Pension Plan Member’s Investment Strategies with Transaction Cost and Couple Risky Assets Modelled by the O-U Process

This paper studies the optimal investment strategies for a plan member (PM) in a defined contribution (DC) pension scheme with transaction cost, taxes on invested funds and couple risky assets (stocks) under the Ornstein-Uhlenbeck (O-U) process. The PM’s portfolio is assumed to consist of a risk-free asset and two risky assets where the two risky assets are driven by the O-U process. The Legendre transformation and dual theory is use to transform the resultant optimal control problem which is a nonlinear partial differential equation (PDE) into linear PDE and the resultant linear PDE is then solved for the explicit solutions of the optimal investment strategies for PM exhibiting constant absolute risk aversion (CARA) using change of variable technique. Furthermore, theoretical analysis is used to study the influences of some sensitive parameters on the optimal investment strategies with observations that the optimal investment strategies for the two risky assets increase with increase in the dividend and decreases with increase in tax on the invested funds, risk averse coefficient, initial fund size and the transaction cost.

Effect of Supplementary Premium on the Optimal Portfolio Policy in a Defined Contribution Pension Scheme with Refund of Premium Clauses

In this paper, we studied the effect of supplementary premium on the optimal portfolio policy in a defined contribution (DC) pension scheme with refund of premium clauses. This refund clause allows death members’ next of kin to withdraw their relative’s accumulated wealth during the accumulation period. The supplementary premium is to help sustain the scheme and is assumed to be stochastic. We considered cases when the remaining wealth is equally distributed and when it is not equally distributed among the remaining members. Next, we considered investments in cash and equity to help increase the remaining accumulated funds to meet up with the retirement needs of the remaining members and composed the problem as a continuous time mean-variance stochastic optimal control problem using the actuarial symbol and established an optimization problem from the extended Hamilton Jacobi Bellman equations. The optimal portfolio policy, the corresponding optimal fund size for the two assets and also the efficient frontier of the pension members for the two cases was obtained. Furthermore, the numerical simulations of the optimal portfolio policies with time were presented and the effect of the supplementary premium on the optimal portfolio policy was discussed and observed that the supplementary premium decreases the optimal portfolio policy of the risky asset (equity). Secondly we observed a disparity between the optimal policies for the two cases.

Numerical Simulations on Feasibility of Stochastic Model Predictive Control for Linear Discrete-Time Systems with Random Dither Quantization

The random dither quantization method enables us to achieve much better performance than the simple uniform quantization method for the design of quantized control systems. Motivated by this fact, the stochastic model predictive control method in which a performance index is minimized subject to probabilistic constraints imposed on the state variables of systems has been proposed for linear feedback control systems with random dither quantization. In other words, a method for solving optimal control problems subject to probabilistic state constraints for linear discrete-time control systems with random dither quantization has been already established. To our best knowledge, however, the feasibility of such a kind of optimal control problems has not yet been studied. Our objective in this paper is to investigate the feasibility of stochastic model predictive control problems for linear discrete-time control systems with random dither quantization. To this end, we provide the results of numerical simulations that verify the feasibility of stochastic model predictive control problems for linear discrete-time control systems with random dither quantization.

Stochastic Model Predictive Control for Linear Discrete-Time Systems with Random Dither Quantization

Recently, feedback control systems using random dither quantizers have been proposed for linear discrete-time systems. However, the constraints imposed on state and control variables have not yet been taken into account for the design of feedback control systems with random dither quantization. Model predictive control is a kind of optimal feedback control in which control performance over a finite future is optimized with a performance index that has a moving initial and terminal time. An important advantage of model predictive control is its ability to handle constraints imposed on state and control variables. Based on the model predictive control approach, the objective of this paper is to present a control method that satisfies probabilistic state constraints for linear discrete-time feedback control systems with random dither quantization. In other words, this paper provides a method for solving the optimal control problems subject to probabilistic state constraints for linear discrete-time feedback control systems with random dither quantization.

Solutions to Probabilistic Constrained Optimal Control Problems Using Concentration Inequalities

Recently, optimal control problems subject to probabilistic constraints have attracted much attention in many research field. Although probabilistic constraints are generally intractable in optimization problems, several methods haven been proposed to deal with probabilistic constraints. In most methods, probabilistic constraints are transformed to deterministic constraints that are tractable in optimization problems. This paper examines a method for transforming probabilistic constraints into deterministic constraints for a class of probabilistic constrained optimal control problems.

Study on Optimal Control Strategy of PM2.5 in Wuhan, China

In this paper, we analyzed the correlation relationship among PM2.5 from other five Air Quality Indices (AQIs) based on the grey relational degree, and built a multivariate nonlinear regression equation model of PM2.5 and the five monitoring indexes. For the optimal control problem of PM2.5, we took the partial large Cauchy distribution of membership equation as satisfaction function. We established a nonlinear programming model with the goal of maximum performance to price ratio. And the optimal control scheme is given.

Developing New Algorithm and Its Application on Optimal Control of Pumps in Water Distribution Network

In recent years, new techniques for solving complex problems in engineering are proposed. One of these techniques is JPSO algorithm. With innovative changes in the nature of the jump algorithm JPSO, it is possible to construct a graph-based solution with a new algorithm called G-JPSO. In this paper, a new algorithm to solve the optimal control problem Fletcher-Powell and optimal control of pumps in water distribution network was evaluated. Optimal control of pumps comprise of optimum timetable operation (status on and off) for each of the pumps at the desired time interval. Maximum number of status on and off for each pumps imposed to the objective function as another constraint. To determine the optimal operation of pumps, a model-based optimization-simulation algorithm was developed based on G-JPSO and JPSO algorithms. The proposed algorithm results were compared well with the ant colony algorithm, genetic and JPSO results. This shows the robustness of proposed algorithm in finding near optimum solutions with reasonable computational cost.

Optimal Control of Volterra Integro-Differential Systems Based On Legendre Wavelets and Collocation Method

In this paper, the numerical solution of optimal control problem (OCP) for systems governed by Volterra integro-differential (VID) equation is considered. The method is developed by means of the Legendre wavelet approximation and collocation method. The properties of Legendre wavelet together with Gaussian integration method are utilized to reduce the problem to the solution of nonlinear programming one. Some numerical examples are given to confirm the accuracy and ease of implementation of the method.

An Inverse Optimal Control Approach for the Nonlinear System Design Using ANN

The design of a feedback controller, so as to minimize a given performance criterion, for a general non-linear dynamical system is difficult; if not impossible. But for a large class of non-linear dynamical systems, the open loop control that minimizes a performance criterion can be obtained using calculus of variations and Pontryagin’s minimum principle. In this paper, the open loop optimal trajectories, that minimizes a given performance measure, is used to train the neural network whose inputs are state variables of non-linear dynamical systems and the open loop optimal control as the desired output. This trained neural network is used as the feedback controller. In other words, attempts are made here to solve the “inverse optimal control problem” by using the state and control trajectories that are optimal in an open loop sense.

Optimal Control Problem, Quasi-Assignment Problem and Genetic Algorithm

In this paper we apply one of approaches in category of heuristic methods as Genetic Algorithms for obtaining approximate solution of optimal control problems. The firs we convert optimal control problem to a quasi Assignment Problem by defining some usual characters as defined in Genetic algorithm applications. Then we obtain approximate optimal control function as an piecewise constant function. Finally the numerical examples are given.

Planning Rigid Body Motions and Optimal Control Problem on Lie Group SO(2, 1)

In this paper smooth trajectories are computed in the Lie group SO(2, 1) as a motion planning problem by assigning a Frenet frame to the rigid body system to optimize the cost function of the elastic energy which is spent to track a timelike curve in Minkowski space. A method is proposed to solve a motion planning problem that minimizes the integral of the Lorentz inner product of Darboux vector of a timelike curve. This method uses the coordinate free Maximum Principle of Optimal control and results in the theory of integrable Hamiltonian systems. The presence of several conversed quantities inherent in these Hamiltonian systems aids in the explicit computation of the rigid body motions.

Simulation of the Performance of Novel Nonlinear Optimal Control Technique on Two Cart-inverted Pendulum System

The two cart inverted pendulum system is a good bench mark for testing the performance of system dynamics and control engineering principles. Devasia introduced this system to study the asymptotic tracking problem for nonlinear systems. In this paper the problem of asymptotic tracking of the two-cart with an inverted-pendulum system to a sinusoidal reference inputs via introducing a novel method for solving finite-horizon nonlinear optimal control problems is presented. In this method, an iterative method applied to state dependent Riccati equation (SDRE) to obtain a reliable algorithm. The superiority of this technique has been shown by simulation and comparison with the nonlinear approach.

Hybrid Control of Networked Multi-Vehicle System Considering Limitation of Communication Range

In this research, we study a control method of a multivehicle system while considering the limitation of communication range for each vehicles. When we control networked vehicles with limitation of communication range, it is important to control the communication network structure of a multi-vehicle system in order to keep the network-s connectivity. From this, we especially aim to control the network structure to the target structure. We formulate the networked multi-vehicle system with some disturbance and the communication constraints as a hybrid dynamical system, and then we study the optimal control problems of the system. It is shown that the system converge to the objective network structure in finite time when the system is controlled by the receding horizon method. Additionally, the optimal control probrems are convertible into the mixed integer problems and these problems are solvable by some branch and bound algorithm.

Controllability of Efficiency of Antiviral Therapy in Hepatitis B Virus Infections

An optimal control problem for a mathematical model of efficiency of antiviral therapy in hepatitis B virus infections is considered. The aim of the study is to control the new viral production, block the new infection cells and maintain the number of uninfected cells in the given range. The optimal controls represent the efficiency of antiviral therapy in inhibiting viral production and preventing new infections. Defining the cost functional, the optimal control problem is converted into the constrained optimization problem and the first order optimality system is derived. For the numerical simulation, we propose the steepest descent algorithm based on the adjoint variable method. A computer program in MATLAB is developed for the numerical simulations.

An Optimization of Orbital Transfer for Spacecrafts with Finite-thrust Based on Legendre Pseudospectral Method

This paper presents the use of Legendre pseudospectral method for the optimization of finite-thrust orbital transfer for spacecrafts. In order to get an accurate solution, the System-s dynamics equations were normalized through a dimensionless method. The Legendre pseudospectral method is based on interpolating functions on Legendre-Gauss-Lobatto (LGL) quadrature nodes. This is used to transform the optimal control problem into a constrained parameter optimization problem. The developed novel optimization algorithm can be used to solve similar optimization problems of spacecraft finite-thrust orbital transfer. The results of a numerical simulation verified the validity of the proposed optimization method. The simulation results reveal that pseudospectral optimization method is a promising method for real-time trajectory optimization and provides good accuracy and fast convergence.

Optimal Control of a Linear Distributed Parameter System via Shifted Legendre Polynomials

The optimal control problem of a linear distributed parameter system is studied via shifted Legendre polynomials (SLPs) in this paper. The partial differential equation, representing the linear distributed parameter system, is decomposed into an n - set of ordinary differential equations, the optimal control problem is transformed into a two-point boundary value problem, and the twopoint boundary value problem is reduced to an initial value problem by using SLPs. A recursive algorithm for evaluating optimal control input and output trajectory is developed. The proposed algorithm is computationally simple. An illustrative example is given to show the simplicity of the proposed approach.

An Optimal Control Problem for Rigid Body Motions on Lie Group SO(2, 1)

In this paper smooth trajectories are computed in the Lie group SO(2, 1) as a motion planning problem by assigning a Frenet frame to the rigid body system to optimize the cost function of the elastic energy which is spent to track a timelike curve in Minkowski space. A method is proposed to solve a motion planning problem that minimize the integral of the square norm of Darboux vector of a timelike curve. This method uses the coordinate free Maximum Principle of Optimal control and results in the theory of integrable Hamiltonian systems. The presence of several conversed quantities inherent in these Hamiltonian systems aids in the explicit computation of the rigid body motions.

Discrete Time Optimal Solution for the Connection Admission Control Problem

The Connection Admission Control (CAC) problem is formulated in this paper as a discrete time optimal control problem. The control variables account for the acceptance/ rejection of new connections and forced dropping of in-progress connections. These variables are constrained to meet suitable conditions which account for the QoS requirements (Link Availability, Blocking Probability, Dropping Probability). The performance index evaluates the total throughput. At each discrete time, the problem is solved as an integer-valued linear programming one. The proposed procedure was successfully tested against suitably simulated data.

A Direct Probabilistic Optimization Method for Constrained Optimal Control Problem

A new stochastic algorithm called Probabilistic Global Search Johor (PGSJ) has recently been established for global optimization of nonconvex real valued problems on finite dimensional Euclidean space. In this paper we present convergence guarantee for this algorithm in probabilistic sense without imposing any more condition. Then, we jointly utilize this algorithm along with control parameterization technique for the solution of constrained optimal control problem. The numerical simulations are also included to illustrate the efficiency and effectiveness of the PGSJ algorithm in the solution of control problems.