Browsing by Subject "Stochastic systems"
Now showing items 1-20 of 56
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Article
Algebraic solution of the Stein-Stein model for stochastic volatility
(2011)We provide an algebraic approach to the solution of the Stein-Stein model for stochastic volatility which arises in the determination of the Radon-Nikodym density of the minimal entropy of the martingale measure. We extend ...
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Article
Artificial neural network learning: A comparative review
(2002)Various neural learning procedures have been proposed by different researchers in order to adapt suitable controllable parameters of neural network architectures. These can be from simple Hebbian procedures to complicated ...
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Conference Object
The capacity of unstable dynamical systems-interaction of control and information transmission
(Institute of Electrical and Electronics Engineers Inc., 2017)Feedback capacity is extended beyond classical communication channels, to stochastic dynamical systems, which may correspond to unstable control systems or unstable communication channels, subject to average cost constraints ...
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Article
Centralized Versus Decentralized Optimization of Distributed Stochastic Differential Decision Systems with Different Information Structures-Part I: A General Theory
(2017)Decentralized optimization of distributed stochastic dynamical systems with two or more controls of the decision makers (DMs) has been an active area of research for over half a century. Although, such decentralized ...
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Article
Centralized Versus Decentralized Optimization of Distributed Stochastic Differential Decision Systems with Different Information Structures-Part II: Applications
(2017)In this second part of the two-part paper, a stochastic maximum principle, conditional Hamiltonians and the coupled backward-forward stochastic differential equations (SDEs) of the first part [1] are employed to derive ...
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Conference Object
Control of feedback systems subject to the finite rate constraints via the shannon lower bound
(2007)This paper is concerned with control of stochastic systems subject to limited feedback channel capacity. Specifically, the design of an encoder, decoder, and controller subject to the mean square observability and ...
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Article
Decentralized optimality conditions of stochastic differential decision problems via Girsanov’s measure transformation
(2016)In this paper, we apply two methods to derive necessary and sufficient decentralized optimality conditions for stochastic differential decision problems with multiple Decision Makers (DMs), which aim at optimizing a common ...
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Article
A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time-dependent parameters
(2015)In a fairly recent paper (2008 American Control Conference, June 11-13, 1035-1039), the problem of dealing with trading in optimal pairs was treated from the viewpoint of stochastic control. The analysis of the subsequent ...
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Conference Object
Detectability in stochastic discrete event systems
(IFAC Secretariat, 2014)In this paper we define and analyze notions of detectability in stochastic discrete event systems (SDES). More specifically, we introduce the notions of A-detectability and AA-detectability which focus on characterizing ...
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Article
Detectability in stochastic discrete event systems
(2015)A discrete event system possesses the property of detectability if it allows an observer to perfectly estimate the current state of the system after a finite number of observed symbols, i.e., detectability captures the ...
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Article
Distributed matrix scaling and application to average consensus in directed graphs
(2013)We propose a class of distributed iterative algorithms that enable the asymptotic scaling of a primitive column stochastic matrix, with a given sparsity structure, to a doubly stochastic form. We also demonstrate the ...
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Article
Distributed resource coordination in networked systems described by digraphs
(2015)We consider a multicomponent system in which each component can receive/transmit information from/to components in its immediate neighborhood. Communication links between components are not required to be bidirectional, ...
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Conference Object
Dynamic demographic models and parameter identification: Simulations based on statistical data
(Institute of Electrical and Electronics Engineers Inc., 2014)This paper is concerned with dynamical population models obtained from short and long-term changes in size and age composition due to demographic processes such as births, deaths, migration, etc. Both deterministic and ...
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Article
Dynamic programming subject to total variation distance ambiguity
(2015)The aim of this paper is to address optimality of stochastic control strategies via dynamic programming subject to total variation distance ambiguity on the conditional distribution of the controlled process. We formulate ...
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Conference Object
Dynamic team optimality conditions of distributed stochastic differential decision systems with decentralized noisy information structures
(Institute of Electrical and Electronics Engineers Inc., 2013)We derive team and Person-by-Person (PbP) optimality conditions using the stochastic Pontryagin's maximum principle, for distributed stochastic differential decision systems with decentralized noisy information structures. ...
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Conference Object
Estimation and identification of time-varying long-term fading wireless channels with application to power control
(Institute of Electrical and Electronics Engineers Inc., 2007)This paper is concerned with modeling of time-varying wireless fading channels, parameter estimation, identification, and optimal power control from received signal measurements. Wireless channels are represented by ...
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Article
Evaluation of disconnected quark loops for hadron structure using GPUs
(2014)A number of stochastic methods developed for the calculation of fermion loops are investigated and compared, in particular with respect to their efficiency when implemented on Graphics Processing Units (GPUs). We assess ...
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Article
Exact filters for Newton-Raphson parameter estimation algorithms for continuous-time partially observed stochastic systems
(2001)This paper presents explicit finite-dimensional filters for implementing Newton-Raphson (NR) parameter estimation algorithms. The models which exhibit nonlinear parameter dependence are stochastic, continuous-time and ...
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Article
Extremum problems with total variation distance and their applications
(2014)The aim of this paper is to investigate extremum problems with pay-off being the total variation distance metric defined on the space of probability measures, subject to linear functional constraints on the space of ...
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Doctoral Thesis Open Access
Extremum problems with total variation distance metric on the space of probability measures and applications
(Πανεπιστήμιο Κύπρου, Πολυτεχνική Σχολή / University of Cyprus, Faculty of Engineering, 2015-03)Η βελτιστοποίηση προβλήματων με ακρότατα που χρησιμοποιούν ως μετρική απόστασης την ολική κύμανση στο χώρο των μέτρων πιθανοτήτων είναι θεμελιώδους σημασίας στον στοχαστικό έλεγχο, στη θεωρία πληροφορίας και της επικοινωνίας, ...