• 한국지능시스템학회논문지
• /
• 제23권4호
• /
• pp.348-353
• /
• 2013

최근들어, 확률론적 최적제어를 포함한 제어이론과 각종 기계학습 기반 인공지능 방법론은 금융공학 분야의 주요 도구로 자리를 잡아 가고 있다. 본 논문에서는 평균회귀 현상을 보이는 시장을 위한 페어 트레이딩 전략 분야와 추세 추종형 트레이딩 전략 분야에 대해 확률론적 최적제어 이론을 활용한 최신 논문 몇 편을 간단히 살펴보고, 보다 융통성 있고 접근성이 좋은 도구를 확보하기 위하여 확률론적 최적제어이론과 기계학습 기법을 동시에 응용하는 전략을 고려한다. 예시를 위하여 실시한 시뮬레이션은 본 논문에서 고려한 전략이 실제 금융시장 데이터를 대상으로 적용될 때 고무적인 결과를 제공할 수 있음을 보여준다.

• Kyungpook Mathematical Journal
• /
• 제51권4호
• /
• pp.353-364
• /
• 2011

Duality in the optimal harvesting for a nonlinear age-spatial structured population dynamic model is studied in the framework of optimal control problem. In this paper the duality theory that displays the conjugacy of the primal problem is established and an application is given. Duality theory plays an important role in both optimization theory and methodology and the results may be applied to a realistic biological system on the point of optimal harvesting.

• Journal of applied mathematics & informatics
• /
• 제30권5_6호
• /
• pp.719-728
• /
• 2012

In this paper, we develop a numerical method to solving an optimal control problem, which is governed by a parabolic partial differential equations(PDEs). Our approach is to approximate the PDE problem to initial value problem(IVP) in $\mathbb{R}$. Then, the homogeneous part of IVP is solved using semigroup theory. In the next step, the convergence of this approach is verified by properties of one-parameter semigroup theory. In the rest of paper, the original optimal control problem is solved by utilizing the solution of homogeneous part. Finally one numerical example is given.

• 대한전기학회:학술대회논문집
• /
• 대한전기학회 1995년도 하계학술대회 논문집 B
• /
• pp.649-651
• /
• 1995

This paper presents the methode of optimal control theory and observer for time invariant system via Single Ten Walsh Series. The algorithm of the optimal control theory is simulated by MATLAB.

• 한국경영과학회지
• /
• 제9권2호
• /
• pp.28-33
• /
• 1984

In this paper some procedures are given whereby an analytic solution may be found for the Riccati differential equation and algebraic Riccati equation in optimal control theory. Some iterative techniques for solving these equations are presented. Rate of convergence and initialization of the iterative processes are discussed.

• Journal of the Korean Society for Industrial and Applied Mathematics
• /
• 제18권1호
• /
• pp.1-15
• /
• 2014

We have investigated optimal control strategies for prevention of ecstasy use. Ecstasy use has continued at raves and nightclubs in recent years and the reduction of ecstasy use has become one of the important issues in society. We apply optimal control theory to a model of the peer-driven dynamics of ecstasy use. Our goal is to minimize the ecstasy use class and the intervention cost. Optimal control is characterized in terms of the solution of optimality system, which is the state system coupled with the adjoint system and the optimality equations. The numerical simulations show the optimal prevention policies of ecstasy use in various scenarios.

• 제어로봇시스템학회:학술대회논문집
• /
• 제어로봇시스템학회 2003년도 ICCAS
• /
• pp.2566-2569
• /
• 2003

An alternative optimal control law formulation is introduced and compared with two different control law, a conventional linear quadratic regulator and the control law based on game theory. This formulation eliminates the undesired modes of the system by the projection of a controller onto the subspace orthogonal to that of the bad modes. In conventional LQR control law, the control performance can be improved only by using proper weighting matrices in performance index, normally, with high cost. The control law formulation by game theory may provide various ways to obtain the desired performance. The control law modified by the elimination of bad modes provides efficient ways to get rid of an undesired performance since it eliminates the exact modes which cause the bad control performance.

• Journal of applied mathematics & informatics
• /
• 제25권1_2호
• /
• pp.231-244
• /
• 2007

In this paper, we use measure theory for considering asymptotically stable of an autonomous system [1] of first order nonlinear ordinary differential equations(ODE's). First, we define a nonlinear infinite-horizon optimal control problem related to the ODE. Then, by a suitable change of variable, we transform the problem to a finite-horizon nonlinear optimal control problem. Then, the problem is modified into one consisting of the minimization of a linear functional over a set of positive Radon measures. The optimal measure is approximated by a finite combination of atomic measures and the problem converted to a finite-dimensional linear programming problem. The solution to this linear programming problem is used to find a piecewise-constant control, and by using the approximated control signals, we obtain the approximate trajectories and the error functional related to it. Finally the approximated trajectories and error functional is used to for considering asymptotically stable of the original problem.

• 대한전기학회:학술대회논문집
• /
• 대한전기학회 2004년도 학술대회 논문집 정보 및 제어부문
• /
• pp.246-248
• /
• 2004

In this paper, we propose an optimal power control algorithm for CDMA cellular systems. The proposed power control algorithm is based on linear quadratic control theory. As the cellular system includes the changeability of system environment or various noise, Kalman filter is adapted to estimate the time-varying interference. This is the well-known linear quadratic Gaussian (LQG) theory. Through this algorithm, power transmission of each mobile with optimal one is more realistic. Simulation results show a fast convergence rate to optimal power value, and a rapid decreasing outage probability.

• 대한전기학회:학술대회논문집
• /
• 대한전기학회 1987년도 정기총회 및 창립40주년기념 학술대회 학회본부
• /
• pp.421-424
• /
• 1987

Recently, the problem associated with the achievement of desired trajectories for non-linear robotic manipulatory systems are researched. The control system which is designed for this robot manipulator, poses a number of severe problem. The methods proposed to deal with the problem fall loosely into three main classes : "direct" "adaptive", "anthropomorphic". Besides there is an approach which is described based upon the application of optimal control theory. In this paper, using the optimal theory, we choose error-coordinate, between the desired trajectories and the practical as the state values, and determine the control law U which minimize a corresponding performance criterion. Let's consider the robotic arm proposed by Freund and set up the deviations of it's trajectory as a measure of performance. To find the optimal control law $U^*$ and the next state value which need to obtain $U^*$ here, we should introduced the conjugate gradient algorithm and the Runge Kutta method.