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52nd IEEE Conference on Decision and Control最新文献

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Trend-following trading using recursive stochastic optimization algorithms 趋势跟踪交易使用递归随机优化算法
Pub Date : 2013-12-01 DOI: 10.1109/CDC.2013.6761132
D. Nguyen, G. Yin, Qing Zhang
This work develops with trend following trading strategies under a bull-bear market switching model. The asset model is assumed to be geometric Brownian motion type of process, in which drift of the stock price is allowed to switch between two parameters corresponding to an up-trend (bull market) and a downtrend (bear market) corresponding to a partially observable Markov chain. Our objective is to buy and sell the underlying stock to maximize an expected return. It is shown in [6], [7] that an optimal trading strategy can be obtained in terms of two threshold levels, but finding the threshold levels is a difficult task. In this paper, we develop a stochastic approximation algorithm to approximate the threshold levels. The main advantage of our method is that one need not solve the associated HamiltonJacobiBellman (HJB) equations. We establish the convergence of the algorithm and provide numerical examples to illustrate the results.
在牛熊转换模型下,采用趋势跟随交易策略进行研究。资产模型假定为几何布朗运动类型的过程,其中股票价格的漂移允许在两个参数之间切换,对应于上行趋势(牛市)和下行趋势(熊市),对应于部分可观察的马尔可夫链。我们的目标是买卖标的股票以获得最大的预期回报。由[6]、[7]可知,在两种阈值水平下都可以得到最优交易策略,但找到阈值水平是一项困难的任务。在本文中,我们开发了一种随机逼近算法来逼近阈值水平。该方法的主要优点是不需要求解相关的hamilton - jacobibellman (HJB)方程。我们建立了算法的收敛性,并给出了数值例子来说明结果。
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引用次数: 4
Learning in networked systems 网络系统中的学习
Pub Date : 2013-12-01 DOI: 10.1109/CDC.2013.6760267
J. Shamma
The setup of learning in networked systems is a collection of decision making components with local information and limited communication interacting to balance a collective objective with local incentives. This talk presents a tutorial overview of learning in such settings from a game theoretic perspective. While game theory is well known for its traditional role as a modeling framework in social sciences, it is seeing growing interest as a design approach for distributed architecture control. In game theoretic learning, the focus shifts away from equilibrium solution concepts and towards the dynamics of how decision makers reach equilibrium. This talk presents a sampling of results in game theoretic learning from its origins as a “descriptive” model for social systems to its “prescriptive” role as an approach to designing networked control. The talk presents also presents various examples from distributed coordination.
网络系统中学习的设置是具有局部信息和有限通信的决策组件的集合,这些组件相互作用以平衡集体目标和局部激励。本讲座从博弈论的角度介绍了在这种情况下学习的教程概述。虽然博弈论以其在社会科学中作为建模框架的传统角色而闻名,但它作为分布式架构控制的设计方法也越来越受到关注。在博弈论学习中,重点从平衡解决方案的概念转移到决策者如何达到平衡的动态。本演讲将展示博弈论学习的结果样本,从其作为社会系统的“描述性”模型的起源到其作为设计网络控制方法的“规定性”角色。这次演讲还展示了分布式协调的各种例子。
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引用次数: 0
An explicit solution to constrained stabilization via polytopic tubes 多面体管约束稳定问题的显式解
Pub Date : 2013-12-01 DOI: 10.1109/CDC.2013.6761115
F. D. Brunner, M. Lazar, F. Allgöwer
This paper proposes a method to obtain stabilizing controllers for constrained linear systems with assigned sets of initial conditions. The controller synthesis method is based on invariant tubes and works for linear time-invariant systems and for linear systems with multiplicative uncertainties. Given a compact initial condition set, a sequence of sets and an associated sequence of control laws is computed such that the initial condition set is contained in the first set of the sequence and every state in any set of the sequence is controlled to the next set in the sequence while satisfying state and input constraints. Assumptions on the parameterizations of the sets and the control laws are given that guarantee recursive feasibility of the tube synthesis problem and convergence of the closed-loop trajectories. For a particular type of parameterization it is shown that these assumptions are satisfied. Numerical simulations are presented that illustrate the developed synthesis method.
本文提出了一种求解具有给定初始条件的约束线性系统的稳定控制器的方法。该控制器综合方法基于不变管,适用于线性定常系统和具有乘法不确定性的线性系统。给定一个紧凑的初始条件集,计算一个集合序列和相应的控制律序列,使得初始条件集包含在序列的第一个集合中,并且在满足状态约束和输入约束的情况下,序列的任何一个集合中的每个状态都被控制到序列的下一个集合中。为了保证管综合问题的递归可行性和闭环轨迹的收敛性,给出了集的参数化假设和控制律。对于一种特殊类型的参数化,证明了这些假设是满足的。数值模拟说明了所开发的综合方法。
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引用次数: 9
Control theoretic B-spline smoothing with constraints on derivatives 具有导数约束的控制理论b样条平滑
Pub Date : 2013-12-01 DOI: 10.1109/CDC.2013.6760194
H. Fujioka, H. Kano
In this paper, we develop a method for designing optimal smoothing spline with constraints on its derivatives. A linear control system is used as a spline generator. Employing the results developed in the B-spline approach, we show that equality or inequality constraints on spline and its derivative over interval can be expressed as constraint on the control input and initial state of the linear system. Such constraints are useful in trajectory planning problem and in the shape preserving splines as convex splines. Pointwise constraints can easily be incorporated into the control problem. The problem of optimal smoothing splines with such constraints reduce to convex quadratic programming problems. We demonstrate the effectiveness and usefulness by numerical examples of trajectory planning with the constraints on velocity, acceleration and control input.
本文提出了一种带导数约束的最优光滑样条的设计方法。线性控制系统被用作样条发生器。利用b样条方法得到的结果,我们证明了对样条及其区间导数的等式或不等式约束可以表示为对线性系统的控制输入和初始状态的约束。这些约束在轨迹规划问题和保形样条(如凸样条)问题中是有用的。点约束可以很容易地合并到控制问题中。具有这种约束条件的最优光滑样条问题可归结为凸二次规划问题。通过速度、加速度和控制输入约束下轨迹规划的数值算例验证了该方法的有效性和实用性。
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引用次数: 3
An alternative modeling and controller design guaranteeing power stability for DFIG wind systems 一种可替代的建模和控制器设计,保证了DFIG风系统的功率稳定性
Pub Date : 2013-12-01 DOI: 10.1109/CDC.2013.6761074
M. K. Bourdoulis, A. Alexandridis
Doubly-Fed Induction Generators (DFIG) are widely used in wind power systems due to their inherent capability of controlling the produced active and reactive power at desired levels, in a large range of wind speeds. In this paper, a nonconventional modeling approach of a DFIG wind system is introduced that permits to control directly the active and reactive power produced. To this end, first, the complete nonlinear dynamic model that contains as states the stator active and reactive power is extracted in the synchronously rotating dq reference frame. Assuming operation under grid voltage reference frame orientation, it is easily shown that the stator power components can be controlled separately through the d- and q-axis rotor voltage inputs. Hence, unlike the complex conventional cascaded controller designs for DFIGs, in this paper, a simple design of proportional controllers for the stator power components is adopted. For this scheme an advanced, Lyapunov-based, stability analysis is conducted that guarantees stable operation and convergence to the equilibrium. This closed-loop scheme is further completed by an outer PI controller design that tracks the rotor speed to the optimum, providing the active power reference for the maximum power point operation. Finally, the analysis and the performance of the closed-loop DFIG wind system are verified through simulation results.
双馈感应发电机(DFIG)由于其固有的在大风速范围内将产生的有功和无功功率控制在所需水平上的能力而被广泛应用于风力发电系统中。本文介绍了一种可以直接控制双馈风系统的有功和无功功率的非常规建模方法。为此,首先在同步旋转的dq参照系中提取包含定子有功功率和无功功率为状态的完整非线性动力学模型;假设在电网电压参考系方向下运行,很容易看出定子功率元件可以通过d轴和q轴转子电压输入分别进行控制。因此,与传统复杂的DFIGs级联控制器设计不同,本文采用简单的定子功率元件比例控制器设计。对该方案进行了先进的基于lyapunov的稳定性分析,保证了系统稳定运行并收敛到平衡状态。该闭环方案通过外部PI控制器设计进一步完成,该控制器跟踪转子转速至最佳,为最大功率点运行提供有功功率参考。最后,通过仿真结果验证了闭环DFIG风系统的分析和性能。
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引用次数: 3
Multilevel approximate model predictive control and its application to autonomous vehicle active steering 多级近似模型预测控制及其在自动驾驶汽车主动转向中的应用
Pub Date : 2013-12-01 DOI: 10.1109/CDC.2013.6760795
Seung-Hi Lee, C. Chung
An innovative approximate explicit model predictive control strategy is proposed. A multilevel approximation scheme for state space partitioning is applied, which relies on an adaptive domain decomposition strategy using multidimensional tree techniques. Polytopes are generated from such state space partitioning, for which equivalent state feedback gains are computed such that approximate explicit controls can be simply computed. The proposed scheme requires no online optimization and thus computing control using pre-computed control gains is extremely fast. Through an application to autonomous vehicle lateral control, it is shown that the proposed method can achieve a significant improvement of computation time and approximation quality over other approximate predictive control methods.
提出了一种新颖的近似显式模型预测控制策略。采用一种基于多维树技术的自适应域分解策略的多级近似状态空间划分方案。从这样的状态空间划分中生成多极体,计算等效状态反馈增益,从而可以简单地计算近似显式控制。该方案不需要在线优化,因此使用预先计算的控制增益计算控制非常快。通过对自动驾驶汽车横向控制的应用,表明该方法与其他近似预测控制方法相比,在计算时间和逼近质量上有显著提高。
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引用次数: 14
Optimal control for timed event graphs under partial synchronization 部分同步下定时事件图的最优控制
Pub Date : 2013-12-01 DOI: 10.1109/CDC.2013.6761097
Xavier David-Henriet, L. Hardouin, J. Raisch, Bertrand Cottenceau
Timed event graphs (TEGs) are a subclass of timed Petri nets suitable to model decision-free timed discrete event systems. In classical TEGs, exact synchronization of two transitions T1 and T2 is available by requiring that transitions T1 and T2 fire simultaneously. In this paper, a new sort of synchronization, namely partial synchronization, is introduced: transition T2 has to fire when transition T1 fires, but transition T1 is not influenced by transition T2. Under some assumptions, optimal control, already available for classical TEGs, is extended to TEGs under partial synchronization.
时间事件图(teg)是时间Petri网的一个子类,适合于建模无决策的时间离散事件系统。在经典的TEGs中,通过要求T1和T2同时发生,可以实现T1和T2两个过渡的精确同步。本文引入了一种新的同步类型,即部分同步:当转换T1触发时,转换T2必须触发,但转换T1不受转换T2的影响。在一定的假设条件下,将经典teg的最优控制推广到部分同步条件下的teg。
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引用次数: 13
On the optimality of handbrake cornering 手刹转弯的最优性研究
Pub Date : 2013-12-01 DOI: 10.1109/CDC.2013.6760213
D. Tavernini, E. Velenis, R. Lot, M. Massaro
The aim of this paper is to investigate the optimality of the handbrake cornering technique for a Front Wheel Drive vehicle. Nonlinear Optimal Control theory is used to formulate the problem of optimal cornering and to simulate manoeuvres used by race drivers. Handbrake cornering is optimal with an appropriate selection of the minimization cost. The optimal solution is validated against data collected during the execution of the technique by an expert race driver on a loose off-road surface. Further optimization results considering high adhesion road surface are obtained to show that the optimality of the technique is not affected by the road conditions.
本文的目的是研究前轮驱动汽车手刹转弯技术的最优性。本文运用非线性最优控制理论来阐述最优转弯问题,并对赛车手所使用的机动进行仿真。选择适当的最小成本,手刹转弯是最优的。通过一位专业赛车手在松散的越野路面上执行该技术时收集的数据,对最优解进行了验证。考虑高附着力路面的优化结果表明,该技术的最优性不受路面条件的影响。
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引用次数: 5
Building energy models: Quantifying uncertainties due to stochastic processes 建筑能源模型:量化随机过程的不确定性
Pub Date : 2013-12-01 DOI: 10.1109/CDC.2013.6760644
S. Ahuja, S. Peles
Energy efficient retrofits of existing buildings present an immediate and large opportunity to reduce the energy footprint of the built infrastructure, which consumes nearly 40% of primary energy consumption in the U.S. and worldwide. Whole building energy modeling and simulation tools are increasingly being used for detailed performance analysis and for evaluation of multiple retrofit design options. However, the models typically involve several hundreds of input parameters and processes (e.g. weather and occupancy schedules) that are uncertain in early stages of design, and are not fully understood until after retrofit installation and commissioning. We present tools for sensitivity analysis and uncertainty quantification of such building energy models that help designers understand the key drivers to energy consumption and estimate error bounds on predicted energy savings. The focus is on quantifying uncertainties due to stochastic processes, such as weather conditions and schedules of occupants, which are modeled using a Karhunen-Loève expansion.
现有建筑的节能改造为减少已建成基础设施的能源足迹提供了一个直接而巨大的机会,而基础设施消耗了美国和全世界近40%的一次能源消耗。整个建筑能源建模和仿真工具越来越多地被用于详细的性能分析和多种改造设计方案的评估。然而,这些模型通常涉及数百个输入参数和过程(例如天气和占用时间表),这些参数和过程在设计的早期阶段是不确定的,并且在改造安装和调试之后才能完全理解。我们提出了敏感性分析和不确定性量化的工具,这些工具可以帮助设计师了解能源消耗的关键驱动因素,并估计预测节能的误差范围。重点是量化随机过程的不确定性,如天气条件和居住者的时间表,这些都是使用karhunen - lo扩展模型进行建模的。
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引用次数: 6
On multirate control of a fast-rate beam steering system using slow-rate image sensor feedback 基于慢速率图像传感器反馈的快速率光束转向系统的多速率控制
Pub Date : 2013-12-01 DOI: 10.1109/CDC.2013.6761104
J. Tani, Sandipan Mishra, J. Wen
This paper demonstrates the use of a slow-rate image sensor for control of a fast-rate beam steering system. The image sensor is modeled as an integrative intensity sensor, from which fast-rate dynamics may be estimated by appropriate motion-field extraction. These fast-rate state estimates obtained from the slow-rate image sensor are then used for a multirate model-following controller that achieves desired performance through state-matching. This is in contrast to traditional control schemes for fast-rate systems with image sensors, which rely on the slow-rate time-averaged output measurement during the exposure time of the image sensor (i.e., the first spatial moment of the acquired image), discarding the image blur as noise. We demonstrate that the proposed multirate feedback controller, which uses the entire intensity distribution at the image sensor, provides superior tracking performance than a similar multirate controller that uses only the first moment of the image (time-averaged output) as feedback measurements.
本文演示了使用慢速图像传感器来控制快速光束转向系统。将图像传感器建模为一个综合强度传感器,通过适当的运动场提取,可以估计图像传感器的快速动态。从慢速图像传感器获得的这些快速率状态估计然后用于多速率模型跟踪控制器,该控制器通过状态匹配实现所需的性能。这与具有图像传感器的快速率系统的传统控制方案形成对比,后者依赖于图像传感器曝光时间(即获取图像的第一个空间时刻)期间的慢速率时间平均输出测量,将图像模糊作为噪声丢弃。我们证明了所提出的多速率反馈控制器,它使用图像传感器的整个强度分布,比仅使用图像的第一时刻(时间平均输出)作为反馈测量的类似多速率控制器提供更好的跟踪性能。
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引用次数: 4
期刊
52nd IEEE Conference on Decision and Control
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