الصفحة 1
الصفحة 1
Numerical Methods in Finance
The use of mathematical models and numerical techniques in finance is a growing practice, and an increasing number of applied mathematicians are working on applications in finance and business. This book presents some exciting developments arising from the combination of mathematics, numerical analysis, and finance. It covers a wide range of topics, from portfolio management and asset pricing, to performance, risk, debt and real option evaluation. It also presents applications of a variety of cutting edge approaches and techniques, including robust control, min-max optimisation, Bessel processes, stochastic viability, variational inequalities, and Monte-Carlo test techniques. The book also presents surveys of models and approaches in specific areas in finance, such as corporate debt valuation and portfolio selection
Nonlinear and Adaptive Control with Applications
Nonlinear and Adaptive Control with Applications provides a detailed treatment of the design of robust adaptive controllers for nonlinear systems with uncertainties. The authors employ a new tool based on the ideas of system immersion and manifold invariance.
New Directions and Applications in Control Theory
This volume contains a collection of papers in control theory and applications presented at a conference in honor of Clyde Martin on the occasion of his 60th birthday, held in Lubbock, Texas, November 14-15, 2003.
Networked Control Systems: Theory and Applications
Networked Control Systems presents the most recent results in stability and robustness analysis as well as new developments related to networked fuzzy and optimal control. Many of the chapters contain details of case-studies, experimental, simulation and/or other application-related work showing how the theories put forward can be implemented in real systems.
H-infinity control for nonlinear descriptor systems
The authors present a study of the H-infinity control problem and related topics for descriptor systems, described by a set of nonlinear differential-algebraic equations. They derive necessary and sufficient conditions for the existence of a controller solving the standard nonlinear H-infinity control problem considering both state and output feedback. One such condition for the output feedback control problem to be solvable is obtained in terms of Hamilton–Jacobi inequalities and a weak coupling condition; a parameterization of output feedback controllers solving the problem is also provided. All of these results are then specialized to the linear case. The derivation of state-space formulae for all controllers solving the standard H-infinity control problem for descriptor systems is proposed. Among other important topics covered are balanced realization, reduced-order controller design and mixed H2/H-infinity control.
H-infinity control and estimation of state-multiplicative linear systems
This monograph embodies a comprehensive survey of the relevant literature with basic problems being formulated and solved by applying various techniques including game theory, linear matrix inequalities and Lyapunov parameter-dependent functions.
Discrete-time Sliding Mode Control : A Multirate Output Feedback Approach
Sliding mode control is a simple and yet robust control technique, where the system states are made to confine to a selected subset. With the increasing use of computers and discrete-time samplers in controller implementation in the recent past, discrete-time systems and computer based control have become important topics. This monograph presents an output feedback sliding mode control philosophy which can be applied to almost all controllable and observable systems, while at the same time being simple enough as not to tax the computer too much. It is shown that the solution can be found in the synergy of the multirate output sampling concept and the concept of discrete-time sliding mode control.
Control Theory Tutorial : Basic Concepts Illustrated by Software Examples
Introduces the basic principles of control theory in a concise self-study guide. It complements the classic texts by emphasizing the simple conceptual unity of the subject. A novice can quickly see how and why the different parts fit together. The concepts build slowly and naturally one after another, until the reader soon has a view of the whole. Each concept is illustrated by detailed examples and graphics. The full software code for each example is available, providing the basis for experimenting with various assumptions, learning how to write programs for control analysis, and setting the stage for future research projects. The topics focus on robustness, design trade-offs, and optimality. Most of the book develops classical linear theory. The last part of the book considers robustness with respect to nonlinearity and explicitly nonlinear extensions, as well as advanced topics such as adaptive control and model predictive control.
Control of Uncertain Systems : Modelling, Approximation, and Design; A Workshop on the Occasion of Keith Glover's 60th Birthday
This Festschrift contains a collection of articles by friends, co-authors, colleagues, and former Ph.D. students of Keith Glover, Professor of Engineering at the University of Cambridge, on the occasion of his sixtieth birthday. Professor Glover's scientific work spans a wide variety of topics, the main themes being system identification, model reduction and approximation, robust controller synthesis, and control of aircraft and engines. The articles in this volume are a tribute to Professor Glover's seminal work in these areas.
Mathematical Methods in Robust Control of Linear Stochastic Systems
Linear stochastic systems are successfully used to provide mathematical models for real processes in fields such as aerospace engineering, communications, manufacturing, finance and economy. This monograph presents a useful methodology for the control of such stochastic systems with a focus on robust stabilization in the mean square, linear quadratic control, the disturbance attenuation problem, and robust stabilization with respect to dynamic and parametric uncertainty.
Mathematical Methods for Robust and Nonlinear Control : EPSRC Summer School
The underlying theory on which much modern robust and nonlinear control is based can often be dif?cult for the student to grasp. In particular, the mathematical - pects can be problematic for students from a standard engineering background. The EPSRC sponsored Summer School which was held in Leicester in September 2006 attempted to “?ll the gap” in students’ appreciation the theory relevant to several important areas of control. This book is a collection of lecture notes which were p- sented at that workshop and consists of, broadly, two parts. The ?rst nine chapters are devoted to the theory behind several areas of robust and nonlinear control and are aimed at introducing fundamental concepts to the reader. The last six chapters contain detailed case studies which aim to demonstrate the use and effectiveness of these modern techniques in real engineering applications. It is hoped that this book will provide a useful introduction to many of the more common robust and nonlinear control techniques and serve as a valuable reference for the more adept practitioner.
Iutam Symposium on Dynamics and Control of Nonlinear Systems with Uncertainty ; Proceedings of the IUTAM Symposium held in Nanjing, China, September 18-22, 2006
The last decade has witnessed an increasing interest towards the dynamics and control of nonlinear engineering systems from the scientists engaged in nonlinear dynamics and the control engineers. Both groups of people have recognized the importance of interaction between nonlinear dynamics and robust control during their efforts to improve the dynamic performance of engineering systems with uncertainty, which comes from either the random excitations, such as wind and earthquake, or the modelling errors of real systems including their sensors, controllers and actuators. The dynamics and control of nonlinear systems with uncertainty, therefore, is a vital interdisciplinary topic related to both stochastic systems and deterministic systems. This volume contains the papers presented at the IUTAM Symposium on Dynamics and Control of Nonlinear Systems with Uncertainty, which was sponsored by the International Union of Theoretical and Applied Mechanics (IUTAM)
Adaptive-robust control with limited knowledge on systems dynamics : An artificial input delay approach and beyond
investigates the role of artificial input delay in approximating unknown system dynamics, referred to as time-delayed control (TDC), and provides novel solutions to current design issues in TDC. Its central focus is on designing adaptive-switching gain-based robust control (ARC) for a class of Euler–Lagrange (EL) systems with minimal or no knowledge of the system dynamics parameters. The newly proposed TDC-based ARC tackles the commonly observed over- and under-estimation issues in switching gain. The consideration of EL systems lends a practical perspective on the proposed methods, and each chapter is supplemented by relevant experimental data
