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Optimal control models in finance : a new computational approach
Authors: ---
ISBN: 1280189940 9786610189946 0387235701 0387235698 1461498554 Year: 2005 Publisher: New York : Springer Science+Business Media,

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The determination of optimal financing and investment strategies (optimal capital structure or optimal mix of funds, optimal portfolio choice, etc.) for corporations and the economy are important for efficient allocation of resources in the economy. Optimal control methods have useful applications to these areas in finance - some optimization problems in finance include optimal control, involving a dynamic system with switching times in the form of bang-bang control. Optimal control models for corporate finance and the economy are presented in this book and the analytical and computational results of these models are also reported. Such computational approaches to the study of optimal corporate financing are not well known in the existing literature. This book develops a new computational method where switching times are considered as variables in the optimal dynamic financial model represented by a second order differential equation. A new computer program named CSTVA (Computer Program for the Switching Time Variables Algorithm), which can compute bang-bang optimal financial models with switching time, is also developed. Optimal financing implications of the model results in the form of optimal switching times for changes in financing policies and the optimal financial policies are analyzed.

Infinite dimensional linear control systems : the time optimal and norm optimal problems
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ISBN: 1280633867 9786610633869 0080457347 0444516328 9780080457345 9780444516329 Year: 2005 Publisher: Amsterdam ; Boston : Elsevier,

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For more than forty years, the equation y'(t) = Ay(t) + u(t) in Banach spaces has been used as model for optimal control processes described by partial differential equations, in particular heat and diffusion processes. Many of the outstanding open problems, however, have remained open until recently, and some have never been solved. This book is a survey of all results know to the author, with emphasis on very recent results (1999 to date). The book is restricted to linear equations and two particular problems (the time optimal problem, the norm optimal problem) which results in a

Variational and extremum principles in macroscopic systems
Authors: ---
ISBN: 1280630132 9786610630134 0080456146 9780080456140 9780080444888 0080444881 Year: 2005 Publisher: Amsterdam ; Boston : Elsevier,

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Recent years have seen a growing trend to derive models of macroscopic phenomena encountered in the fields of engineering, physics, chemistry, ecology, self-organisation theory and econophysics from various variational or extremum principles. Through the link between the integral extremum of a functional and the local extremum of a function (explicit, for example, in the Pontryagin's maximum principle variational and extremum principles are mutually related. Thus it makes sense to consider them within a common context. The main goal of the present book is to collect various mathematica


Book
Techniques of Variational Analysis
Authors: ---
ISBN: 0387282718 Year: 2005 Volume: 20 Publisher: New York, NY : Springer New York : Imprint: Springer,

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Variational arguments are classical techniques whose use can be traced back to the early development of the calculus of variations and further. Rooted in the physical principle of least action they have wide applications in diverse fields. This book provides a concise account of the essential tools of infinite-dimensional first-order variational analysis illustrated by applications in many areas of analysis, optimization and approximation, dynamical systems, mathematical economics and elsewhere. The book is aimed at both graduate students in the field of variational analysis and researchers who use variational techniques, or think they might like to. Large numbers of (guided) exercises are provided that either give useful generalizations of the main text or illustrate significant relationships with other results. Jonathan M. Borwein, FRSC is Canada Research Chair in Collaborative Technology at Dalhousie University. He received his Doctorate from Oxford in 1974 and has been on faculty at Waterloo, Carnegie Mellon and Simon Fraser Universities. He has published extensively in optimization, analysis and computational mathematics and has received various prizes both for research and for exposition. Qiji J. Zhu is a Professor in the Department of Mathematics at Western Michigan University. He received his doctorate at Northeastern University in 1992. He has been a Research Associate at University of Montreal, Simon Fraser University and University of Victoria, Canada.

Fourier Series in Control Theory
Authors: ---
ISBN: 0387274081 0387223835 1441919759 Year: 2005 Publisher: New York, NY : Springer New York : Imprint: Springer,

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Advance Praise for Fourier Series in Control Theory: It has been known since 1967 that a wide variety of sets of complex exponential functions play an important role in the control theory of systems governed by partial differential equations. Up until now, the relevant literature has been scattered among various journal articles, a survey paper by myself in SIAM Review in 1978, and the book, Families of Exponentials, by S. Avdonin and S. Ivanov (1995). Fourier Series in Control Theory successfully gathers all of the available theory of these "nonharmonic Fourier series" in one place, combining published results with new results, to create a unique source of such material for practicing applied mathematicians, engineers, and other scientific professionals. - David Russell, Virginia Polytechnic Institute and State University This monograph will be of interest to experts and researchers, as well as graduate students in such courses as control series and harmonic analysis. Starting with an overview of the problems of observability, controllability, and stabilization of linear systems and their interconnections, the text contains complete proofs along with a short, simplified, presentation of some properties of Bessel functions for the convenience of the reader. Only basic knowledge of functional analysis is required.

Optimal control of distributed systems with conjugation conditions
Authors: --- ---
ISBN: 1280263725 9786610263721 0387242562 1402081081 1441954775 Year: 2005 Publisher: Boston ; Dordrecht : Kluwer Academic Publishers,

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This work develops the methodology according to which classes of discontinuous functions are used in order to investigate a correctness of boundary-value and initial boundary-value problems for the cases with elliptic, parabolic, pseudoparabolic, hyperbolic, and pseudohyperbolic equations and with elasticity theory equation systems that have nonsmooth solutions, including discontinuous solutions. With the basis of this methodology, the monograph shows a continuous dependence of states, namely, of solutions to the enumerated boundary-value and initial boundary-value problems (including discontinuous states) and a dependence of solution traces on distributed controls and controls at sectors of n-dimensional domain boundaries and at n–1-dimensional function-state discontinuity surfaces (i.e., at mean surfaces of thin inclusions in heterogeneous media). Such an aspect provides the existence of optimal controls for the mentioned systems with J.L. Lions’ quadratic cost functionals. Besides this, the authors consider some new systems, for instance, the ones described by the conditionally correct Neumann problems with unique states on convex sets, and such states admit first-order discontinuities. These systems are also described by quartic equations with conjugation conditions, by parabolic equations with constraints that contain first-order time state derivatives in the presence of concentrated heat capacity, and by elasticity theory equations. In a number of cases, when a set of feasible controls coincides with corresponding Hilbert spaces, the authors propose to use the computational algorithms for the finite-element method. Such algorithms have the increased order of the accuracy with which optimal controls are numerically found. Audience This book is intended for specialists in applied mathematics, scientific researchers, engineers, and postgraduate students interested in optimal control of heterogeneous distributed systems with states described by boundary-value and initial boundary-value problems.

Generalized Convexity, Generalized Monotonicity and Applications
Authors: --- --- ---
ISBN: 128014839X 9780387236392 9786610148394 0387236392 0387236384 1441936475 9780387236391 9780387236384 Year: 2005 Volume: 77 Publisher: Boston, MA Springer Science + Business Media, Inc.

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This volume contains a collection of refereed articles on generalized convexity and generalized monotonicity. The first part of the book contains invited papers by leading experts (J.M. Borwein, R.E. Burkard, B.S. Mordukhovich and H. Tuy) with applications of (generalized) convexity to such diverse fields as algebraic dynamics of the Gamma function values, discrete optimization, Lipschitzian stability of parametric constraint systems, and monotonicity of functions. The second part contains contributions presenting the latest developments in generalized convexity and generalized monotonicity: its connections with discrete and with continuous optimization, multiobjective optimization, fractional programming, nonsmooth Aanalysis, variational inequalities, and its applications to concrete problems such as finding equilibrium prices in mathematical economics, or hydrothermal scheduling. Audience This volume is suitable for faculty, graduate students, and researchers in mathematical programming, operations research, convex analysis, nonsmooth analysis, game theory and mathematical economics.

Variational analysis and applications
Authors: ---
ISBN: 1280804262 9786610804269 0387242767 0387242090 Year: 2005 Volume: 79 Publisher: New York ; [London] : Springer,

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This book discusses a new discipline, variational analysis, which contains the calculus of variations, differential calculus, optimization, and variational inequalities. To such classic branches of mathematics, variational analysis provides a uniform theoretical base that represents a powerful tool for the applications. The contributors are among the best experts in the field. Audience The target audience of this book includes scholars in mathematics (especially those in mathematical analysis), mathematical physics and applied mathematics, calculus of variations, optimization and operations research, industrial mathematics, structural engineering, and statistics and economics.


Book
Variation et optimisation de formes : Une analyse géométrique
Authors: ---
ISSN: 1154483X ISBN: 3540376895 Year: 2005 Volume: 48 Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer,

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Ce livre est une initiation aux approches modernes de l’optimisation mathématique de formes. Il s’appuie sur les seules connaissances de première année de Master de mathématiques, mais permet déjà d’aborder les questions ouvertes dans ce domaine en pleine effervescence. On y développe la méthodologie ainsi que les outils d’analyse mathématique et de géométrie nécessaires à l’étude des variations de domaines. On y trouve une étude systématique des questions géométriques associées à l’opérateur de Laplace, de la capacité classique, de la dérivation par rapport à une forme, ainsi qu’un FAQ sur les topologies usuelles sur les domaines et sur les propriétés géométriques des formes optimales avec ce qui se passe quand elles n’existent pas, le tout avec une importante bibliographie.

Singular sets of minimizers for the Mumford-Shah functional
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ISBN: 1280607971 9786610607976 3764373024 376437182X Year: 2005 Publisher: Basel ; Boston : Birkhauser,

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Award-winning monograph of the Ferran Sunyer i Balaguer Prize 2004. This book studies regularity properties of Mumford-Shah minimizers. The Mumford-Shah functional was introduced in the 1980s as a tool for automatic image segmentation, but its study gave rise to many interesting questions of analysis and geometric measure theory. The main object under scrutiny is a free boundary K where the minimizer may have jumps. The book presents an extensive description of the known regularity properties of the singular sets K, and the techniques to get them. Some time is spent on the C^1 regularity theorem (with an essentially unpublished proof in dimension 2), but a good part of the book is devoted to applications of A. Bonnet's monotonicity and blow-up techniques. In particular, global minimizers in the plane are studied in full detail. The book is largely self-contained and should be accessible to graduate students in analysis.The core of the book is composed of regularity results that were proved in the last ten years and which are presented in a more detailed and unified way.

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