1,721,034 research outputs found
Stochastic linear regulator problem in optimal control theory: Stochastic optimal linear regulator problem
No full textStochastic optimization problems are the study of dynamical systems subject to random perturbations which can be controlled in order to optimize some performance criterion. The research on control theory has developed considerably over last few years, inspired in particular by stochastic optimization problems emerging from mathematical nance. Problems involving linear dynamics and quadratic performance criteria are generally called linear regulator problems.The usual framework of control is the one given in probably the most studied control problem, the linear quadratic optimal control problem or the linear regulator problem, which deals with minimizing a performance index of a system governed by a set of dierential equations.The object of linear regulator control problems is to control the position of a certain process and at the same time, the force with which this process is being regulated, by punishing quadratic deviations from some targets of the process and the rate of regulation, respectively
Classical solutions of linear regulator for degenerate diffusions
Get PDFWe study a stochastic control problem for linear degenerate systems. We establish the existence of a classical solution of the degenerate Bellman equation by the technique of viscosity solutions, and the optimal policy is shown to exist from the optimality conditions
On the smoothness of solutions of linear-quadratic regulator for degenerate diffusions
Get PDFThe paper studies the smoothness of solutions of the degenerate Hamilton–Jacobi–Bellman (HJB) equation associated with a linear-quadratic regulator control problem. We establish the existence of a classical solution of the degenerate HJB equation associated with this problem by the technique of viscosity solutions, and hence derive an optimal control from the optimality conditions in the HJB equation
Viscosity solution of linear regulator quadratic for degenerate diffusions
Get PDFThe paper studied a linear regulator quadratic control problem for degenerate Hamilton-Jacobi-Bellman (HJB) equation.We showed the existence of viscosity properties and established a unique viscosity solution of the degenerate HJB equation associated with this problem by the technique of viscosity solutions
Stochastic frontier model with distributional assumptions for rice production technical efficiency
Get PDFEfficiency in agricultural production is indicative of the efficiency level of farm
households in their farming activities. Farmers in developing countries do not make use of all the potential technological resources, thus making inefficient decisions in their agricultural activities. Herein, technical efficiency in relation with the production of three types of rice crop (Boro, Aus and Aman) was evaluated, with some determinants of technical efficiency identified, in Bangladesh.It was attempted, throughout this study, to access the status of technical efficiency in rice production in Bangladesh for panel data while using the Stochastic Frontier Production Model with either of truncated normal or half-normal distributional assumptions.Both time-variant and time-invariant inefficiency effects models were estimated, one at a time.Collected data from agricultural sector
pertaining to three main rice crops in Bangladesh for the period of 1980 to 2008 were
made used of throughout the study.The results revealed that technical efficiency
gradually increased over the reference period with the half normal distribution being
found preferable to the truncated normal distribution as regards the technical inefficiency effects.The value of technical efficiency was found high for Boro rice while low for Aus in comparison with Aman rice in Bangladesh for both distributions in either
of time-variant or invariant ones.It was observed that the most efficient rice production system has occurred for the case of
Boro with a technical efficiency of 0.98. Yearwise mean technical efficiency increased during the reference time periods
Stochastic frontier model for cost and profit efficiency of Islamic online banks
Get PDFAre Islamic online banks stable and efficient? This paper addresses this question.Parametric technique, Stochastic Frontier Analysis is used to evaluate and compare the cost and profit efficiency of the Islamic banks in Bangladesh over the period of 2001- 2010.The specification of functional forms of Translog stochastic cost and profit frontier models are developed.Translog stochastic cost and profit frontier models were found preferable than Cobb-Douglas production function.In case of cost model, other earning
assets are found negative but significant and price of labor is observed positive and significant.On the other hand, price of fund with the value of (-0.421) is found significant and negative for profit model, suggest that bank can control more personnel expenses than depositor profit expenses. The year-wise average cost inefficiency and profit efficiency were observed 43.9% and 82% respectively.IBBL was recorded as the most profit efficient bank and ICB limited bank was observed as the most cost inefficient bank.IBBL, Al-Arafah and EXIM banks were more stable in terms of cost efficient than other Islamic banks
Optimal production cycle time for inventory model with linear time dependent exponential distributed deterioration
No full textWe study an inventory system with linear time varying exponential distributed deterioration in which production and demand rates are constant.The mathematical model is developed to obtain the total cost per unit time of an inventory system.The inventory controlling systems in terms of first order differential equations are solved numerically.The optimal cycle time is derived and the results are applied to numerical problems.The effect of changes in the model parameters on decision variables and the average total cost of an inventory system are studied through numerical examples
Optimal control of a continuous review production inventory system with Gamma distributed deterioration
Get PDFThis paper develops the production inventory models with and without Gamma distributed deteriorating items.The production system with inventory level dependent demand is considered here and the Pontryagin maximum principle is used to determine the optimal control, which is the production rate that minimizes the optimal inventory control model, while satisfying the system dynamics.The necessary optimality conditions associated with and without Gamma distributed deteriorating items are
derived from the Hamiltonian functions.The optimal inventory levels and the optimal production rates are derived and numerical simulations are used to illustrate the theoretical results
Optimal fuzzy control with application to discounted cost production inventory planning problem
Get PDFA fuzzy optimal control model was formulated
minimizing the objective function with discounted cost for the length of infinite horizon.We developed an equation of optimality in case of fuzzy optimal control problem.We revisited a special fuzzy control model with quadratic objective functional form for linear Liu’s fuzzy control system.As an application, we investigated the infinite horizon production
inventory planning problem with nonzero discount rate.We employed fuzzy optimal control to model inventory production planning problem with fuzzy variables and solved
Relationship between risk and expected returns: Evidence from the Dhaka Stock Exchange
Get PDFIn this study we examine a risk-return association within the Capital Asset Pricing Model (CAPM) structure in Dhaka Stock Exchange (DSE) market.The study also aims at exploring whether the CAPM is applicable in DSE. For this study we have been used monthly stock returns from 80 non-financial companies for the period of January 2005 to December 2009.In order to examine the risk-return trade off in a sample of individual stocks, we apply the usual two stages regression.
From the CAPM empirical analysis for individual stocks, it is observed that intercept term is significantly different from zero and slope is not equal to the excess return on the market portfolio.But, the CAPM's prediction for the intercept is that it should equal zero and the slope should equal the excess returns on the market portfolio.So, the results of the study refute the above hypothesis and offer evidence against the CAPM. Thus, it can be concluded that CAPM is not a suitable indicator of asset prices in Bangladesh over the chosen sample period.The securities market line shows linearity which means that the CAPM linear relationship is enough to express the returns generating process.Moreover, the investors are rewarded for market risk but not for unique risk because unique risk shows insignificancy during the period
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