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
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.
Towards a unified theory of constrained control and estimation. The project will investigate the implications of duality and other connections between constrained control and estimation. We believe that the research will result in a richer understanding of these problems. In particular, we envisage an impact in at least four areas: (i) Computational issues, i.e., development of more efficient algorithms for constrained problems. (ii) Geometry of constrained problems, by extending recent results ....Towards a unified theory of constrained control and estimation. The project will investigate the implications of duality and other connections between constrained control and estimation. We believe that the research will result in a richer understanding of these problems. In particular, we envisage an impact in at least four areas: (i) Computational issues, i.e., development of more efficient algorithms for constrained problems. (ii) Geometry of constrained problems, by extending recent results pertaining to constrained control to estimation problems. (iii) Problems with mixed constraints, for example, interval and finite set constraints. (iv) Fundamental limitations imposed by constraints to filtering and control problems.Read moreRead less
A Bayesian framework for frequency domain identification. The national and social benefits of the project will be reflected
through the application recognition of the research work in the various industry and research community; and also through our international collaboration. The national and social benefits are also delivered by producing specialized researchers and engineers in systems and control engineering. These people include the research students who will participate in and learn f ....A Bayesian framework for frequency domain identification. The national and social benefits of the project will be reflected
through the application recognition of the research work in the various industry and research community; and also through our international collaboration. The national and social benefits are also delivered by producing specialized researchers and engineers in systems and control engineering. These people include the research students who will participate in and learn from the proposed project.Read moreRead less
Parsimonious Quantization in Signal Processing and Control. In today's society there is an abundance of data. Indeed, it could be argued that we suffer from data 'overload'. Thus to turn 'data' into actions, the need for parsimony in signal processing and control arises. For that purpose, the data must be sampled (in time) and quantized (in space). Within this context, the current project is aimed at understanding aspects of sampled parsimonious quantization. The results have widespread practica ....Parsimonious Quantization in Signal Processing and Control. In today's society there is an abundance of data. Indeed, it could be argued that we suffer from data 'overload'. Thus to turn 'data' into actions, the need for parsimony in signal processing and control arises. For that purpose, the data must be sampled (in time) and quantized (in space). Within this context, the current project is aimed at understanding aspects of sampled parsimonious quantization. The results have widespread practical uses including digital cameras, video compression, audio quantization, control over communication networks, switching of electronic devices and many others.Read moreRead less
Constrained Receding Horizon Control of Nonlinear Systems. Most real world control problems involve the design of strategies that
achieve performance goals in the presence of constraints on the system variables. Receding horizon control is a strategy that addresses this problem by directly optimising performance under the appropriate constraints. This project will address theoretical and computational issues associated with this methodology. The expected outcomes include:
* New finitely p ....Constrained Receding Horizon Control of Nonlinear Systems. Most real world control problems involve the design of strategies that
achieve performance goals in the presence of constraints on the system variables. Receding horizon control is a strategy that addresses this problem by directly optimising performance under the appropriate constraints. This project will address theoretical and computational issues associated with this methodology. The expected outcomes include:
* New finitely parameterised solutions for nonlinear systems.
* Implementations of reduced computational complexity.
* New insights into analytical properties of the methodology.
These outcomes are expected to add to Australian scientific recognition and to bring significant economic benefit to Australian industry.
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lll-conditioned and constrained inverse problems in Signal Processing, Telecommunications and Control. Aims: To carry out fundamental research on methods for understanding and solving inverse problems in signal processin, telecommunications and control. To translate these fundamental results into practical outcomes of importance to Australian Industry.
Significance: Signal Processing, Telecommunications and Control are core technologies for all modern societies. The research proposed here ....lll-conditioned and constrained inverse problems in Signal Processing, Telecommunications and Control. Aims: To carry out fundamental research on methods for understanding and solving inverse problems in signal processin, telecommunications and control. To translate these fundamental results into practical outcomes of importance to Australian Industry.
Significance: Signal Processing, Telecommunications and Control are core technologies for all modern societies. The research proposed here will generate new methods for designing and understanding key algorithms in these areas. Particular emphasis will be placed on difficult problems involving ill-conditioned inverses or those having hard constraints that must be satisfied.
Expected Outcomes: A prime outcome will be fundamental research results at the highest international level. This will be accompanied by top level refereed publications and books. There will also be direct and tangible benefits to Australian industry.Read moreRead less
Plantwide Control of Modern Chemical Processes from a Network Perspective. Complex plants increasingly appear in modern Australian process industries, particularly in mineral processing, petrochemical and renewable energies sectors. These plants represent vast capital costs and manufacture products at a very large scale. Improvement in control and operation of these processes can potentially provide significant economic benefits. The expected outcome of this research is an effective approach to ....Plantwide Control of Modern Chemical Processes from a Network Perspective. Complex plants increasingly appear in modern Australian process industries, particularly in mineral processing, petrochemical and renewable energies sectors. These plants represent vast capital costs and manufacture products at a very large scale. Improvement in control and operation of these processes can potentially provide significant economic benefits. The expected outcome of this research is an effective approach to improve operational safety, efficiency, product quality and manufacturing flexibility, helping to build a more efficient and environmental conscious Australian chemical industry. This project will also enhance Australia's scientific reputation in the frontier research area of advanced process control and management.Read moreRead less