摘要:

This paper deals with the interpretation of the discrete-time optimal control problem as a scattering process in a discrete medium. We treat the discrete optimal linear regulator, constrained end-point and servo and tracking problems, providing a unified approach to these problems. This approach results in an easy derivation of the desired results as well as several new ones.

ISSN:0020-7721    

DOI:10.1080/00207728008967045

出版商:Taylor & Francis Group    

年代:1980

数据来源: Taylor

摘要:

Kullback information plays an important role in measuring the discrepancy between two probability density functions. In this paper, first, Kullback information is shown to be equivalent to the spectral error measure, which is developed to estimate the difference between two spectral densities. Then, to divide the non-stationary electroencephalogram data into stationary subsequences, segmentations of the data during sleep are carried out by using the spectral error measure. Next, to classify the segmented electroencephalographic data into one of the classes of the template patterns, Kullback information is also computed. Here, Kullback information is used as a measure of the distance between the template pattern and the segmented one. Finally, it is shown that sleep stages determined by the segmentation and the classification of the electroencephalogram data, are similar to those determined by a medical doctor.

ISSN:0020-7721    

DOI:10.1080/00207728008967046

出版商:Taylor & Francis Group    

年代:1980

数据来源: Taylor

摘要:

This paper introduces multidimensional block-pulse functions and develops a method of numerically integrating a class of partial differential equations based on orthogonal approximation of a function of several variables. The resulting solutions are piece-wise constant with minimal mean square error. The original partial differential equation is transformed into a computationally convenient algebraic form. Tha new operational matrices for partial operators presented in this paper are structurally related to the corresponding operational matrices of ordinary-calculus (i.e. the calculus of a single variable) and appear as Kronecker products. Certain algebraic properties of these matrices suggest enormous reduction in the computational effort associated with the algebra of these apparently large and sparse matrices. All solutions are reduced to simple recurrence form and the stability of these recurrence solutions is investigated. Examples are included to illustrate the proposed method in the study of distributed parameter systems.

ISSN:0020-7721    

DOI:10.1080/00207728008967047

出版商:Taylor & Francis Group    

年代:1980

数据来源: Taylor

摘要:

A sequence which has properties similar to the innovation sequence is defined. Its properties are used to test whether a particular Kalman filter is performing optimally or not. This test also tells whether the transition matrix Φ and the control matrixG, and/or the noise matricesQandR, are exactly modelled or not. If the filter is not optimal, an identification scheme is developed to estimate those inexact parameters. This scheme is also applicable to determine the steady-state Kalman gain matrix K directly without the immediate determination of the unknownQandR

ISSN:0020-7721    

DOI:10.1080/00207728008967048

出版商:Taylor & Francis Group    

年代:1980

数据来源: Taylor

摘要:

The structure of a system ofNvariables is defined to be the set ofNdependency relationships giving, for each variable, the set of other variables upon which it is statistically dependent. Because statistical dependence is indicated by the transmission measure of information theory, this set can be found by finding the smallest subset of variables for whichT(subset : variable) is a maximum. Sampling considerations of this method are discussed, and the results of 21 experiments with it are given. The results are compatible with those of other structural modelling methods.

ISSN:0020-7721    

DOI:10.1080/00207728008967049

出版商:Taylor & Francis Group    

年代:1980

数据来源: Taylor

摘要:

This paper is concerned with the filter implementation for a linear stochastic distributed-parameter system with a moving boundary. In the system considered here, it is assumed that the states of the system are expressed by partial differential equations, and the location of the moving boundary is expressed by an ordinary differential equation. The eigenfunction expansion method to decrease computation volume and to stabilize numerical computation for the filter implementation is introduced as follows; firstly, the estimates and their covariances are approximately expressed as a finite sum of eigenfunction series, and secondly ordinary differential equations with respect to Fourier coefficients of eigenfunctions are derived. The simulation study compares the practical applicability of the proposed method with the finite difference scheme.

ISSN:0020-7721    

DOI:10.1080/00207728008967050

出版商:Taylor & Francis Group    

年代:1980

数据来源: Taylor

摘要:

A class of convex extremal problems with an infinite number of inequality constraints but a finite-dimensional constraint space is investigated, and its solution is proposed by exterior as well as shifted penalty approaches. This idea is applied to finding a ‘ guaranteed optimal solution ’ of a convex continuous optimal control problem with disturbances.

ISSN:0020-7721    

DOI:10.1080/00207728008967051

出版商:Taylor & Francis Group    

年代:1980

数据来源: Taylor

摘要:

In this paper, a rnultimarket equilibrium pricing model under conditions of uncertainty is developed. A rnultimarket equilibrium asset pricing equation for risky assets ifi derived and compared with both the traditional expected return—risk equation given by Sharpe, Lintner, and Mossin (known as the SLM model) and its extended model ol; Mayers. The non parametric Wilcoxon signed-rank tests are performed to test tho empirical results obtained from a sample of 60 securities. It is shown that the new model gives estimates of beta coefficients significantly different from those of the SLM and Mayers models. It is also found that the beta estimates from the Mayers model are not statistically distinguishable from those from the SLM model, which support Fama and Schwert's finding. Finally, a rnultimarket equilibrium expected money growth-risk equation is derived and the effects of changes in the expected final wealth and the Bupply of money on the demand for real cash balances are analysed.

ISSN:0020-7721    

DOI:10.1080/00207728008967052

出版商:Taylor & Francis Group    

年代:1980

数据来源: Taylor

摘要:

A simple transformation between ‘ I to ’ and ‘ ordinary ’ Poisson stochastic differential equations is obtained for the scalar, time-dependent case. This is used to specify numerical simulation procedures applicable to the respective equations. Four numerical examples are given which show the relative accuracy of the different methods.

ISSN:0020-7721    

DOI:10.1080/00207728008967053

出版商:Taylor & Francis Group    

年代:1980

数据来源: Taylor

摘要:

The Poincaré- Lindstedt method is generalized and used to obtain approximate, post-critical behaviour, in a model of the interaction of time-delay with spatial diffusion which leads to temporal and spatial periodic behaviour.

ISSN:0020-7721    

DOI:10.1080/00207728008967054

出版商:Taylor & Francis Group    

年代:1980

数据来源: Taylor