Anisotropy-based robust performance analysis of finite horizon linear discrete time varying systems

We consider a problem of robust performance analysis of linear discrete time varying systems on a bounded time interval. The system is represented in the state-space form. It is driven by a random input disturbance with imprecisely known probability distribution; this distributional uncertainty is described in terms of entropy. The worst-case performance of the system is quantified by its a-anisotropic norm. Computing the anisotropic norm is reduced to solving a set of difference Riccati and Lyapunov equations and a special form equation.

Accelerated leap methods for simulating discrete stochastic chemical kinetics

Biologists are increasingly conscious of the critical role that noise plays in cellular functions such as genetic regulation, often in connection with fluctuations in small numbers of key regulatory molecules. This has inspired the development of models that capture this fundamentally discrete and stochastic nature of cellular biology - most notably the Gillespie stochastic simulation algorithm (SSA). The SSA simulates a temporally homogeneous, discrete-state, continuous-time Markov process, and of course the corresponding probabilities and numbers of each molecular species must all remain positive. While accurately serving this purpose, the SSA can be computationally inefficient due to very small time stepping so faster approximations such as the Poisson and Binomial τ-leap methods have been suggested. This work places these leap methods in the context of numerical methods for the solution of stochastic differential equations (SDEs) driven by Poisson noise. This allows analogues of Euler-Maruyuma, Milstein and even higher order methods to be developed through the Itô-Taylor expansions as well as similar derivative-free Runge-Kutta approaches. Numerical results demonstrate that these novel methods compare favourably with existing techniques for simulating biochemical reactions by more accurately capturing crucial properties such as the mean and variance than existing methods.

On some Generalizations of a Class of Discrete Functions

In this paper we examine discrete functions that depend on their variables in a particular way, namely the H-functions. The results obtained in this work make the “construction” of these functions possible. H-functions are generalized, as well as their matrix representation by Latin hypercubes.

Models of Alternating Renewal Process at Discrete Time

We study a class of models used with success in the modelling of climatological sequences. These models are based on the notion of renewal. At first, we examine the probabilistic aspects of these models to afterwards study the estimation of their parameters and their asymptotical properties, in particular the consistence and the normality. We will discuss for applications, two particular classes of alternating renewal processes at discrete time. The first class is defined by laws of sojourn time that are translated negative binomial laws and the second class, suggested by Green is deduced from alternating renewal process in continuous time with sojourn time laws which are exponential laws with parameters α^0 and α^1 respectively.

Optimization of Discrete-Time, Stochastic Systems

* This research was supported by a grant from the Greek Ministry of Industry and Technology.

Discrete Models of Time-Fractional Diffusion in a Potential Well

Mathematics Subject Classification: 26A33, 45K05, 60J60, 60G50, 65N06, 80-99.

Henselian Discrete Valued Fields Admitting One-Dimensional Local Class Field Theory

2000 Mathematics Subject Classification: 11S31 12E15 12F10 12J20.

Notes on the Solution of Dynamic Optimization Problems with Explicit Controls in Discrete-Time Economic Models

Йордан Йорданов, Андрей Василев - В работата се изследват методи за решаването на задачи на оптималното управление в дискретно време с безкраен хоризонт и явни управления. Дадена е обосновка на една процедура за решаване на такива задачи, базирана на множители на Лагранж, коята често се употребява в икономическата литература. Извеждени са необходимите условия за оптималност на базата на уравнения на Белман и са приведени достатъчни условия за оптималност при допускания, които често се използват в икономиката.

Discrete Generalization of Gronwall-Bellman Inequality with Maxima and Application

Снежана Христова, Кремена Стефанова, Лиляна Ванкова - В работата са решени няколко нови видове линейни дискретни неравенства, които съдържат максимума на неизвестната функция в отминал интервал от време. Някои от тези неравенства са приложени за изучаване непрекъснатата зависимост от смущения при дискретни уравнения с максимуми.

Discrete Time Bisexual Branching Processes in Varying Environments

2000 Mathematics Subject Classification: 60J80

A Computational Approach for the Statistical Estimation of Discrete Time Branching Processes with Immigration

2010 Mathematics Subject Classification: 60J80.

A diszkrét kiválasztási modell becslése Cox-regresszióval (Parameter estimation for multinomial discrete choice model using Cox-regression)

Considering the so-called "multinomial discrete choice" model the focus of this paper is on the estimation problem of the parameters. Especially, the basic question arises how to carry out the point and interval estimation of the parameters when the model is mixed i.e. includes both individual and choice-specific explanatory variables while a standard MDC computer program is not available for use. The basic idea behind the solution is the use of the Cox-proportional hazards method of survival analysis which is available in any standard statistical package and provided a data structure satisfying certain special requirements it yields the MDC solutions desired. The paper describes the features of the data set to be analysed.

Unknown input observer design for one-sided Lipschitz discrete-time systems subject to time-delay

In this paper, we address the problem of unknown input observer design, which simultaneously estimates state and unknown input, of a class of nonlinear discrete-time systems with time-delay. A novel approach to the state estimation problem of nonlinear systems where the nonlinearities satisfy the one-sided Lipschitz and quadratically inner-bounded conditions is proposed. This approach also allows us to reconstruct the unknown inputs of the systems. The nonlinear system is first transformed to a new system which can be decomposed into unknown-input-free and unknown-input-dependent subsystems. The estimation problem is then reduced to designing observer for the unknown-input-free subsystem. Rather than full-order observer design, in this paper, we propose observer design of reduced-order which is more practical and cost effective. By utilizing several mathematical techniques, the time-delay issue as well as the bilinear terms, which often emerge when designing observers for nonlinear discrete-time systems, are handled and less conservative observer synthesis conditions are derived in the linear matrix inequalities form. Two numerical examples are given to show the efficiency and high performance of our results.

Observer design for one-sided Lipschitz discrete-time systems subject to delays and unknown inputs

In this paper, we address the problem of observer design for a class of nonlinear discrete-time systems in the presence of delays and unknown inputs. The nonlinearities studied in this work satisfy the one-sided Lipschitz and quadratically inner-bounded conditions which are more general than the traditional Lipschitz conditions. Both H∞ observer design and asymptotic observer design with reduced-order are considered. The designs are novel compared to other relevant nonlinear observer designs subject to time delays and disturbances in the literature. In order to deal with the time-delay issue as well as the bilinear terms which usually appear in the problem of designing observers for discrete-time systems, several mathematical techniques are utilized to deduce observer synthesis conditions in the linear matrix inequalities form. A numerical example is given to demonstrate the effectiveness and high performance of our results.

Detailed analysis of a conservative difference approximation for the time fractional diffusion equation

Diffusion equations that use time fractional derivatives are attractive because they describe a wealth of problems involving non-Markovian Random walks. The time fractional diffusion equation (TFDE) is obtained from the standard diffusion equation by replacing the first-order time derivative with a fractional derivative of order α ∈ (0, 1). Developing numerical methods for solving fractional partial differential equations is a new research field and the theoretical analysis of the numerical methods associated with them is not fully developed. In this paper an explicit conservative difference approximation (ECDA) for TFDE is proposed. We give a detailed analysis for this ECDA and generate discrete models of random walk suitable for simulating random variables whose spatial probability density evolves in time according to this fractional diffusion equation. The stability and convergence of the ECDA for TFDE in a bounded domain are discussed. Finally, some numerical examples are presented to show the application of the present technique.