Physical Sciences and Mathematics Commons^™

The Vanishing Discount Method For Stochastic Control: A Linear Programming Approach, Brian Hospital

Theses and Dissertations

Under consideration are convergence results between optimality criteria for two infinite-horizon stochastic control problems: the long-term average problem and the $\alpha$-discounted problem, where $\alpha \in (0,1]$ is a given discount rate. The objects under control are those stochastic processes that arise as (relaxed) solutions to a controlled martingale problem; and such controlled processes, subject to a given budget constraint, comprise the feasible sets for the two stochastic control problems.

In this dissertation, we define and characterize the expected occupation measures associated with each of these stochastic control problems, and then reformulate each problem as an equivalent linear program over a …

Methods For Computing The Global Optimum Of Non-Convex Objectives, Isaac Michael Hawn

Graduate Research Theses & Dissertations

\begin{abstract}In this thesis, we concern ourselves with solving the unconstrained optimization problem % \begin{gather*} \text{Minimize}\; f(x)\\\text{subject to}\; x\in X \end{gather*} % where $f\colon\mathbb{R}^N\to \mathbb{R}$ is a non-convex function, possibly with infinitely many local minima. Solving such a problem, especially in higher dimensions often proves to be an extraordinarily difficult task, either in time complexity or in the methodology itself. Indeed, mathematicians must often resort to algorithms which make use of problem structure and which may not generalize well. In this thesis, we present two algorithms which solve this problem, albeit with their own shortcomings.

First, we present a new, $N$-dimensional …

Analysis Of The Continuity Of The Value Function Of An Optimal Stopping Problem, Samuel Morris Nehls

Theses and Dissertations

In order to study model uncertainty of an optimal stopping problem of a stochastic process with a given state dependent drift rate and volatility, we analyze the effects of perturbing the parameters of the problem. This is accomplished by translating the original problem into a semi-infinite linear program and its dual. We then approximate this dual linear program by a countably constrained sub-linear program as well as an infinite sequence of finitely constrained linear programs. We find that in this framework the value function will be lower semi-continuous with respect to the parameters. If in addition we restrict ourselves to …

Time Varying Parameter Estimation Scheme For A Linear Stochastic Differential Equation, Olusegun Michael Otunuga

Olusegun Michael Otunuga

In this work, an attempt is made to estimate time varying parameters in a linear stochastic differential equation. By defining mk as the local admissible sample/data observation size at time tk, parameters and state at time tk are estimated using past data on interval [tk−mk+1, tk]. We show that the parameter estimates at each time tk converge in probability to the true value of the parameters being estimated. A numerical simulation is presented by applying the local lagged adapted generalized method of moments (LLGMM) method to the stochastic differential models governing prices of energy …

Time Varying Parameter Estimation Scheme For A Linear Stochastic Differential Equation, Olusegun Michael Otunuga

Mathematics Faculty Research

In this work, an attempt is made to estimate time varying parameters in a linear stochastic differential equation. By defining mk as the local admissible sample/data observation size at time tk, parameters and state at time tk are estimated using past data on interval [tk−mk+1, tk]. We show that the parameter estimates at each time tk converge in probability to the true value of the parameters being estimated. A numerical simulation is presented by applying the local lagged adapted generalized method of moments (LLGMM) method to the stochastic differential models governing prices of energy …

A Stochastic Model For Water-Vegetation Systems And The Effect Of Decreasing Precipitation On Semi-Arid Environments, Shannon A. Dixon

All Graduate Theses and Dissertations, Spring 1920 to Summer 2023

Current climate change trends are affecting the magnitude and recurrence of extreme weather events. In particular, several semi-arid regions around the planet are confronting more intense and prolonged lack of precipitation, slowly transforming these regions into deserts. Many mathematical models have been developed for purposes of analyzing vegetation-water interactions, particularly in semi-arid landscapes. Most models are based on the average behavior of the system as a whole, and how it is influenced by external changes. These models may be termed "macro-scale" models. Other models have concerned themselves with the interactions between individuals, in this case the interactions between individual plants …

Adaptive Stochastic Systems: Estimation, Filtering, And Noise Attenuation, Araz Ryan Hashemi

Wayne State University Dissertations

This dissertation investigates problems arising in identification and control of stochastic systems. When the parameters determining the underlying systems are unknown and/or time varying, estimation and adaptive filter- ing are invoked to to identify parameters or to track time-varying systems. We begin by considering linear systems whose coefficients evolve as a slowly- varying Markov Chain. We propose three families of constant step-size (or gain size) algorithms for estimating and tracking the coefficient parameter: Least-Mean Squares (LMS), Sign-Regressor (SR), and Sign-Error (SE) algorithms.

The analysis is carried out in a multi-scale framework considering the relative size of the gain (rate of …

Estimation Of The Tax Rates Based On Vehicle Miles Traveled Using Stochastic Models, Pratik Verma

UNLV Theses, Dissertations, Professional Papers, and Capstones

In this thesis, we shall study the alternative revenue collection system which is based on the vehicle miles traveled (VMT). In various studies, it has been found that the existing revenue collection system based on gas/fuel tax is not an appropriate option in the longer run. The main reasons include no effective tax process for vehicles based on alternative fuel vehicle, no effective changes in tax due to economical inflation, and more highway expenditure than generated revenue. Our main objective is to estimate the VMT tax rates that should be charged in order to generate same amount of revenue generated …

On Stochastic Inequalities And Comparisons Of Reliability Measures For Weighted Distributions, Broderick O. Oluyede, E. Olusegun George

Department of Mathematical Sciences Faculty Publications

Inequalities, relations and stochastic orderings, as well as useful ageing notions for weighted distributions are established. Also presented are preservation and stability results and comparisons for weighted and length-biased distributions. Relations for length-biased and equilibrium distributions as examples of weighted distributions are also presented.