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Author(s): 

FLEMING W.H. | STEIN J.L.

Issue Info: 
  • Year: 

    2004
  • Volume: 

    28
  • Issue: 

    5
  • Pages: 

    979-996
Measures: 
  • Citations: 

    1
  • Views: 

    135
  • Downloads: 

    0
Keywords: 
Abstract: 

Yearly Impact: مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

View 135

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Author(s): 

CHOW G.C.

Issue Info: 
  • Year: 

    1979
  • Volume: 

    -
  • Issue: 

    1
  • Pages: 

    143-175
Measures: 
  • Citations: 

    1
  • Views: 

    115
  • Downloads: 

    0
Keywords: 
Abstract: 

Yearly Impact: مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

View 115

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Issue Info: 
  • Year: 

    2015
  • Volume: 

    16
  • Issue: 

    2
  • Pages: 

    235-248
Measures: 
  • Citations: 

    0
  • Views: 

    352
  • Downloads: 

    242
Abstract: 

The artificial cement characterization requires the measurement of a large number of control parameters. In the present work, twenty four parameters that are monitored on a daily basis during three years of observation are investigated. Due to the large amount of data to be collected, a monthly overage is calculated. This allows the result fluctuations due to managing difficulties to be reduced.The purpose of this study is to show that it is possible, with an acceptable approximation rate, to make a variable reduction, which is to reduce the number of control parameters, as these measurements are identified every hour at the exit of the clinker crusher and daily at the expedition.The aim of the present investigations is to suggest a manufacturing supervision that can give improvements in the characteristics of the finished product and that can reduce, in an objective way, the number of tests. The consequences of such pertinent supervision are a great deal of saving time and lower cost.

Yearly Impact: مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

View 352

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Author(s): 

NEGM M.M.M.

Issue Info: 
  • Year: 

    2000
  • Volume: 

    3
  • Issue: 

    -
  • Pages: 

    3020-3027
Measures: 
  • Citations: 

    1
  • Views: 

    114
  • Downloads: 

    0
Keywords: 
Abstract: 

Yearly Impact: مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

View 114

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Author(s): 

XIAOSHENG F. | JINGCHENG W.

Issue Info: 
  • Year: 

    2008
  • Volume: 

    9
  • Issue: 

    11
  • Pages: 

    980-989
Measures: 
  • Citations: 

    1
  • Views: 

    102
  • Downloads: 

    0
Keywords: 
Abstract: 

Yearly Impact: مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

View 102

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Issue Info: 
  • Year: 

    2013
  • Volume: 

    5
Measures: 
  • Views: 

    132
  • Downloads: 

    70
Abstract: 

control THEORY IS A MATHEMATICAL DESCRIPTION OF HOW TO ACT OPTIMALLY TO GAIN FUTURE REWARDS. IN THIS PAPER WE GIVE AN INTRODUCTION TO DETERMINISTIC AND Stochastic control THEORY, PARTIAL OBSERVABILITY, LEARNING AND THE COMBINED PROBLEM OF INFERENCE AND control. SUBSEQUENTLY, WE DISCUSS A CLASS OF LINEAR QUADRATIC Stochastic control PROBLEMS THAT CAN BE EFFICIENTLY SOLVED. WE ILLUSTRATE THE THEORY WITH AN EXAMPLE.

Yearly Impact:   مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

View 132

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Writer: 

Delavarkhalafi A.

Issue Info: 
  • Year: 

    2016
  • Volume: 

    4
Measures: 
  • Views: 

    194
  • Downloads: 

    119
Abstract: 

APPLICATIONS OF Stochastic OPTIMAL control TO MANAGEMENT AND FINANCE PROBLEMS WERE DEVELOPED FROM 1970S, .THE DYNAMIC PROGRAMMING APPROACH PROVIDES A CHARACTERIZATION OF THE VALUE FUNCTION AND OPTIMAL control. IN THIS PAPER WE PRESENT THE Stochastic OPTIMAL control FORMULATION AND CONCENTRATE ON SOME APPLICATIONS IN FINANCIAL MATHEMATICS [3, 4]. USING DYNAMIC PROGRAMMING, WE OBTAIN THE DYNAMIC PROGRAMMING APPROACH THAT IN GENERAL WE CAN’T SOLVE IT ANALYTICALLY.MANY PROBLEMS IN FINANCIAL MATHEMATICS INVOLVE THE SOLUTION OF Stochastic OPTIMAL control (SOC) PROBLEMS. IN THIS WORK, THE VARIATIONAL ITERATION METHOD (VIM) IS APPLIED FOR SOLVING SOC PROBLEMS. IN FACT, SOLUTIONS FOR THE VALUE FUNCTION AND THE CORRESPONDING OPTIMAL STRATEGIES ARE OBTAINED NUMERICALLY. WE SOLVE A Stochastic LINEAR REGULATOR PROBLEM TO INVESTIGATE THE APPLICABILITY AND SIMPLICITY OF THE PRESENTED METHOD AND PROVE ITS CONVERGENCE. IN PARTICULAR, FOR MERTON’S PORTFOLIO SELECTION MODEL AS A PROBLEM OF PORTFOLIO OPTIMIZATION, THE PROPOSED NUMERICAL METHOD IS APPLIED FOR THE FIRST TIME AND ITS USEFULNESS IS DEMONSTRATED. FOR THE NONLINEAR CASE, WE INVESTIGATE ITS CONVERGENCE USING BANACH’SFIXED POINT THEOREM. THE NUMERICAL RESULTS CONFIRM THE SIMPLICITY AND EFFICIENCY OF OUR METHOD.

Yearly Impact:   مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

View 194

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Issue Info: 
  • Year: 

    2022
  • Volume: 

    11
  • Issue: 

    1
  • Pages: 

    27-34
Measures: 
  • Citations: 

    0
  • Views: 

    37
  • Downloads: 

    0
Keywords: 
Abstract: 

A common method for controlling a group of parallel converters in decentralized control strategy structure in an island microgrid, the use is the droop-down characteristics of frequency ω-P and voltage E-Q. However, the problem with using this method is that the reactive power is not properly distributed (in proportion to the capacity of the micronutrients) between the micronutrients, which may lead to overload in the converters. Microgrids may also suffer from dynamic stability problems such as power fluctuations, which can be increased by switching between active and reactive power control. To avoid this problem, the X / R ratio of transmission lines is an important parameter that should be carefully considered in the design of micronutrient controllers. By linearizing and simplifying conditions, the control system conversion function model becomes a single input-single output system, which is efficient enough to show the relationship between control parameters such as slope of droop characteristics and derivative sentences, virtual impedance, and voltage controllers. Using this model, stability conditions for different parameters are analyzed. Also, to improve power distribution stability, common droop strategies are modified by adjusting the slope as well as adding nonlinear sentence sections. This approach reduces the coupling between active and reactive power control and reduces the dependence of power distribution on grid parameters such as the X / R ratio. To evaluate the reliability of the proposed model, the simulation results in a sample island microgrid in MATLAB software are presented.

Yearly Impact: مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Issue Info: 
  • Year: 

    2024
  • Volume: 

    15
  • Issue: 

    11
  • Pages: 

    1-28
Measures: 
  • Citations: 

    0
  • Views: 

    4
  • Downloads: 

    0
Abstract: 

Optimal control theory is a branch of mathematics. It is developed to find optimal ways to control a dynamic system. In 1957, R.Bellman applied dynamic programming to solve optimal control of discrete-time systems. His procedure resulted in closed-loop,  generally nonlinear, and feedback schemes. Optimal control problems which will be tackled involve the minimization of a cost function subject to constraints on the state vector and the control. Lagrange multipliers provide a method of converting a constrained minimization problem into an unconstrained minimization problem of higher order. The necessary condition for optimality can be obtained as the solution of the unconstrained optimization problem of the Lagrange function and the bordered Hessian matrix is used for the second-derivative test. A spectral method for solving optimal control problems is presented. The method is based on Bernoulli polynomials approximation. By using the Bernoulli operational matrix of integration and the Lagrangian function, Stochastic optimal control is transformed into an optimisation problem, where the unknown Bernoulli coefficients are determined by using Newton's iterative method. The convergence analysis of the proposed method is given. The simulation results based on the Monte-Carlo technique prove the performance of the proposed method. Some error estimations are provided and illustrative examples are also included to demonstrate the efficiency and applicability of the proposed method.

Yearly Impact: مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Author(s): 

Khadimallah Asma | Abid Fathi

Issue Info: 
  • Year: 

    621
  • Volume: 

    2
  • Issue: 

    2
  • Pages: 

    151-166
Measures: 
  • Citations: 

    0
  • Views: 

    18
  • Downloads: 

    2
Abstract: 

This paper has potential implications for the management of the bank. We examine a bank capital structure with contingent convertible debt to improve financial stability. This type of debt converts to equity when the bank is facing financial difficulties and a conversion trigger occurs. We use a leverage ratio, which is introduced in Basel III to trigger conversion instead of traditional capital ratios. We formulate an optimization problem for a bank to choose an asset allocation strategy to maximize the expected utility of the bank's asset value. Our study presents an application of Stochastic optimal control theory to a banking portfolio choice problem. By applying a dynamic programming principle to derive the HJB equation, we define and solve the optimization problem in the power utility case.The numerical results show that the evolution of the optimal asset allocation strategy is really affected by the realization of the Stochastic variables characterizing the economy. We carried out a sensitivity analysis of risk aversion, time and volatility. We also reveal that the optimal asset allocation strategy is relatively sensitive to risk aversion as well as that the allocation in CoCo and equity decreases as the investment horizon increases. Finally, sensitivity analysis highlights the importance of dynamic considerations in optimal asset allocation based on the Stochastic characteristics of investment opportunities.

Yearly Impact: مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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