A stochastic maximum principle for systems with jumps, with applications to finance

We consider a stochastic control problem with linear dynamics with jumps, convex cost criterion, and convex state constraint, in which the control enters the drift, the diffusion, and the jump coefficients. We allow these coefficients to be random, and do not impose any L^p-bounds on the control.

We obtain a stochastic maximum principle for this model that provides both necessary and sufficient conditions of optimality. This is the first version of the stochastic maximum principle that covers the consumption–investment problem in which there are jumps in the price system.     

Melting and crystallization behaviour of elastoplastic semicrystalline copolymers: poly(ether ester)

The melting and crystallization behaviour of an elastoplastic semi-crystalline poly(etherester) has been studied by differential scanning calorimetry. The shape of the melting endotherm is strongly dependent on heating rate and annealing time and results from the sum of simultaneous melting and crystallization phenomena. Samples prepared by different techniques, i.e. by solvent evaporation or by melt extrusion, behave very differently owing to specific crystal morphologies. By applying the Hoffman-Weeks plot, the equilibrium melting temperature has been extrapolated. The Avrami treatment allows the calculation of the index n and of the rate constant K from the isothermal kinetic data.     

The effect of additives on the thermal stability of poly(vinyl chloride)

The effect of a range of organic additives on the thermal stability of poly(vinyl chloride), both with and without a chloroparaffin extender, was studied using a number of experimental techniques. Of the additives used the best overall balance was provided by pentaerythritol, which increased stability when the extender was present and had no effect when it was absent. The congo red test emerged as the most suitable technique, being consistent and inexpensive and able to screen several additives simultaneously. Isothermal differential thermal analysis correlated with the congo red test but required more expensive equipment, was time-consuming and demanded good mixing of the poly(vinyl chloride) compound to give reproducible results. Thermogravimetry was not sufficiently sensitive and the heat stability test was the least useful of all.     

Inversion of confluent Vandermonde matrices

This paper is concerned with the inversion of confluent Vandermonde matrices. A novel and simple recursive algorithm for inverting confluent Vandermonde matrices is presented. The algorithm is suitable for classroom use in both numerical as well as symbolic computation. Examples are included to illustrate the proposed algorithm.     

Generation of adaptive gait patterns for quadruped robot with CPG network including motor dynamic model

This paper describes the generation of adaptive gait patterns using new Central Pattern Generators (CPGs) including motor dynamic models for a quadruped robot under various environments. The CPGs act as the flexible oscillators of the joints and adjust joint angles to required values. The CPGs are interconnected with each other and sets of their coupling parameters are adjusted by a genetic algorithm so that the quadruped robot can realize stable and adequate gait patterns. Generation of gait patterns results in the formation of the CPG networks suitable for the formation of not only a straight walking pattern but also of rotating gait patterns. Experimental results demonstrate that the proposed CPG networks are effective for the automatic adjustment of the adaptive gait patterns for the tested quadruped robot under various environments. Furthermore, the target tracking control based on image processing is achieved by combining the general gait patterns. © 2006 Wiley Periodicals, Inc. Electr Eng Jpn, 155(1): 35–43, 2006; Published online in Wiley InterScience ( www.interscience.wiley.com ). DOI 10.1002/eej.20225     

On finding optimal and near-optimal lineal spanning trees

The search for good lineal, or depth-first, spanning trees is an important aspect in the implementation of a wide assortment of graph algorithms. We consider the complexity of findingoptimal lineal spanning trees under various notions of optimality. In particular, we show that several natural problems, such as constructing a shortest or a tallest lineal tree, are NP-hard. We also address the issue of polynomial-time, near-optimization strategies for these difficult problems, showing that efficient absolute approximation algorithms cannot exist unlessP = NP.This author's research was supported in part by the Sandia University Research Program and by the National Science Foundation under Grant M IP-8603879.This author's research was supported in part by the National Science Foundation under Grants ECS-8403859 and MIP-8603879.     

On the design of multiple key hashing files for concurrent orthogonal range retrieval between two disks

This paper concerns the following problem: given a set of multi-attribute records, a fixed number of buckets and a two-disk system, arrange the records into the buckets and then store the buckets between the disks in such a way that, over all possible orthogonal range queries (ORQs), the disk access concurrency is maximized. We shall adopt the multiple key hashing (MKH) method for arranging records into buckets and use the disk modulo (DM) allocation method for storing buckets onto disks. Since the DM allocation method has been shown to be superior to any other allocation methods for allocating an MKH file onto a two-disk system for answering ORQs, the real issue is knowing how to determine an optimal way for organizing the records into buckets based upon the MKH concept.

A performance formula that can be used to evaluate the average response time, over all possible ORQs, of an MKH file in a two-disk system using the DM allocation method is first presented. Based upon this formula, it is shown that our design problem is related to a notoriously difficult problem, namely the Prime Number Problem. Then a performance lower bound and an efficient algorithm for designing optimal MKH files in certain cases are presented. It is pointed out that in some cases the optimal MKH file for ORQs in a two-disk system using the DM allocation method is identical to the optimal MKH file for ORQs in a single-disk system and the optimal average response time in a two-disk system is slightly greater than one half of that in a single-disk system.     

Application of the blind source separation method to feature extraction of machine sound signals

As the result of vibration emission in air, a machine sound signal carries important information about the working condition of machinery. But in practice, the sound signal is typically received with a very low signal-to-noise ratio. To obtain features of the original sound signal, uncorrelated sound signals must be removed and the wavelet coefficients related to fault condition must be retrieved. In this paper, the blind source separation technique is used to recover the wavelet coefficients of a monitored source from complex observed signals. Since in the proposed blind source separation (BSS) algorithms it is generally assumed that the number of sources is known, the Gerschgorin disk estimator method is introduced to determine the number of sound sources before applying the BSS method. This method can estimate the number of sound sources under non-Gaussian and non-white noise conditions. Then, the partial singular value analysis method is used to select these significant observations for BSS analysis. This method ensures that signals are separated with the smallest distortion. Afterwards, the time-frequency separation algorithm, converted to a suitable BSS algorithm for the separation of a non-stationary signal, is introduced. The transfer channel between observations and sources and the wavelet coefficients of the source signals can be blindly identified via this algorithm. The reconstructed wavelet coefficients can be used for diagnosis. Finally, the separation results obtained from the observed signals recorded in a semi-anechoic chamber demonstrate the effectiveness of the presented methods .     

Transformations in machining. Part 1. enhancement of wavelet transformation neural network (WT-NN) combination with a preprocessor

Properly selected transformation methods obtain the most significant characteristics of metal cutting data efficiently and simplify the classification. Wavelet Transformation (WT) and Neural Networks (NN) combination was used to classify the experimental cutting force data of milling operations previously. Preprocessing (PreP) of the approximation coefficients of the WT is proposed just before the classification by using the Adaptive Resonance Theory (ART2) type NNs. Genetic Algorithm (GA) was used to estimate the weights of each coefficient of the PreP. The WT-PreP-NN (ART2) combination worked at lower vigilances by creating only a few meaningful categories without any errors. The WT-NN (ART2) combination could obtain the same error rate only if very high vigilances are used and many categories are allowed.