摘要:

In this paper the linear constrained regulation problem (LCRP) for discrete-time systems is investigated. Linear transformations combined with linear programming are used to establish an iterative approach to the design of linear state feedback regulators for systems with state and control constraints. It is shown that by this approach faster convergence is obtained. In the last section of the paper, the problem of designing robust linear constrained controllers is studied

ISSN:0020-7721    

DOI:10.1080/00207729408949315

出版商:Taylor & Francis Group    

年代:1994

数据来源: Taylor

摘要:

This paper presents a new application of the well known stochastic approximation scheme to the problem of joint estimation of the time delay (dead time) and process parameters, as it occurs in the context of plant identification. In this new application, the unknown delay κ is included along with the other ARMAX parameters in a conventional direct LS recursive estimation scheme. The introduction of the unknown delay requires the evaluation of additional error sensitivity functions. This is done originally by approximating the operator d/dκ with —(I — z-1), where z-1is the shift operator. Three versions of the algorithm are presented, with increasing levels of complexity. The operation of the simplest version is illustrated by simulations

ISSN:0020-7721    

DOI:10.1080/00207729408949316

出版商:Taylor & Francis Group    

年代:1994

数据来源: Taylor

摘要:

A computationally feasible technique for the robust detection and estimation for actuator and sensor failures is presented. Model errors and component failures are represented by a bias vector called the failure state in system and measurement equations. A Kalman-Bucy filter is implemented to estimate the system state, and to generate the corresponding residuals. These residuals are then processed by using an adaptive fading Kalman filter to give the failure state estimate. The final state estimate is obtained by compensating model errors and component failures in the filter based on no failure assumption. The divergency of the filter based on no failure assumption is avoided by stepwise compensation of the failure state. The technique is applicable to the detection, estimation and compensation of slowly varying model errors and suddenly occurring component failures, and to the discrimination between them

ISSN:0020-7721    

DOI:10.1080/00207729408949317

出版商:Taylor & Francis Group    

年代:1994

数据来源: Taylor

摘要:

In this paper we analyse the stability robustness of linear discrete-time systems which are described by a state-space model but are perturbed with structured time-varying uncertainty. We present new Lyapunov stability robustness bounds in which the freedom of the matrixQis utilized more effectively than that used by Kolla et al. (1989) to obtain a larger bound of tolerable time-varying uncertainty, and the similarity transformation is employed more directly and usefully than that proposed by Kolla and Farison (1990) to reduce conservation. Further, the relationship between the matrixQand the similarity transformation matrix M is given. Improvements are illustrated by an application of our proposed method to a macroeconomic system

ISSN:0020-7721    

DOI:10.1080/00207729408949318

出版商:Taylor & Francis Group    

年代:1994

数据来源: Taylor

摘要:

In this paper we consider the linear-quadratic optimal regulator problem for continuous-time descriptor system by the dynamic programming approach. A generalized Riccati equation is derived by making use of the Hamilton-Jacobi equation for the descriptor system. Sufficient conditions for the existence of a solution of the generalized Riccati differential (algebraic) equation are studied. It is shown that the existence of the solution of the generalized Riccati differential (algebraic) equation depends on the solutions of a standard Riccati algebraic equation and a standard Riccati differential (algebraic) equation. As in the regular state-space system, the solution of the generalized Riccati equation is used in the construction of the optimal feedback gains.

ISSN:0020-7721    

DOI:10.1080/00207729408949319

出版商:Taylor & Francis Group    

年代:1994

数据来源: Taylor

摘要:

This paper models the cross-sectional variation of earnings-price (E/P) ratios using Finnish data. Although E/P ratios are very commonly used in practical investment decisions, the cross-sectional determinants of E/P ratios have reached only limited attention so far. In this paper it is shown that a substantial part of the cross-sectional variation of Finnish E/P ratios can be devoted to differences in securities systematic risk estimated by instrumental accounting variables, such as accounting betas, financial leverage, operating leverage and growth. After controlling the E/P ratios for the effects of these instrumental risk variables, the E/P anomaly becomes insignificant in the Finnish stock market. This finding suggests that the E/P anomaly generally observed in major financial markets may be largely due to the serious empirical problems in risk estimation.

ISSN:0020-7721    

DOI:10.1080/00207729408949320

出版商:Taylor & Francis Group    

年代:1994

数据来源: Taylor

摘要:

We consider the problem of dispatching the minimum number of vehicles from a central depot to make deliveries to a set of clients with known demands. The objective is to minimize the total distance travelled, subject to vehicle capacity requirements. We present a new heuristic algorithm for solving this problem. The algorithm is based on generalized edge-exchange search procedures, and relaxation of the capacity requirements. Computational results, based upon standard test problems with up to 249 customers, indicate that our heuristic compares favourably with known heuristics in terms of solution quality.

ISSN:0020-7721    

DOI:10.1080/00207729408949321

出版商:Taylor & Francis Group    

年代:1994

数据来源: Taylor

摘要:

In this paper, we consider the portfolio selection problem. For 60 selected Hong Kong stocks, we form portfolios based on 10 years of observations. The classical Markowitz mean-variance model is compared with a downside risk optimization model for the Hong Kong stock market, fn particular, the downside risk model provided better downside risk protection in the sense of offering lower risk and higher return for the chosen data. The results also indicate that longer holding periods tend to result in higher portfolio returns. Lastly, the downside risk optimization approach allows investors to specify both required return levels and target return rates in order to reflect their risk attitudes.

ISSN:0020-7721    

DOI:10.1080/00207729408949322

出版商:Taylor & Francis Group    

年代:1994

数据来源: Taylor

摘要:

A useful measure of robustness for strictly aperiodic systems with dependent perturbations is to find the largest polytope in parameter space centred on the nominal system that still ensures the strict aperiodic property. This paper presents a graphical approach to obtain the largest prescribed polytope of strictly aperiodic polynomials.

ISSN:0020-7721    

DOI:10.1080/00207729408949323

出版商:Taylor & Francis Group    

年代:1994

数据来源: Taylor

摘要:

A stock market model is considered, in which two classes of traders follow a time-invariant and a periodically varying feedback policy, respectively. A bifurcation analysis of the periodic solutions is carried out by means of a continuation technique. Attention is devoted to subharmonics, phase-locking and chaos. The latter is shown to emerge through a cascade of period doublings and torus destruction. The economic implications of chaos are examined.

ISSN:0020-7721    

DOI:10.1080/00207729408949324

出版商:Taylor & Francis Group    

年代:1994

数据来源: Taylor