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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Modelling patient flows through hospitals: optimizing effective use of resources. Hospitals are complex, dynamic systems confronted by increased demand in the face of shrinking real capacity. Managing such systems is currently undertaken with sub-optimal analytical support, particularly when demand and capacity are changing and resources must be manipulated to respond to such changes. In this project, the investigators will apply a mathematical modelling approach to the analysis of hospital pati ....Modelling patient flows through hospitals: optimizing effective use of resources. Hospitals are complex, dynamic systems confronted by increased demand in the face of shrinking real capacity. Managing such systems is currently undertaken with sub-optimal analytical support, particularly when demand and capacity are changing and resources must be manipulated to respond to such changes. In this project, the investigators will apply a mathematical modelling approach to the analysis of hospital patient flows. Furthermore, they will employ statistical process control methodologies to the problem of recognising and responding to changes in the flows, so that performance objectives are met. In doing this, they will give health service managers and clinicians a significant advantage in deciding how best to manage a constrained resource to maximize access, throughput and patient outcomes.Read moreRead less
Optimal Control of Multi-Object System. Better understanding of multi-object systems developed from this research, in particular, optimal control algorithms for multi-object systems have several significant socio-economic benefits. Application areas that benefits from our research include aerospace applications such as radar, sonar, guidance, navigation, and air traffic control and non-aerospace areas such as image processing, oceanography autonomous vehicles and robotics, remote sensing, and bi ....Optimal Control of Multi-Object System. Better understanding of multi-object systems developed from this research, in particular, optimal control algorithms for multi-object systems have several significant socio-economic benefits. Application areas that benefits from our research include aerospace applications such as radar, sonar, guidance, navigation, and air traffic control and non-aerospace areas such as image processing, oceanography autonomous vehicles and robotics, remote sensing, and biomedical research. The sensor network discipline also stand to benefit from the understanding of multi-object system and control framework. 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.
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
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
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.