| 1. |
- Akçay, Hüseyin, et al.
(författare)
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The Least-Squares Identification of FIR Systems Subject to Worst-Case Noise
- 1994
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Ingår i: Proceedings of the 10th IFAC Symposium on System Identification. - Linköping : Linköping University. - 9780080422251 ; 23:5, s. 329-338
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- The least-squares identification of FIR systems is analyzed assuming that the noise is a bounded signal and the input signal is a pseudo-random binary sequence. A lower bound on the worst-case transfer function error shows that the least-square estimate of the transfer function diverges as the order of the FIR system is increased. This implies that, in the presence of the worst-case noise, the trade-off between the estimation error due to the disturbance and the bias error (due to unmodeled dynamics) is significantly different from the corresponding trade-off in the random error case: with a worst-case formulation, the model complexity should not increase indefinitely as the size of the data set increases.
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| 2. |
- Hu, Xiaoming
(författare)
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Nonlinear state estimation for rigid-body motion with low-pass sensors
- 2000
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Ingår i: Systems & control letters (Print). - 0167-6911 .- 1872-7956. ; 40:3, s. 183-190
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Tidskriftsartikel (refereegranskat)abstract
- In this paper, we consider the state estimation problem for the nonlinear kinematic equations of a rigid body observed under low-pass sensors. The problem is motivated from a walking robot application where inclinometers and gyros are the sensors used. We show that a non-local high gain observer exists for the nonlinear rigid-body kinematic equations and that it under a small angle assumption is possible to use one inclinometer only to estimate two angles.
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| 3. |
- Johansson, Karl Henrik, et al.
(författare)
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On the regularization of Zeno hybrid automata
- 1999
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Ingår i: Systems & control letters (Print). - : Elsevier. - 0167-6911 .- 1872-7956. ; 38:3, s. 141-150
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Tidskriftsartikel (refereegranskat)abstract
- Fundamental properties of hybrid automata, such as existence and uniqueness of executions, are studied. Particular attention is devoted to Zeno hybrid automata, which are hybrid automata that take infinitely many discrete transitions in finite time. It is shown that regularization techniques can be used to extend the Zeno executions of these automata to times beyond the Zeno time. Different types of regularization may, however, lead to different extensions. A water tank control problem and a bouncing ball system are used to illustrate the results.
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| 4. |
- Nordström, Kjell
(författare)
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On the Stability Margins of the Smith-Controller
- 1986
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Ingår i: Systems & control letters (Print). - : Elsevier. - 0167-6911 .- 1872-7956. ; 6:5, s. 315-319
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Tidskriftsartikel (refereegranskat)abstract
- Some results on robustness properties for the well known Smith controller are given. In particular we focus on the gain margins and the phase margin for this controller.
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| 5. |
- Partington, J.R., et al.
(författare)
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Worst-case analysis of the least-squares method and related identification methods
- 1995
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Ingår i: Systems & control letters (Print). - 0167-6911 .- 1872-7956. ; 24:3, s. 193-200
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Tidskriftsartikel (refereegranskat)abstract
- We consider worst-case analysis of system identification under less restrictive assumptions on the noise than the l∞ bounded error condition. It is shown that the least-squares method has a robust convergence property in l2 identification, but lacks a corresponding property in l1 identification (as well as in all other non-Hilbert space settings). The latter result is in stark contrast with typical results in asymptotic stochastic analysis of the least-squares method. Furthermore, it is shown that the Khintchine inequality is useful in the analysis of least lp identification methods
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| 6. |
- Trulsson, Eva
(författare)
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Uniqueness of Local Minima for Linear Quadratic Control Design
- 1985
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Ingår i: Systems & control letters (Print). - : Elsevier. - 0167-6911 .- 1872-7956. ; 5:5, s. 295-302
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Tidskriftsartikel (refereegranskat)abstract
- The problem of minimizing a weighted sum of the input and output variances from a linear scalar system is considered. This is viewed as an optimization problem with the parameters of the regulator as unknowns and it is proved that if the regulator is flexible enough, then every local minimum to this problem is a global optimum. This result is useful if a gradient method is used to find the optimal regulator.
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| 7. |
- Wang, Ke, et al.
(författare)
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A Discussion of Adaptive Stabilization and Robust Adaptive Control
- 1989
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Ingår i: Systems & control letters (Print). - : Elsevier BV. - 0167-6911 .- 1872-7956. ; 12:1, s. 53-56
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Tidskriftsartikel (refereegranskat)abstract
- This paper presents an algorithm for stabilizing a linear system with bounded disturbances, by a sampled-data regulator. The prior knowledge required is that the system has finite order and bounded disturbances. Bounds on the disturbances and on the order of the system need not be known.The implications of this technical result on theoretical convergence issues in adaptive control are also discussed.
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| 8. |
- Agram, Nacira, et al.
(författare)
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Mean-field backward stochastic differential equations and applications
- 2022
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Ingår i: Systems & control letters (Print). - : Elsevier BV. - 0167-6911 .- 1872-7956. ; 162
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Tidskriftsartikel (refereegranskat)abstract
- In this paper we study the linear mean-field backward stochastic differential equations (mean-field BSDE) of the form & nbsp;& nbsp;{dY(t) = -[alpha(1)(t)Y(t) +& nbsp;beta(1)(t)Z(t) +& nbsp;integral(R0 & nbsp;)eta(1)(t,& nbsp;zeta)K(t,& nbsp;zeta)nu(d zeta) +& nbsp;alpha(2)(t)E[Y(t)] +& nbsp;beta(2)(t)E[Z(t)] +& nbsp;integral(R0 & nbsp;)eta(2)(t,& nbsp;zeta)E[K(t,& nbsp;zeta)]nu(d zeta) +& nbsp;gamma(t)]dt + Z(t)dB(t) +& nbsp;integral K-R0 (t,& nbsp;zeta)(N) over tilde(dt, d zeta), t & nbsp;is an element of & nbsp;[0, T].Y(T) =xi.& nbsp;& nbsp;where (Y, Z, K) is the unknown solution triplet, B is a Brownian motion, (N) over tilde is a compensated Poisson random measure, independent of B. We prove the existence and uniqueness of the solution triplet (Y, Z, K) of such systems. Then we give an explicit formula for the first component Y(t) by using partial Malliavin derivatives. To illustrate our result we apply them to study a mean-field recursive utility optimization problem in finance.
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| 9. |
- Agram, Nacira, 1987-, et al.
(författare)
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On a class of reflected backward stochastic Volterra integral equations and related time-inconsistent optimal stopping problems
- 2021
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Ingår i: Systems & control letters (Print). - : Elsevier. - 0167-6911 .- 1872-7956. ; 155
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Tidskriftsartikel (refereegranskat)abstract
- We introduce a class of one-dimensional continuous reflected backward stochastic Volterra integral equations driven by Brownian motion, where the reflection keeps the solution above a given stochastic process (lower obstacle). We prove existence and uniqueness by a fixed point argument and derive a comparison result. Moreover, we show how the solution of our problem is related to a time-inconsistent optimal stopping problem and derive an optimal strategy.
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| 10. |
- Agram, Nacira, Associate professor, 1987-, et al.
(författare)
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Optimal stopping of conditional McKean–Vlasov jump diffusions
- 2024
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Ingår i: Systems & control letters (Print). - : Elsevier BV. - 0167-6911 .- 1872-7956. ; 188
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Tidskriftsartikel (refereegranskat)abstract
- The purpose of this paper is to study the optimal stopping problem of conditional McKean–Vlasov (mean-field) stochastic differential equations with jumps (conditional McKean–Vlasov jump diffusions, for short). We obtain sufficient variational inequalities for a function to be the value function of such a problem and for a stopping time to be optimal.The key is that we combine the conditional McKean–Vlasov equation with the associated stochastic Fokker–Planck partial integro-differential equation for the conditional law of the state. This leads to a Markovian system which can be handled by using a version of a Dynkin formula.Our verification result is illustrated by finding the optimal time to sell in a market with common noise and jumps.
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