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Maximum-Likelihood Estimation For Diffusion Processes Via Closed-Form Density Expansions
asymptotic expansion diffusion discrete observation maximum-likelihood estimation transition density
2016/1/25
This paper proposes a widely applicable method of approximate maximum-likelihood estimation for multivariate diffusion process from discretely sampled data. A closed-form asymptotic expansion for tran...
Maximum-Likelihood Estimation For Diffusion Processes Via Closed-Form Density Expansions
asymptotic expansion diffusion discrete observation maximum-likelihood estimation transition density
2016/1/20
This paper proposes a widely applicable method of approximate maximum-likelihood estimation for multivariate diffusion process from discretely sampled data. A closed-form asymptotic expansion for tran...
Parameter Estimation and Model Testing for Markov Processes via Conditional Characteristic Functions
Conditional characteristic function Diffusion processes Empirical likelihood Kernel smoothing L′ evy driven processes
2016/1/19
Markov processes are used in a wide range of disciplines including finance.The transition densities of these processes are often unknown. However, the conditionalcharacteristic functions are more like...
Learning interactions via hierarchical group-lasso regularization
hierarchical interaction computer intensive regression logistic
2015/8/21
We introduce a method for learning pairwise interactions in a linear regression or logistic regression model in a manner that satisfies strong hierarchy: whenever an interaction is estimated to be non...
Computing Bounds for the Structured Singular Value via an Interior Point Algorithm
Computing Bounds Structured Singular Value Interior Point Algorithm
2015/7/13
We describe an interior point algorithm for computing the upper bound for the structured singular value described in the paper by Fan, Tits and Doyle, IEEE Trans AC, Jan. 1991. We demonstrate the perf...
Design of stabilizing state feedback for delay systems via convex optimization
stabilizing state feedback delay systems convex optimization
2015/7/13
For linear systems with delays, we define a new class of Lyapunov-like functionals that may be used to prove stability. We also show how we may design a stabilizing (delayed) state feedback for delay ...
Control system analysis and synthesis via linear matrix inequalities
Control system analysis synthesis linear matrix inequalities
2015/7/13
A wide variety of problems in systems and control theory can be cast or recast as convex problems that involve linear matrix inequalities (LMIs). For a few very special cases there are “analytical sol...
Solving interpolation problems via generalized eigenvalue minimization
Solving interpolation problems generalized eigenvalue minimization
2015/7/13
A number of problems in the analysis and design of control systems may be reformulated as the problem of minimizing the largest generalized eigenvalue of a pair of symmetric matrices which depend affi...
Antenna Array Pattern Synthesis via Convex Optimization
Antenna Array Pattern Synthesis Convex Optimization
2015/7/13
We show that a variety of antenna array pattern synthesis problems can be expressed as convex optimization problems, which can be (numerically) solved with great efficiency by recently developed inter...
Multi-objective H2/H-infinity-Optimal Control via Finite Dimensional Q-Parametrization and Linear Matrix Inequalities
Finite Dimensional Q-Parametrization Linear Matrix Inequalities
2015/7/13
The problem of multi-objective H2/H-infinity optimal controller design is reviewed. There is as yet no exact solution to this problem. We present a method based on that proposed by Scherer. The proble...
FIR Filter Design via Spectral Factorization and Convex Optimization
FIR Filter Design Spectral Factorization Convex Optimization
2015/7/13
We consider the design of finite impulse response (FIR) filters subject to upper and lower bounds on the frequency response magnitude. The associated optimization problems, with the filter coefficient...
Optimization of Inductor Circuits via Geometric Programming
Optimization Inductor Circuits Geometric Programming
2015/7/10
We present an efficient method for optimal design and synthesis of CMOS inductors for use in RF circuits. This method uses the the physical dimensions of the inductor as the design parameters and hand...
Low-Authority Controller Design via Convex Optimization
Low-Authorit Controller Design Convex Optimization
2015/7/10
In this paper we address the problem of low-authority controller (LAC) design. The premise is that the actuators have limited authority, and hence cannot significantly shift the eigenvalues of the sys...
On Achieving Reduced Error Propagation Sensitivity in DFE Design via Convex Optimization
On Achieving Reduced Propagation Sensitivity DFE Design via Convex Optimization
2015/7/10
Decision Feedback Equalization (DFE) is expected in digital TV receivers and other high error rate environments. Error propagation usually occurs in infrequent bursts. It is argued here that the minim...
Optimal Allocation of Local Feedback in Multistage Amplifiers via Geometric Programming
Amplifiers analog circuits circuit optimization design automation geometric programming sensitivity
2015/7/10
We consider the problem of optimally allocating local feedback to the stages of a multistage amplifier. The local feedback gains affect many performance indices for the overall amplifier, such as band...