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Valuing equity-linked guaranteed minimum death benefits with European-style Asian payoffs under a regime switching jump-diffusion model

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COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION 2024年 128卷

作者： Wang, Yayun Liu, Shengda Chongqing Univ Posts & Telecommun Key Lab Intelligent Anal & Decis Complex Syst Chongqing 400065 Peoples R China Chinese Acad Sci Inst Automat State Key Lab Management & Control Complex Syst Beijing 100190 Peoples R China

This paper presents a novel and efficient approach to pricing equity-linked guaranteed minimum death benefits (GMDB) with European-style geometric Asian and arithmetic Asian payoffs. Our method assumes that the underlying asset process follows a regime-switching Levy model, which captures the key features of market dynamics in the continuous transition of the economy. To derive the approximate value of GMDB products, we employ the complex Fourier series (CFS) expansion method. Our error analysis demonstrates that this approach exhibits an exponential convergence rate. In our numerical experiments, we compare the CFS approach to other Fourier transform methods and Monte Carlo simulation. The results show that our method outperforms the other approaches in terms of both efficiency and accuracy. This paper contributes to the literature on pricing equity-linked GMDB products by proposing a novel and efficient approach based on regime-switching Levy models and complex Fourier series expansion. The implications of our results may have significant practical implications for the insurance industry and financial markets.

关键词： Regime-switching Levy model complex Fourier series method European-style Asian option payoffs GMDB

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Adaptive Dynamic Programming for Robust Event-Driven Tracking control of Nonlinear systems With Asymmetric Input Constraints

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IEEE TRANSACTIONS ON CYBERNETICS 2024年第11期54卷 6333-6344页

作者： Yang, Xiong Wei, Qinglai Tianjin Univ Sch Elect & Informat Engn Tianjin Key Lab Intelligent Unmanned Swarm Techno Tianjin 300072 Peoples R China Chinese Acad Sci Inst Automat State Key Lab Management & Control Complex Syst Beijing 100190 Peoples R China

This article considers the robust dynamic event-driven tracking control problem of nonlinear systems having mismatched disturbances and asymmetric input constraints. Initially, to tackle the asymmetric constraints, a novel nonquadratic value function is constructed for the original system. This makes the asymmetrically constrained tracking control problem transformed into an unconstrained optimal regulation problem. Then, a dynamic event-driven mechanism is proposed. Meanwhile, the event-driven Hamilton-Jacobi-Bellman equation (ED-HJBE) is developed for the optimal regulation problem in order to acquire the optimal control with distinctly decreased computational burden. To solve the ED-HJBE, a single critic neural network (CNN) is designed in the adaptive dynamic programming framework. Meanwhile, the gradient descent method is employed to update the CNN's weights. After that, both the weight estimation error and the tracking error are proved to be uniformly ultimately bounded via Lyapunov's direct method. Finally, simulations of the spring-mass-damper system and the pendulum plant are separately utilized to validate the established theoretical claims.

关键词： Nonlinear systems control systems Optimal control Regulation Dynamic programming Perturbation methods Adaptive systems Adaptive dynamic programming (ADP) asymmetric constraint event-driven mechanism (EDM) neural network (NN) reinforcement learning (RL)

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Parallel Training: An ACP-Based Training Framework for Iterative Learning in Uncertain Driving Spaces

IEEE TRANSACTIONS ON INTELLIGENT VEHICLES

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IEEE TRANSACTIONS ON intelligent VEHICLES 2023年第4期8卷 2832-2841页

作者： Wang, Jiangong Wang, Xiao Tian, Yonglin Wang, Yutong Niu, Jinglong Kwan, Oliver Chinese Acad Sci Inst Automat State Key Lab Management & Control Complex Syst Beijing 100190 Peoples R China Univ Chinese Acad Sci Sch Artificial Intelligence Beijing 100049 Peoples R China Anhui Univ Sch Artificial Intelligence State Key Lab Management & Control Complex Syst Hefei 230031 Peoples R China Chinese Acad Sci Qingdao Acad Intelligent Ind State Key Lab Management & Control Complex Syst Qingdao 266109 Peoples R China Chinese Acad Sci Inst Automat State Key Lab Management & Control Complex Syst Beijing 100190 Peoples R China Acad Intelligent Ind Qingdao 266109 Peoples R China China North Ind North Automatic Control Technol Re Taiyuan 030006 Peoples R China Motion G Inc Singapore 068898 Singapore

The traffic environment and driving behaviors are of great complexity and uncertainty in our physical world. Therefore, training in the digital world with low cost and diverse complexities become popular for autonomous driving in recent years. However, the current training methods tend to be limited to static data sets and deterministic models that do not sufficiently take into account the uncertainty and diversity prevalent in real traffic scenarios. These approaches also limit more possibilities for the comprehensive development and optimization of vision systems. In this paper, we develop a parallel training method based on artificial systems, computational experiments, and parallel execution (ACP) for the intelligent optimization and learning of the aforementioned agents in uncertain driving spaces. Parallel training creates a virtual driving space following the instruction of the ACP approach and conducts large-scale rehearsal experiments for possible scenarios. By enhancing the diversity of virtual scenarios, intelligent vehicles are trained to respond and adapt to the diverse uncertainties in the physical real-world driving space. Specifically, parallel training first proposes a standard operating procedure for intelligent driving systems, namely the projection-emergence-convergence-operation (PECO) loop. Digital quadruplets for parallel training, i.e., physical, descriptive, predictive, and prescriptive coaches, are also proposed. With the guidance of parallel training, virtual and real-world driving spaces are set up in parallel and interact frequently. They are closely linked and unified in opposition to each other, ultimately building a parallel driving system that fulfills safety, security, sustainability, sensitivity, service, and smartness (6S).

关键词： Training Digital twins Testing Task analysis intelligent agents complex systems Uncertainty Parallel intelligence parallel driving digital quadruplets parallel learning digital twins metaverses automated driving knowledge transfer

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Social Radars for Social Vision of intelligent Vehicles From Skyways in Low Altitude Airspaces

IEEE TRANSACTIONS ON INTELLIGENT VEHICLES

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IEEE TRANSACTIONS ON intelligent VEHICLES 2024年第1期9卷 5-38页

作者： Wang, Fei-Yue Wuhan Inst Ind Innovat & Dev Inst Intelligent Vehicles Wuhan 430000 Hubei Peoples R China Chinese Acad Sci Inst Automat State Key Lab Management & Control Complex Syst Beijing 100190 Peoples R China

Welcome to 2024 and Happy New Year!, The following content provides a brief summary of what we have accomplished in 2023:

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Photoelectric intelligent Detection Platform Based on Multifunctional Edge Computing Equipment 43

Photoelectric Intelligent Detection Platform Based on Multif...

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43rd Chinese control Conference, CCC 2024

作者： Xu, Qianjing Chen, Wenjie Xue, Zhijun State Key Lab of Intelligent Control and Decision of Complex Systems Beijing10081 China Beijing Institute of Technology School of Automation Beijing100081 China

ISBN: (纸本)9789887581581

In order to study to design a photoelectric intelligent platform based on multifunctional edge computing equipment by using photoelectric detection equipment TC505C, RK-Series Development Kits computing platform and Nvidia Jetson Series. The photoelectric intelligent platform can be used to run multiple target detection algorithms after design and implementation. Completed as follows. First of all, after the first stage of the photoelectric intelligent platform is completed, the host computer can establish communication with the photoelectric detection equipment, carry out automatic or manual servo control on the photoelectric detection equipment, switch its visible and infrared field of view and view it in real time through the monitor, and realize simple tracking function through the image processing box. Secondly, after the second stage of the photoelectric intelligent platform is built, under the premise of ensuring the normal availability of servo function, a variety of target detection algorithms can be debugged on multifunctional edge computing equipment. Overall, this paper uses the modular design concept to design, debug and implement the system in stages. Pay attention to the synchronous debugging of hardware and software functions of each module to ensure the stability of each module. Finally completed the design goals of each stage. © 2024 Technical Committee on control Theory, Chinese Association of Automation.

关键词： Program debugging

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A Scholar of Dignity:Remembering Peter Luh

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IEEE/CAA Journal of Automatica Sinica 2024年第9期11卷 1895-1897页

作者： Fei-Yue Wang Macao University of Science and Technology Macao 999078China Beijing Engineering Research Center of Intelligent Systems and Technology Chinese Academy of SciencesBeijing 100190China State Key Laboratory for Management and Control of Complex Systems Chinese Academy of SciencesBeijing 100190China

It was a shock and disbelief to learn of Peter's death last *** me,he was so fit in his figure,so healthy in his lifestyle,so mild and mindful in his social behavior,and so devout in his religious belief,......,I ... 详细信息

关键词： religious Scholar belief

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Distilling Siamese Trackers with Attention Mask 41

Distilling Siamese Trackers with Attention Mask

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第41届中国控制会议

作者： Han Sun Yongqiang Bai Wenbo Zhang State Key Lab of Intelligent Control and Decision of Complex Systems and School of Automation Beijing Institute of Technology

ISBN: (数字)9789887581536

ISBN: (纸本)9781665482561

In recent years,the introduction of Siamese network has brought new vitality to the object tracking ***,high-performance Siamese trackers cannot run at a real-time speed on mobile devices due to their complex and huge *** distillation is a common and effective model compression method,but it is difficult to be applied to the challenging task like object *** find out the fundamental cause is that the imbalance between the foreground and background in the object tracking task,which aggravates the problem of insufficient feature extraction ability of small ***,we propose the attention mask distillation(AMD) to help the student tracker focus on the foreground area faster and more *** attention mask can be easily obtained from the feature maps and brings fine-granularity to the traditional binary *** experimental results on OTB100 and VOT2018 show that our method enables the student tracker perform as well as the teacher *** the same time,it's able to run on the CPU at a hyper-real-time of 66 fps and achieves nearly 9 times model compression *** low computational and storage costs make it possible to deploy high-performance trackers on resource-constrained platforms.

关键词： Object Tracking Siamese Network Knowledge Distillation Attention Mask

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Approximate Dynamic Programming for Event-Driven H8 Constrained control

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IEEE TRANSACTIONS ON systems MAN CYBERNETICS-systems 2023年第9期53卷 5922-5932页

作者： Yang, Xiong Xu, Mengmeng Wei, Qinglai Tianjin Univ Sch Elect & Informat Engn Tianjin Key Lab Intelligent Unmanned Swarm Technol Tianjin 300072 Peoples R China Chinese Acad Sci Inst Automat State Key Lab Management & Control Complex Syst Beijing 100190 Peoples R China

We study the dynamic event-driven Hop constrained control problem through approximate dynamic programming (ADP). Differing from the existing literature considering systems with either symmetric constraints or asymmetric constraints, we consider the two different constraints simultaneously. Initially, by constructing a generalized nonquadratic value function, we trans -form the H-8 constrained control problem into an unconstrained two-player zero-sum game. Then, we present an event-driven Hamilton-Jacobi-Isaacs equation (ED-HJIE) corresponding to the zero-sum game for lowering down the computational load. To solve the ED-HJIE, we propose a dynamic triggering mech-anism together with a sole critic neural network (CNN) being built under the ADP framework. The CNN's weights are tuned via the gradient descent approach. After that, we prove uniform ultimate boundedness of the closed-loop system and the CNN's weight estimation error via Lyapunov's method. Finally, we sepa-rately use an F16 aircraft plant and an inverted pendulum system to validate the present theoretical claims.

关键词： Approximate dynamic programming (ADP) event-driven control H(8)control input constraint optimal control

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OS-DS tracker: Orientation-variant Siamese 3D tracking with Detection based Sampling

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PATTERN RECOGNITION LETTERS 2023年第1期174卷 57-63页

作者： Zhang, Qiuyu Wang, Lipeng Li, Wanyi Meng, Hao Zhang, Wen Zhang, Zhi Wang, Peng Harbin Engn Univ Coll Intelligent Syst Sci & Engn Harbin 150001 Peoples R China Chinese Acad Sci Inst Automat State Key Lab Management & Control Complex Syst Beijing Peoples R China

LIDAR point clouds are less affected by the weather and possess more depth of field than 2D images. However, sparsity and disorder of point clouds bring challenges for 3D object tracking due to the difficulty in detecting and encoding. In addition, ineffective candidate proposals increase the phenomenon of the loss of target tracking or wrong target tracking. In this paper, we propose an Orientation-variant Siamese 3D object tracking network that utilizes a Detection based Sampling module to generate candidate proposals (OS-DS tracker). The Detection based Sampling module is used to cut the excessive and useless proposals. And the multivariate Gaussian sampling generates the candidate proposals when the objects are not detected. Concretely, we first pre-train PointRCNN Network to globally detect objects from LIDAR point clouds. Then the 3D detected objects are refined by Candidate Regions Sampling to generate candidate proposals. Meanwhile, to make the feature vectors more discriminative, we design an Orientation-variant Siamese Auto-encoder, i.e., tracking loss regress to the intersection over union (IOU) of the template box and the candidate region boxes. Our method is tested on the KITTI dataset and the SHIP Tracking dataset. Compared with the previous state-of-the-arts, the proposed method outperforms in vessel tracking with 5.2%/2.1% improvement in Success and Precision.

关键词： LIDAR point clouds Object tracking Gaussian sampling Candidate regions Auto-encoder

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Photoelectric intelligent Detection Platform Based on Multifunctional Edge Computing Equipment

Photoelectric Intelligent Detection Platform Based on Multif...

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第43届中国控制会议

作者： Qianjing Xu Wenjie Chen Zhijun Xue State Key Lab of Intelligent Control and Decision of Complex Systems

ISBN: (数字)9789887581581

ISBN: (纸本)9798350366907

In order to study to design a photoelectric intelligent platform based on multifunctional edge computing equipment by using photoelectric detection equipment TC505C, RK-Series Development Kits computing platform and Nvidia Jetson *** photoelectric intelligent platform can be used to run multiple target detection algorithms after design and *** as *** of all, after the first stage of the photoelectric intelligent platform is completed, the host computer can establish communication with the photoelectric detection equipment, carry out automatic or manual servo control on the photoelectric detection equipment, switch its visible and infrared field of view and view it in real time through the monitor, and realize simple tracking function through the image processing ***, after the second stage of the photoelectric intelligent platform is built, under the premise of ensuring the normal availability of servo function, a variety of target detection algorithms can be debugged on multifunctional edge computing ***, this paper uses the modular design concept to design, debug and implement the system in stages. Pay attention to the synchronous debugging of hardware and software functions of each module to ensure the stability of each module. Finally completed the design goals of each stage.

关键词： Multifunctional Edge Computing Equipment Photoelectric intelligent Platform Object Detection

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