Although nonlinear model predictive control (NMPC) has become a well-established control approach its application to fast systems with millisecond timescales is still a challenge. In order to reduce the online computa...
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Although nonlinear model predictive control (NMPC) has become a well-established control approach its application to fast systems with millisecond timescales is still a challenge. In order to reduce the online computational effort significantly, we propose to combine two recently developed techniques: the adjoint based real-time iteration scheme which allows treatment of nonlinear processes while keeping constraint sensitivities fixed and the online active set strategy for fast solution of the resulting parametricquadratic program. Considerable performance enhancement compared with the standard real-time iteration scheme is demonstrated by controlling a system with fast dynamics.
Aiming to simplify the solution process of elasto-plastic problems, this paper proposes a reproducing kernel particle algorithm based on principles of parametric quadratic programming for elasto-plasticity. The parame...
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Aiming to simplify the solution process of elasto-plastic problems, this paper proposes a reproducing kernel particle algorithm based on principles of parametric quadratic programming for elasto-plasticity. The parametric quadratic programming theory is useful and effective for the assessment of certain features of structural elasto-plastic behaviour and can also be exploited for numerical iteration. Examples are presented to illustrate the essential aspects of the behaviour of the model proposed and the flexibility of the coupled parametric quadratic programming formulations with the reproducing kernel particle method. Copyright (C) 2002 John Wiley Sons, Ltd.
An ongoing stream in financial analysis proposes mean-semivariance in place of mean-variance as an alternative approach to portfolio selection, since segments of investors are more averse to returns below the mean val...
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This paper presents a closed form solution of the mean-variance portfolio selection problem for uncorrelated assets that precludes short sells. We also study the problem with the consideration of transaction cost. Whe...
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This paper presents a closed form solution of the mean-variance portfolio selection problem for uncorrelated assets that precludes short sells. We also study the problem with the consideration of transaction cost. When the asset holding can be explicitly become available, one can have a better understanding of the behavior of efficient frontier. Our algorithm solves the mean-variance portfolio selection with uncorrelated risky assets plus one risk free asset. The algorithm is based on a continuous dynamic programming and provides a general closed form solution that is a function of expected returns and variances of all assets. The implementation of the algorithm is presented by some practical examples.
In this paper, the wheel/rail 3D elastic-plastic contact problem is analyzed and solved by using the finite element parametric quadratic programming method (FEPQPM), which is based on the parametric variational princi...
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In this paper, the wheel/rail 3D elastic-plastic contact problem is analyzed and solved by using the finite element parametric quadratic programming method (FEPQPM), which is based on the parametric variational principle. And the multi-substructure technique is also used. The 3D FEM models of cone-tread and worn-tread locomotive wheels are firstly established, which come into contact with the rail of standard size. A lot of data such as the wheel/rail contact force;contact status and wheel/rail stress distribution are obtained. After detailed analysis of the computational results, discussions are made on how the structures of locomotive and vehicle as well as some applied parameters influence the performance of wheel/rail contact.
This paper deals with the portfolio selection problem of risky assets with a diagonal covariance matrix, upper bounds on all assets and transactions costs. An algorithm for its solution is formulated which terminates ...
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This paper deals with the portfolio selection problem of risky assets with a diagonal covariance matrix, upper bounds on all assets and transactions costs. An algorithm for its solution is formulated which terminates in a number of iterations that is at most three times the number of assets. The efficient portfolios, under appropriate assumptions, are shown to have the following structure. As the risk tolerance parameter increases, an asset's holdings increases to its target, then stays there for a while, then increases to its upper bound, reaches it and stays there. Then the holdings of the asset with the next highest expected return proceeds in a similar way and so on.
This paper develops a closed form solution of the mean-variance portfolio selection problem for uncorrelated and bounded assets when an additional technical assumption is satisfied. Although the assumption of uncorrel...
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This paper develops a closed form solution of the mean-variance portfolio selection problem for uncorrelated and bounded assets when an additional technical assumption is satisfied. Although the assumption of uncorrelated assets is unduly restrictive, the explicit determination of the efficient asset holdings in the presence of bound constraints gives insight into the nature of the efficient frontier. The mean-variance portfolio selection problem considered here deals with the budget constraint and lower bounds or the budget constraint and upper bounds. For the mean-variance portfolio selection problem dealing with lower bounds the closed form solution is derived for two cases: a universe of only risky assets and a universe of risky assets plus an additional asset which is risk free. For the mean-variance portfolio selection problem dealing with upper bounds, the results presented are for a universe consisting only of risky assets. In each case, the order in which the assets are driven to their bounds depends on the ordering of their expected returns.
In this paper the standard portfolio case with short sales restrictions is analyzed. Dybvig pointed out that if there is a kink at a risky portfolio on the efficient frontier, then the securities in this portfolio hav...
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In this paper the standard portfolio case with short sales restrictions is analyzed. Dybvig pointed out that if there is a kink at a risky portfolio on the efficient frontier, then the securities in this portfolio have equal expected return and the converse of this statement is false. For the existence of kinks at the efficient frontier the sufficient condition is given here and a new procedure is used to derive the efficient frontier, i.e. the characteristics of the mean variance frontier. (C) 1999 Elsevier Science B.V. All rights reserved.
We present a method which when applied to certain non-convex QP will locate the global minimum, all isolated local minima and some of the non-isolated local minima. The method proceeds by formulating a (multi) paramet...
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We present a method which when applied to certain non-convex QP will locate the global minimum, all isolated local minima and some of the non-isolated local minima. The method proceeds by formulating a (multi) parametric convex QP in terms of the data of the given non-convex QP. Based on the solution of the parametric QP, an unconstrained minimization problem is formulated. This problem is piece-wise quadratic. A key result is that the isolated local minimizers (including the global minimizer) of the original non-convex problem are in one-to-one correspondence with those of the derived unconstrained problem. The theory is illustrated with several numerical examples. A numerical procedure is developed for a special class of non-convex QP's. It is applied to a problem from the literature and verifies a known global optimum and in addition, locates a previously unknown local minimum.
We propose a principal pivoting method for solving the one-parametric linear complementarity problem where all the coefficients are linear functions of the parameter K and the matrix of the problem is sufficient for a...
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