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.

Dichotomous Hamiltonians with unbounded entries and solutions of Riccati equations

An operator Riccati equation from systems theory is considered in the case that all entries of the associated Hamiltonian are unbounded. Using a certain dichotomy property of the Hamiltonian and its symmetry with respect to two different indefinite inner products, we prove the existence of nonnegative and nonpositive solutions of the Riccati equation. Moreover, conditions for the boundedness and uniqueness of these solutions are established.

A Separation Principle for the Continuous-Time LQ-Problem With Markovian Jump Parameters

In this paper, we devise a separation principle for the finite horizon quadratic optimal control problem of continuous-time Markovian jump linear systems driven by a Wiener process and with partial observations. We assume that the output variable and the jump parameters are available to the controller. It is desired to design a dynamic Markovian jump controller such that the closed loop system minimizes the quadratic functional cost of the system over a finite horizon period of time. As in the case with no jumps, we show that an optimal controller can be obtained from two coupled Riccati differential equations, one associated to the optimal control problem when the state variable is available, and the other one associated to the optimal filtering problem. This is a separation principle for the finite horizon quadratic optimal control problem for continuous-time Markovian jump linear systems. For the case in which the matrices are all time-invariant we analyze the asymptotic behavior of the solution of the derived interconnected Riccati differential equations to the solution of the associated set of coupled algebraic Riccati equations as well as the mean square stabilizing property of this limiting solution. When there is only one mode of operation our results coincide with the traditional ones for the LQG control of continuous-time linear systems.

The LQ control problem for Markovian jumps linear systems with horizon defined by stopping times

This paper deals with a stochastic optimal control problem involving discrete-time jump Markov linear systems. The jumps or changes between the system operation modes evolve according to an underlying Markov chain. In the model studied, the problem horizon is defined by a stopping time τ which represents either, the occurrence of a fix number N of failures or repairs (TN), or the occurrence of a crucial failure event (τΔ), after which the system is brought to a halt for maintenance. In addition, an intermediary mixed case for which T represents the minimum between TN and τΔ is also considered. These stopping times coincide with some of the jump times of the Markov state and the information available allows the reconfiguration of the control action at each jump time, in the form of a linear feedback gain. The solution for the linear quadratic problem with complete Markov state observation is presented. The solution is given in terms of recursions of a set of algebraic Riccati equations (ARE) or a coupled set of algebraic Riccati equation (CARE).

Linear quadratic Gaussian control of discrete-time Markov jump linear systems with horizon defined by stopping times

The linear quadratic Gaussian control of discrete-time Markov jump linear systems is addressed in this paper, first for state feedback, and also for dynamic output feedback using state estimation. in the model studied, the problem horizon is defined by a stopping time τ which represents either, the occurrence of a fix number N of failures or repairs (T N), or the occurrence of a crucial failure event (τ δ), after which the system paralyzed. From the constructive method used here a separation principle holds, and the solutions are given in terms of a Kalman filter and a state feedback sequence of controls. The control gains are obtained by recursions from a set of algebraic Riccati equations for the former case or by a coupled set of algebraic Riccati equation for the latter case. Copyright © 2005 IFAC.

Riccati-type equations, generalised WZNW equations, and multidimensional Toda systems

We associate to an arbitrary Z-gradation of the Lie algebra of a Lie group a system of Riccati-type first order differential equations. The particular cases under consideration are the ordinary Riccati and the matrix Riccati equations. The multidimensional extension of these equations is given. The generalisation of the associated Redheffer-Reid differential systems appears in a natural way. The connection between the Toda systems and the Riccati-type equations in lower and higher dimensions is established. Within this context the integrability problem for those equations is studied. As an illustration, some examples of the integrable multidimensional Riccati-type equations related to the maximally nonabelian Toda systems are given.

CHARACTERIZATION OF EXPONENTIAL DIVERGENCE OF THE KALMAN FILTER FOR TIME-VARYING SYSTEMS

This paper studies semistability of the recursive Kalman filter in the context of linear time-varying (LTV), possibly nondetectable systems with incorrect noise information. Semistability is a key property, as it ensures that the actual estimation error does not diverge exponentially. We explore structural properties of the filter to obtain a necessary and sufficient condition for the filter to be semistable. The condition does not involve limiting gains nor the solution of Riccati equations, as they can be difficult to obtain numerically and may not exist. We also compare semistability with the notions of stability and stability w.r.t. the initial error covariance, and we show that semistability in a sense makes no distinction between persistent and nonpersistent incorrect noise models, as opposed to stability. In the linear time invariant scenario we obtain algebraic, easy to test conditions for semistability and stability, which complement results available in the context of detectable systems. Illustrative examples are included.

Experimental results on the nonlinear H(infinity) control via quasi-LPV representation and game theory for wheeled mobile robots

In this paper, nonlinear dynamic equations of a wheeled mobile robot are described in the state-space form where the parameters are part of the state (angular velocities of the wheels). This representation, known as quasi-linear parameter varying, is useful for control designs based on nonlinear H(infinity) approaches. Two nonlinear H(infinity) controllers that guarantee induced L(2)-norm, between input (disturbances) and output signals, bounded by an attenuation level gamma, are used to control a wheeled mobile robot. These controllers are solved via linear matrix inequalities and algebraic Riccati equation. Experimental results are presented, with a comparative study among these robust control strategies and the standard computed torque, plus proportional-derivative, controller.

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.

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.

H-infinity control design for time-delay linear systems: a rational transfer function based approach

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Variational method for excited states from supersymmetric techniques

We suggest a method for constructing trial eigenfunctions for excited states to be used in the variational method. This method is a generalization of the one that uses a superpotential to obtain the trial functions for the ground state. The construction of an effective hierarchy of Hamiltonians is used to determine excited variational energies. The first four eigenvalues for a quartic double-well potential are calculated for several values of the potential parameter. The results are in very good agreement with the eigenvalues obtained by numerical integration.

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.

Modellazione multibody di veicoli ferroviari: sviluppo ed implementazione di modelli innovativi per l'analisi del contatto ruota - rotaia

The wheel - rail contact analysis plays a fundamental role in the multibody modeling of railway vehicles. A good contact model must provide an accurate description of the global contact phenomena (contact forces and torques, number and position of the contact points) and of the local contact phenomena (position and shape of the contact patch, stresses and displacements). The model has also to assure high numerical efficiency (in order to be implemented directly online within multibody models) and a good compatibility with commercial multibody software (Simpack Rail, Adams Rail). The wheel - rail contact problem has been discussed by several authors and many models can be found in the literature. The contact models can be subdivided into two different categories: the global models and the local (or differential) models. Currently, as regards the global models, the main approaches to the problem are the so - called rigid contact formulation and the semi – elastic contact description. The rigid approach considers the wheel and the rail as rigid bodies. The contact is imposed by means of constraint equations and the contact points are detected during the dynamic simulation by solving the nonlinear algebraic differential equations associated to the constrained multibody system. Indentation between the bodies is not permitted and the normal contact forces are calculated through the Lagrange multipliers. Finally the Hertz’s and the Kalker’s theories allow to evaluate the shape of the contact patch and the tangential forces respectively. Also the semi - elastic approach considers the wheel and the rail as rigid bodies. However in this case no kinematic constraints are imposed and the indentation between the bodies is permitted. The contact points are detected by means of approximated procedures (based on look - up tables and simplifying hypotheses on the problem geometry). The normal contact forces are calculated as a function of the indentation while, as in the rigid approach, the Hertz’s and the Kalker’s theories allow to evaluate the shape of the contact patch and the tangential forces. Both the described multibody approaches are computationally very efficient but their generality and accuracy turn out to be often insufficient because the physical hypotheses behind these theories are too restrictive and, in many circumstances, unverified. In order to obtain a complete description of the contact phenomena, local (or differential) contact models are needed. In other words wheel and rail have to be considered elastic bodies governed by the Navier’s equations and the contact has to be described by suitable analytical contact conditions. The contact between elastic bodies has been widely studied in literature both in the general case and in the rolling case. Many procedures based on variational inequalities, FEM techniques and convex optimization have been developed. This kind of approach assures high generality and accuracy but still needs very large computational costs and memory consumption. Due to the high computational load and memory consumption, referring to the current state of the art, the integration between multibody and differential modeling is almost absent in literature especially in the railway field. However this integration is very important because only the differential modeling allows an accurate analysis of the contact problem (in terms of contact forces and torques, position and shape of the contact patch, stresses and displacements) while the multibody modeling is the standard in the study of the railway dynamics. In this thesis some innovative wheel – rail contact models developed during the Ph. D. activity will be described. Concerning the global models, two new models belonging to the semi – elastic approach will be presented; the models satisfy the following specifics: 1) the models have to be 3D and to consider all the six relative degrees of freedom between wheel and rail 2) the models have to consider generic railway tracks and generic wheel and rail profiles 3) the models have to assure a general and accurate handling of the multiple contact without simplifying hypotheses on the problem geometry; in particular the models have to evaluate the number and the position of the contact points and, for each point, the contact forces and torques 4) the models have to be implementable directly online within the multibody models without look - up tables 5) the models have to assure computation times comparable with those of commercial multibody software (Simpack Rail, Adams Rail) and compatible with RT and HIL applications 6) the models have to be compatible with commercial multibody software (Simpack Rail, Adams Rail). The most innovative aspect of the new global contact models regards the detection of the contact points. In particular both the models aim to reduce the algebraic problem dimension by means of suitable analytical techniques. This kind of reduction allows to obtain an high numerical efficiency that makes possible the online implementation of the new procedure and the achievement of performance comparable with those of commercial multibody software. At the same time the analytical approach assures high accuracy and generality. Concerning the local (or differential) contact models, one new model satisfying the following specifics will be presented: 1) the model has to be 3D and to consider all the six relative degrees of freedom between wheel and rail 2) the model has to consider generic railway tracks and generic wheel and rail profiles 3) the model has to assure a general and accurate handling of the multiple contact without simplifying hypotheses on the problem geometry; in particular the model has to able to calculate both the global contact variables (contact forces and torques) and the local contact variables (position and shape of the contact patch, stresses and displacements) 4) the model has to be implementable directly online within the multibody models 5) the model has to assure high numerical efficiency and a reduced memory consumption in order to achieve a good integration between multibody and differential modeling (the base for the local contact models) 6) the model has to be compatible with commercial multibody software (Simpack Rail, Adams Rail). In this case the most innovative aspects of the new local contact model regard the contact modeling (by means of suitable analytical conditions) and the implementation of the numerical algorithms needed to solve the discrete problem arising from the discretization of the original continuum problem. Moreover, during the development of the local model, the achievement of a good compromise between accuracy and efficiency turned out to be very important to obtain a good integration between multibody and differential modeling. At this point the contact models has been inserted within a 3D multibody model of a railway vehicle to obtain a complete model of the wagon. The railway vehicle chosen as benchmark is the Manchester Wagon the physical and geometrical characteristics of which are easily available in the literature. The model of the whole railway vehicle (multibody model and contact model) has been implemented in the Matlab/Simulink environment. The multibody model has been implemented in SimMechanics, a Matlab toolbox specifically designed for multibody dynamics, while, as regards the contact models, the CS – functions have been used; this particular Matlab architecture allows to efficiently connect the Matlab/Simulink and the C/C++ environment. The 3D multibody model of the same vehicle (this time equipped with a standard contact model based on the semi - elastic approach) has been then implemented also in Simpack Rail, a commercial multibody software for railway vehicles widely tested and validated. Finally numerical simulations of the vehicle dynamics have been carried out on many different railway tracks with the aim of evaluating the performances of the whole model. The comparison between the results obtained by the Matlab/ Simulink model and those obtained by the Simpack Rail model has allowed an accurate and reliable validation of the new contact models. In conclusion to this brief introduction to my Ph. D. thesis, we would like to thank Trenitalia and the Regione Toscana for the support provided during all the Ph. D. activity. Moreover we would also like to thank the INTEC GmbH, the society the develops the software Simpack Rail, with which we are currently working together to develop innovative toolboxes specifically designed for the wheel rail contact analysis.

Representation theorems for indefinite quadratic forms and applications

Diese Arbeit widmet sich den Darstellungssätzen für symmetrische indefinite (das heißt nicht-halbbeschränkte) Sesquilinearformen und deren Anwendungen. Insbesondere betrachten wir den Fall, dass der zur Form assoziierte Operator keine Spektrallücke um Null besitzt. Desweiteren untersuchen wir die Beziehung zwischen reduzierenden Graphräumen, Lösungen von Operator-Riccati-Gleichungen und der Block-Diagonalisierung für diagonaldominante Block-Operator-Matrizen. Mit Hilfe der Darstellungssätze wird eine entsprechende Beziehung zwischen Operatoren, die zu indefiniten Formen assoziiert sind, und Form-Riccati-Gleichungen erreicht. In diesem Rahmen wird eine explizite Block-Diagonalisierung und eine Spektralzerlegung für den Stokes Operator sowie eine Darstellung für dessen Kern erreicht. Wir wenden die Darstellungssätze auf durch (grad u, h() grad v) gegebene Formen an, wobei Vorzeichen-indefinite Koeffzienten-Matrizen h() zugelassen sind. Als ein Resultat werden selbstadjungierte indefinite Differentialoperatoren div h() grad mit homogenen Dirichlet oder Neumann Randbedingungen konstruiert. Beispiele solcher Art sind Operatoren die in der Modellierung von optischen Metamaterialien auftauchen und links-indefinite Sturm-Liouville Operatoren.