Multiscale Singularly Perturbed Control Systems. We propose to develop a unified averaging technique to analyse deterministic and stochastic multiscale singularly perturbed control systems. Such systems arise as mathematical models of real-world dynamical systems in which state variables can change their values with the rates of different orders of magnitude. The technique is based on the assumption that the system, which would describe the dynamics of the fast state variables if slow ones were ....Multiscale Singularly Perturbed Control Systems. We propose to develop a unified averaging technique to analyse deterministic and stochastic multiscale singularly perturbed control systems. Such systems arise as mathematical models of real-world dynamical systems in which state variables can change their values with the rates of different orders of magnitude. The technique is based on the assumption that the system, which would describe the dynamics of the fast state variables if slow ones were frozen, possesses certain ergodicity properties expressed in the existence of its limit occupational measures set. Conditions for the existence of such a set will be studied and its structure will be described.Read moreRead less
Occupational Measures Approach to Long Run Average and Singularly Perturbed Optimal Control Problems. Problems of optimal control of long-run average and singularly perturbed systems arise in many applications. The project will lead to the development of new linear programming based techniques for analyzing these problems (including problems intractable so far) and finding their numerical solutions. The new techniques will have a potential to be further developed into software that can benefit A ....Occupational Measures Approach to Long Run Average and Singularly Perturbed Optimal Control Problems. Problems of optimal control of long-run average and singularly perturbed systems arise in many applications. The project will lead to the development of new linear programming based techniques for analyzing these problems (including problems intractable so far) and finding their numerical solutions. The new techniques will have a potential to be further developed into software that can benefit Australian industries and technologies. The proposed topic is in the focus of interest of many eminent researchers around the world and the dissemination of our results will further improve Australia's standing in the international research community. Read moreRead less
Singular and Analytic Perturbations, Slow and Fast Time Scales in Control Theory and Viability Theory and their Applications. We propose an innovative approach to several important classes of mathematical problems, whose data depend analytically on small perturbation parameters. Time scale problems, and, in particular, the interaction of two types of evolution, slow and fast, arise in many scientific domains (biotechnology, physics, engineering, etc).We expect to develop new techniques for analy ....Singular and Analytic Perturbations, Slow and Fast Time Scales in Control Theory and Viability Theory and their Applications. We propose an innovative approach to several important classes of mathematical problems, whose data depend analytically on small perturbation parameters. Time scale problems, and, in particular, the interaction of two types of evolution, slow and fast, arise in many scientific domains (biotechnology, physics, engineering, etc).We expect to develop new techniques for analysis and asymptotic optimisation of singularly perturbed control systems and Markov decision processes. In particular, we plan to establish links between general nonlinear optimal control problems with time average criteria and linear programming problems in the space of limit occupational measures generated by the underlying control system.Read moreRead less
Duality, singular perturbations and numerical analysis in infinite dimensional linear programming problems related to problems of control of nonlinear dynamical systems. Problems of control of nonlinear dynamical systems attract continued interest of eminent researchers motivated by important applications and by the fact that analytical and/or numerical analysis of a general nonlinear control problem presents a challenging task. The outcomes of the project will be both fundamental theoretical re ....Duality, singular perturbations and numerical analysis in infinite dimensional linear programming problems related to problems of control of nonlinear dynamical systems. Problems of control of nonlinear dynamical systems attract continued interest of eminent researchers motivated by important applications and by the fact that analytical and/or numerical analysis of a general nonlinear control problem presents a challenging task. The outcomes of the project will be both fundamental theoretical results and readily applicable (linear programming based) algorithms that will equip researchers and engineers with new tools for analysis and numerical solution of nonlinear control problems (including problems that have been intractable so far). The project will further enhance Australia's international reputation in Control Theory and its Applications.
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Linear programming approach to nonlinear deterministic and stochastic control problems: perturbations methods and numerical analysis. The proposed research will significantly advance knowledge by creating new analytical and numerical methods for tackling complex nonlinear control problems arising in many applications. The study's outputs will lead to a deeper understanding of fundamental issues in mathematical modelling. Collaboration with renowned researchers will further improve Australia's st ....Linear programming approach to nonlinear deterministic and stochastic control problems: perturbations methods and numerical analysis. The proposed research will significantly advance knowledge by creating new analytical and numerical methods for tackling complex nonlinear control problems arising in many applications. The study's outputs will lead to a deeper understanding of fundamental issues in mathematical modelling. Collaboration with renowned researchers will further improve Australia's standing in the international research community. Also their visits may further promote research both within and outside the host institution. In particular, lectures and seminars that they will deliver will be transmitted to Australian universities participating in the Access Grid Room Project.Read moreRead less
Dynamic risk measures. Exposure to risk is a pervasive problem. The results will be of importance for financial institutions when they estimate their exposure to risk. Other applications will be to determine the level of risk from a terrorist attack or regional instability. Companies wish to allocate resources to minimize their exposure to adverse events.
Two-price quantitative finance. This project aims to establish a novel field, namely two-price quantitative finance, and explore its applications. The new field will integrate two major schools for modelling and explain the presence of two prices, the buying and selling prices, widely observed in the real-world markets, and the equilibrium approach from the fundamental law of one price. The outcomes would deepen our understanding of the fundamental relationship among liquidity, prices, risk and ....Two-price quantitative finance. This project aims to establish a novel field, namely two-price quantitative finance, and explore its applications. The new field will integrate two major schools for modelling and explain the presence of two prices, the buying and selling prices, widely observed in the real-world markets, and the equilibrium approach from the fundamental law of one price. The outcomes would deepen our understanding of the fundamental relationship among liquidity, prices, risk and the economy. This project expects to bring about long-term impact on quantitative finance and related applications through providing a deep understanding of, and a new perspective for, the design, risk and fairness of the finance, property and insurance markets.Read moreRead less
G-expectation and its applications to nonlinear risk management. This project will develop novel theories and methods for nonlinear risk management based on nonlinear expectations and Backward Stochastic Differential Equations. The expected outcomes of the project will place Australia in the forefront and the leading position of these fields.
The fundamental equations for inversion of operator pencils. This project seeks to deepen understanding of how complex systems may be significantly changed by incremental changes to ambient conditions. Mathematical models of complex systems (climate change processes, optimal driving strategies, efficient distribution policies, effective search routines) often depend on key parameters. If small perturbations to the parameters cause large changes to the solution, then the perturbations are said to ....The fundamental equations for inversion of operator pencils. This project seeks to deepen understanding of how complex systems may be significantly changed by incremental changes to ambient conditions. Mathematical models of complex systems (climate change processes, optimal driving strategies, efficient distribution policies, effective search routines) often depend on key parameters. If small perturbations to the parameters cause large changes to the solution, then the perturbations are said to be singular. This project aims to reveal the underlying mathematical structures and develop new computational algorithms to analyse a general class of perturbed systems both locally near an isolated singularity and globally. It plans to use these algorithms to solve systems of equations, calculate generalised inverse operators, examine perturbed Markov processes, and estimate exit times from meta-stable states in stochastic population dynamics.Read moreRead less
Construction of near optimal oscillatory regimes in singularly perturbed control systems via solutions of Hamilton-Jacobi-Bellman inequalities. Problems of optimal control of systems evolving in multiple time scales arise in a great variety of applications (from diet to environmental modelling). This project addresses the challenge of analytically and numerically constructing rapidly oscillating controls that would 'near optimally coordinate' the slow and fast dynamics.