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We propose a robust and efficient numerical discretization scheme for the infinitesimal generator of a diffusion process based on a finite volume approximation. The resulting discrete-space operator can be interpreted as a jump process on the mesh whose invariant measure is precisely the cell approximation of the Boltzmann distribution of the original process. Moreover the resulting jump process preserves the detailed balance property of the original stochastic process.
A Structure-Preserving Method for Generalized Algebraic RiccatiEquations Based on Pencil Arithmetic
(2004)
This paper describes a numerical method for extracting the stable
right deflating subspace of a matrix pencil Z Y using
a spectral projection method. It has several advantages compared
to other spectral projection methods like the sign function
method. In particular it avoids the rounding error induced
loss of accuracy associated with matrix inversions. The new algorithm
is particularly well adapted to solving continuous-time
algebraic Riccati equations. In numerical examples, it solves
Riccati equations to high accuracy.
In this paper we propose a Libor model with a high-dimensional specially structured system of
driving CIR volatility processes. A stable calibration procedure which takes into account
a given local correlation structure is presented. The calibration algorithm is FFT based, so fast and easy
to implement.
Trajectory- or mesh-based methods for analyzing the dynamical behavior of large
molecules tend to be impractical due to the curse of dimensionality - their computational cost increases
exponentially with the size of the molecule. We propose a method to break the curse by a
novel square root approximation of transition rates, Monte Carlo quadrature and a discretization
approach based on solving linear programs. With randomly sampled points on the molecular energy
landscape and randomly generated discretizations of the molecular conguration space as our initial
data, we construct a matrix describing the transition rates between adjacent discretization regions.
This transition rate matrix yields a Markov State Model of the molecular dynamics. We use Perron
cluster analysis and coarse-graining techniques in order to identify metastable sets in conguration
space and approximate the transition rates between the metastable sets. Application of our method
to a simple energy landscape on a two-dimensional conguration space provides proof of concept and
an example for which we compare the performance of dierent discretizations. We show that the
computational cost of our method grows only polynomially with the size of the molecule. However,
nding discretizations of higher-dimensional conguration spaces in which metastable sets can be
identied remains a challenge.
Laplace transforms which admit a holomorphic extension to some sector strictly
containing the right half plane and exhibiting a potential behavior are considered. A spectral order,
parallelizable method for their numerical inversion is proposed. The method takes into account the
available information about the errors arising in the evaluations. Several numerical illustrations are
provided.
We study the expansion of the eigenfunctions of Schrödinger operators with smooth confinement potentials in Hermite functions; confinement potentials are potentials that become unbounded at infinity. The key result is that such eigenfunctions and all their derivatives decay more rapidly than any exponential function under some mild growth
conditions to the potential and its derivatives. Their expansion in Hermite functions converges therefore very fast, super-algebraically.
Short term climate events such as the sea surface temperature anomaly known as El Nino are financial risk sources leading to incomplete markets. To make such risk tradable, we use a market model in which a climate index provides an extra investment opinion. Given one possible market price of risk each agent can maximize the exponential utility from three sources of income: capital market, additional security, and individual risk exposure. Under an equilibrium condition the market price of risk is uniquely determined by a backward stochastic differential equation. We translate these stochastic equations into semi-linear partial differential equations for the simulation of which numerical schemes are available. We choose two simple models for sea surface temperature, and with ENSO risk exposed fisher and farmer and a nonh-exposed bank three toy agents. By simulating their optimal investment into the climat index we obtain first insight into the dynamics of the market.
Bovine fertility is the subject of extensive research in animal sciences,
especially because fertility of dairy cows has declined during the last
decades. The regulation of estrus is controlled by the complex interplay
of various organs and hormones. Mathematical modeling of the bovine
estrous cycle could help in understanding the dynamics of this complex
biological system. In this paper we present a mechanistic mathematical
model of the bovine estrous cycle that includes the processes of follicle
and corpus luteum development and the key hormones that interact to
control these processes. The model generates successive estrous cycles of
21 days, with three waves of follicle growth per cycle. The model contains
12 differential equations and 54 parameters. Focus in this paper is on
development of the model, but also some simulation results are presented,
showing that a set of equations and parameters is obtained that describes
the system consistent with empirical knowledge. Even though the majority
of the mechanisms that are included in the model are based on relations
that in literature have only been described qualitatively (i.e. stimulation
and inhibition), the output of the model is surprisingly well in line with
empirical data. This model of the bovine estrous cycle could be used
as a basis for more elaborate models with the ability to study effects of
external manipulations and genetic differences.
We present a linear time approximation algorithm with a performance ratio of 1/2 for finding a maximum weight matching in an arbitrary graph. Such a result is already known and is due to Preis [STACS'99, Lecture Notes in Comput. Sci., Vol. 1563, 1999, pp. 259–269]. Our algorithm uses a new approach which is much simpler than the one given by Preis and needs no amortized analysis for its running time.
Sensitivity analysis (with respect to the regularization parameter)
of the solution of a class of regularized state constrained
optimal control problems is performed. The theoretical results are
then used to establish an extrapolation-based numerical scheme for
solving the regularized problem for vanishing regularization
parameter. In this context, the extrapolation technique provides
excellent initialization along the sequence of reducing
regularization parameters. Finally, the favorable numerical
behavior of the new method is demonstrated in a nested iteration
environment.