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Portfolio Optimization under Partial Information with Expert OpinionsFrey, Rüdiger, Gabih, Abdelali, Wunderlich, Ralf January 2012 (has links) (PDF)
This paper investigates optimal portfolio strategies in a market with partial information on the drift. The drift is modelled as a function of a continuous-time Markov chain with finitely many states which is not directly observable. Information on the drift is obtained from the observation of stock prices. Moreover, expert opinions in the form of signals at random discrete time points are included in the analysis. We derive the filtering equation for the return process and incorporate the filter into the state variables of the optimization problem. This problem is studied with dynamic programming methods. In particular, we propose a policy improvement method to obtain computable approximations of the optimal strategy. Numerical results are presented at the end. (author's abstract)
A Development of Design and Control Methodology for Next Generation Parallel Hybrid Electric VehicleLai, Lin 02 October 2013 (has links)
Commercially available Hybrid Electric Vehicles (HEVs) have been around for more than ten years. However, their market share remains small. Focusing only on the improvement of fuel economy, the design tends to reduce the size of the internal combustion engine in the HEV, and uses the electrical drive to compensate for the power gap between the load demand and the engine capacity. Unfortunately, the low power density and the high cost of the combined electric motor drive and battery packs dictate that the HEV has either worse performance or much higher price than the conventional vehicle. In this research, a new design philosophy for parallel HEV is proposed, which uses a full size engine to guarantee the vehicle performance at least as good as the conventional vehicle, and hybridizes with an electrical drive in parallel to improve the fuel economy and performance beyond the conventional cars. By analyzing the HEV fuel economy versus the increasing of the electrical drive power on typical driving conditions, the optimal hybridization electric power capacity is determined. Thus, the full size engine HEV shows significant improvement in fuel economy and performance, with relatively short cost recovery period. A new control strategy, which optimizes the fuel economy of parallel configured charge sustained hybrid electric vehicles, is proposed in the second part of this dissertation. This new approach is a constrained engine on-off strategy, which has been developed from the two extreme control strategies of maximum SOC and engine on-off, by taking their advantages and overcoming their disadvantages. A system optimization program using dynamic programming algorithm has been developed to calibrate the control parameters used in the developed control strategy, so that the control performance can be as close to the optimal solution as possible. In order to determine the sensitivity of the new control strategy to different driving conditions, a passenger car is simulated on different driving cycles. The performances of the vehicle with the new control strategy are compared with the optimal solution obtained on each driving condition with the dynamic programming optimization. The simulation result shows that the new control strategy always keeps its performance close to the optimal one, as the driving condition changes.
A new Hilbert time warping principle for pattern matching / by Arulnesan MaheswaranMaheswaran, Arulnesan January 1985 (has links)
Includes bibliographical references / 1 v. (various pagings) : ill ; 31 cm. / Title page, contents and abstract only. The complete thesis in print form is available from the University Library. / Thesis (Ph.D.)--University of Adelaide, Dept. of Electrical and Electronic Engineering, 1985
Fast Head-and-shoulder SegmentationDeng, Xiaowei January 2016 (has links)
Many tasks of visual computing and communications such as object recognition, matting, compression, etc., need to extract and encode the outer boundary of the object in a digital image or video. In this thesis, we focus on a particular video segmentation task and propose an efficient method for head-and-shoulder of humans through video frames. The key innovations for our work are as follows: (1) a novel head descriptor in polar coordinate is proposed, which can characterize intrinsic head object well and make it easy for computer to process, classify and recognize. (2) a learning-based method is proposed to provide highly precise and robust head-and-shoulder segmentation results in applications where the head-and-shoulder object in the question is a known prior and the background is too complex. The efficacy of our method is demonstrated on a number of challenging experiments. / Thesis / Master of Applied Science (MASc)
Differential Dynamic Programming: An Optimization Technique for Nonlinear SystemsSato, Nobuyuki 04 1900 (has links)
<p> Differential Dynamic. Programming is a new method, based on Bellman's principle of optimality, for determining optimal control strategies for nonlinear systems. It has originally been developed by D.H.Jacobson. </p> <p> In this thesis a result is presented for a problem with saturation characteristics in nonlinearity solved by the Jacobson's approach. In the differential dynamic programming the principle of optimality is applied to the differential change in non-optimal cost due to small changes in state; variables instead of the cost itself. This results in modest memory requirements for its defining parameters and rapid convergence. </p> / Thesis / Master of Engineering (MEngr)
Three Essays on Product Recall Decision OptimizationYao, Liufang 11 1900 (has links)
This thesis examines decision optimization of product recalls. Product recalls in recent years have shown unprecedented impact on both immediate economic and reputational damage to the company and long-lasting impact on the brand and industry. Admittedly, imperfect product quality makes recalls inevitable. Thus, we explore from three perspectives to elicit business insights regarding better management and risk control. Chapter 1 introduces the topic of product recall management optimization and its real-world motivation. Chapter 2 views the decision making of "when to initiate a product recall" as a dynamic process and takes the feedback of customer returns to update the product defect rate. Updating is simplified by the conjugate properties of beta distribution and Bernoulli trials. We develop the optimal stopping model to find the thresholds of total product returns above which initiating recall is optimal. We implement dynamic programming to solve the model optimally. For large-size problems, we propose a simulation method to balance computation time with solution quality. Chapter 3 allows the company to control the recall risk by investing in quality. We adopt the one-stage stochastic newsvendor model and add quality-dependent recall risk. The resulting model is not concave in production quantity and quality levels. The parametric analysis reveals several interesting features such as the optimal ordering quantity and quality level have a conflicting relationship. We further extend our model from internal supply to external supply from multiple sources. Chapter 4 examines managing product recalls from the closed-loop supply chain management and disruption management perspectives. We model the location and allocation decisions of both manufacturing plants and reprocessing facilities where facilities are built after the recalls. Numerical experiments show the costs of overlooking potential recalls vary greatly, indicating the necessity of considering recalls in initial designs and the importance of accurate recall probability prediction. Chapter 5 summarizes. / Thesis / Doctor of Philosophy (PhD)
Market and professional decision-making under risk and uncertaintyDavidson, Erick 11 December 2007 (has links)
No description available.
On the theory and modeling of dynamic programming with applications in reservoir operationSniedovich, Moshe, January 1976 (has links) (PDF)
Thesis (Ph. D. - Hydrology and Water Resources)--University of Arizona. / Includes bibliographical references.
Automatic basis function construction for reinforcement learning and approximate dynamic programmingKeller, Philipp W. January 1900 (has links)
Thesis (M.Sc.). / Written for the School of Computer Science. Title from title page of PDF (viewed 2008/07/30). Includes bibliographical references.
Simultaneous localization and planning of cooperative air munitions via dynamic programmingDoucette, Emily A., Sinclair, Andrew J., January 2008 (has links) (PDF)
Thesis (M.S.)--Auburn University, 2008. / Abstract. Vita. Includes bibliographical references (p. 36-37).
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