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Browsing by Subject "Stochastic systems"

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    • Article  

      Algebraic solution of the Stein-Stein model for stochastic volatility 

      Sophocleous, Christodoulos; O'Hara, John G.; Leach, Peter G. L. (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 ...

    • Article  

      Artificial neural network learning: A comparative review 

      Neocleous, Costas K.; Schizas, Christos N. (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 ...

    • Conference Object  

      The capacity of unstable dynamical systems-interaction of control and information transmission 

      Charalambous, Charalambos D.; Kourtellaris, C. K.; Loyka, S.; Tzortzis, I. (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 ...

    • Article  

      Centralized Versus Decentralized Optimization of Distributed Stochastic Differential Decision Systems with Different Information Structures-Part I: A General Theory 

      Charalambous, Charalambos D.; Ahmed, N. U. (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 ...

    • Article  

      Centralized Versus Decentralized Optimization of Distributed Stochastic Differential Decision Systems with Different Information Structures-Part II: Applications 

      Charalambous, Charalambos D.; Ahmed, N. U. (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 ...

    • Conference Object  

      Control of feedback systems subject to the finite rate constraints via the shannon lower bound 

      Charalambous, Charalambos D.; Farhadi, A. (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 ...

    • Article  

      Decentralized optimality conditions of stochastic differential decision problems via Girsanov’s measure transformation 

      Charalambous, Charalambos D. (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 ...

    • Article  

      A deductive approach to the solution of the problem of optimal pairs trading from the viewpoint of stochastic control with time-dependent parameters 

      Charalambous, Kyriakos; Sophocleous, Christodoulos; O'Hara, John G.; Leach, Peter G. L. (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 ...

    • Conference Object  

      Detectability in stochastic discrete event systems 

      Keroglou, C.; Hadjicostis, Christoforos N. (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 ...

    • Article  

      Detectability in stochastic discrete event systems 

      Keroglou, C.; Hadjicostis, Christoforos N. (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 ...

    • Article  

      Distributed matrix scaling and application to average consensus in directed graphs 

      Domínguez-Garcia, A. D.; Hadjicostis, Christoforos N. (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 ...

    • Article  

      Distributed resource coordination in networked systems described by digraphs 

      Domínguez-Garcia, A. D.; Hadjicostis, Christoforos N. (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, ...

    • Conference Object  

      Dynamic demographic models and parameter identification: Simulations based on statistical data 

      Tzortzis, I.; Charalambous, Charalambos D. (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 ...

    • Article  

      Dynamic programming subject to total variation distance ambiguity 

      Tzortzis, I.; Charalambous, Charalambos D.; Charalambous, T. (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 ...

    • Conference Object  

      Dynamic team optimality conditions of distributed stochastic differential decision systems with decentralized noisy information structures 

      Charalambous, Charalambos D.; Ahmed, N. U. (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. ...

    • Conference Object  

      Estimation and identification of time-varying long-term fading wireless channels with application to power control 

      Olama, M. M.; Jaladhi, K. K.; Djouadi, S. M.; Charalambous, Charalambos D. (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 ...

    • Article  

      Evaluation of disconnected quark loops for hadron structure using GPUs 

      Alexandrou, Constantia; Constantinou, Martha; Drach, V.; Hadjiyiannakou, Kyriakos; Jansen, K.; Koutsou, Giannis; Strelchenko, A.; Vaquero, A. (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 ...

    • Article  

      Exact filters for Newton-Raphson parameter estimation algorithms for continuous-time partially observed stochastic systems 

      Charalambous, Charalambos D.; Hibey, J. L. (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 ...

    • Article  

      Extremum problems with total variation distance and their applications 

      Charalambous, Charalambos D.; Tzortzis, I.; Loyka, S.; Charalambous, T. (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 ...

    • Doctoral Thesis  Open Access

      Extremum problems with total variation distance metric on the space of probability measures and applications 

      Τζωρτζής, Ιωάννης Α. (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, ...

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