design, at each time step, a state-feedback control law that minimizes a 'worst-case' infinite horizon objective function, subject to constraint in the control. The existence of a feedback control law satisfying the input constraints is reduced to a convex optimization over linear matrix inequalities (LMIs) problem. It is shown in this work that for the plant uncertainty described by the polytope, the feasible receding horizon state feedback control design is robustly stabilizing. The software implementation of the RMPC is made using Scilab, and its communication with Coupled Tanks Systems is done through the OLE for Process Control (OPC) industrial protocol

Mathematical tool to size rural digesters

Os biodigestores têm sido objetos de grande destaque devido a atual crise de energia e conseqüente busca de fontes alternativas. Outro fator que coloca os biodigestores em evidência é o intenso processo de modernização da agropecuária, que além da grande demanda de energia, produz um volume de resíduos animais e de culturas, que ocasiona muitas vezes problemas de ordem sanitária. O objetivo deste trabalho é fornecer uma ferramenta matemática para determinação de parâmetros para projetos de construção de biodigestores rurais, levando-se em consideração o atendimento de necessidades energéticas, obedecendo os dimensionamentos dos sistemas, fatores de rendimento e garantindo a funcionalidade. Para isto, foram formulados modelos de otimização não lineares, de fácil resolução, para os três principais tipos de biodigestores rurais. Com a resolução destes modelos são determinados a altura e o diâmetro que levem a um volume mínimo para cada tipo, com isto reduz-se a quantidade necessária de materiais de alvenaria e consequentemente o custo do biodigestor é diminuído.

H-2 and H-infinity - norm control of intelligent structures using LMI techniques

Linear Matrix Inequalities (LMIs) is a powerful too] that has been used in many areas ranging from control engineering to system identification and structural design. There are many factors that make LMI appealing. One is the fact that a lot of design specifications and constrains can be formulated as LMIs [1]. Once formulated in terms of LMIs a problem can be solved efficiently by convex optimization algorithms. The basic idea of the LMI method is to formulate a given problem as an optimization problem with linear objective function and linear matrix inequalities constrains. An intelligent structure involves distributed sensors and actuators and a control law to apply localized actions, in order to minimize or reduce the response at selected conditions. The objective of this work is to implement techniques of control based on LMIs applied to smart structures.