Optimal Control of Stochastic Partial Differential Equations. The problem to control a stochastic process so as to minimize a certain cost functional arises in many areas of Applied Sciences, Engineering and Mathematical Finance. An important practical question is to find, for a given cost functional, the optimizing control in a feedback form. We propose new tools to construct such optimal controls for a class of stochastic processes which are solutions to stochastic partial differential equati ....Optimal Control of Stochastic Partial Differential Equations. The problem to control a stochastic process so as to minimize a certain cost functional arises in many areas of Applied Sciences, Engineering and Mathematical Finance. An important practical question is to find, for a given cost functional, the optimizing control in a feedback form. We propose new tools to construct such optimal controls for a class of stochastic processes which are solutions to stochastic partial differential equations. As an outcome of this project we will obtain methods to determine the optimal control policies for a large variety of cost functionals and degenerated stochastic partial differential equations, in particular those arising in modelling of volatility in Finance.Read moreRead less
Joint System Identification for Point Processes and Time-series. In various application areas such as neurophysiology, earthquake modeling, price spikes in electricity markets, the data of interest are point processes (aka sequences of events) or combinations of point processes and analog signals. To understand the underlying subject of interest we need to be able to extract the maximum information from these observation sequences. The current tools for doing this are very limited. This resear ....Joint System Identification for Point Processes and Time-series. In various application areas such as neurophysiology, earthquake modeling, price spikes in electricity markets, the data of interest are point processes (aka sequences of events) or combinations of point processes and analog signals. To understand the underlying subject of interest we need to be able to extract the maximum information from these observation sequences. The current tools for doing this are very limited. This research program will develop the complex signal processing and system methodology needed to create a suitable tool set.Read moreRead less
Efficient Algorithms for Multiple Object Filtering using Stochastic Geometry. The outcomes of this project will enhance our ability to harness advances in sensing and computing technologies and develop automated systems which facilitate rapid and reliable detection and monitoring of potential threats in our air, sea, and land space. Such systems assist our defence personnel in the event of a threat to implement measured and effective responses, and ultimately enhance Australia's operational adva ....Efficient Algorithms for Multiple Object Filtering using Stochastic Geometry. The outcomes of this project will enhance our ability to harness advances in sensing and computing technologies and develop automated systems which facilitate rapid and reliable detection and monitoring of potential threats in our air, sea, and land space. Such systems assist our defence personnel in the event of a threat to implement measured and effective responses, and ultimately enhance Australia's operational advantage, in line with the national research priority of 'Safeguarding Australia' and its associated priority goals. The developed technologies also have significant commercial potential which benefit Australian industries in areas such as robotics, automotive safety and biomedical engineering.Read moreRead less
Performance evaluation and characterisation for filtering in multi-object system. The project falls within the National Research Priority of 'Safeguarding Australia' and associated research priority goal of 'Transforming Defence Technology'. The project outcomes will provide cutting edge technology in surveillance, and monitoring of potential threat in our air, sea, and land space. Fast, reliable information enable our personnel to make timely, intelligent judgements, and appropriate responses i ....Performance evaluation and characterisation for filtering in multi-object system. The project falls within the National Research Priority of 'Safeguarding Australia' and associated research priority goal of 'Transforming Defence Technology'. The project outcomes will provide cutting edge technology in surveillance, and monitoring of potential threat in our air, sea, and land space. Fast, reliable information enable our personnel to make timely, intelligent judgements, and appropriate responses in the event of a threat, thereby maintaining Australia's operational advantage. Other application areas that benefits from our research include radar, sonar, guidance, navigation, air traffic control, image processing, oceanography, autonomous vehicles and robotics, remote sensing, and biomedical research.
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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
Modelling, forecasting, and control for econometrics based on generalized dynamic factor models: a system theoretic approach. The project will provide a tool that will assist organizations wishing to understand the dynamics of a national economy to model it, and to forecast future econometric time series values. Such ability will provide another tool to econometric managers, including the Reserve Bank , Treasury and fund managers, that should benefit the Australian nation.
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
Queueing systems and their application to telecommunication systems and dams. The aim of this project is to investigate the behaviour of large queueing systems under critical load conditions and solve problems related to large telecommunication systems, information technologies and dams. The project will have significant economic and social benefits. It will lead to the solution of high priority problems of optimal control of water resources, as well as problems in design technology of high spee ....Queueing systems and their application to telecommunication systems and dams. The aim of this project is to investigate the behaviour of large queueing systems under critical load conditions and solve problems related to large telecommunication systems, information technologies and dams. The project will have significant economic and social benefits. It will lead to the solution of high priority problems of optimal control of water resources, as well as problems in design technology of high speed telecommunication networks. It will suggest new more profitable approaches to known problems such as effective bandwidth problem, analysis and design of computer networks, optimal control of dams, and anticipate not ordinary results and solutions. It will contribute to the mathematical culture in Australia and worldwide. Read moreRead less
Singular phenomena for nonlinear partial differential equations arising in applications. The development of nonlinear Partial Differential Equations (PDEs) in Australia is recognized worldwide through the outstanding contributions of mathematicians from the ANU, University of Sydney and other top Australian Universities. This project undertakes research in the PDEs field and follows directions of very current interest at an international level. Beyond the ANU, the project will enhance expertise ....Singular phenomena for nonlinear partial differential equations arising in applications. The development of nonlinear Partial Differential Equations (PDEs) in Australia is recognized worldwide through the outstanding contributions of mathematicians from the ANU, University of Sydney and other top Australian Universities. This project undertakes research in the PDEs field and follows directions of very current interest at an international level. Beyond the ANU, the project will enhance expertise in Australia in very active areas of mathematics research related to applications in physics, biology and other applied disciplines. Moreover, it will foster collaboration with mathematicians of international standing from Australia and abroad. Read moreRead less
Risk Measures and Management in Finance and Actuarial Science Under Regime-Switching Models. New models for assessing and managing risk of financial products will place Australia at the forefront of risk management. The work will also sustain the competitive edge of Australia as one of the major financial centres in the Asia-Pacific region through enhancing both the theory and practice of financial risk management. The project outcome will also benefit to the country in other areas of risk, for ....Risk Measures and Management in Finance and Actuarial Science Under Regime-Switching Models. New models for assessing and managing risk of financial products will place Australia at the forefront of risk management. The work will also sustain the competitive edge of Australia as one of the major financial centres in the Asia-Pacific region through enhancing both the theory and practice of financial risk management. The project outcome will also benefit to the country in other areas of risk, for example, environment risk, climate change, and energy and security problems.Read moreRead less