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A Rank Minimization Heuristic with Application to Minimum Order System Approximation
Rank Minimization Heuristic Minimum Order System Approximation
2015/7/10
Several problems arising in control system analysis and design, such as reduced order controller synthesis, involve minimizing the rank of a matrix variable subject to linear matrix inequality (LMI) c...
An Ellipsoidal Approximation to the Hadamard Product of Ellipsoids
Ellipsoidal Approximation Hadamard Product Ellipsoids
2015/7/10
This paper introduces a computationally efficient outer approximation to the Hadamard, i.e., element-wise, product of two ellipsoids. This element-wise product corresponds to multiplicative uncertaint...
A Diffusion Approximation for a Network of Reservoirs with Power Law Release Rule
Diffusion network reservoir power law
2015/7/8
A diffusion approximation for a network of continuous time reservoirs with power law release rules is examined. Under a mild assumption on the inflow processes, we show that for physically reasonable ...
Confidence Regions for Stochastic Approximation Algorithms
Confidence Regions Stochastic Approximation Algorithms
2015/7/8
In principle, known central limit theorems for stochastic approximation schemes permit the simulationist to provide confidence regions for both the optimum and optimizer of a stochastic optimization p...
A Diffusion Approximation for a Markovian Queue with Reneging
Markovian queues reneging impatience deadlines refl ected Ornstein–Uhlenbeck process
2015/7/8
Consider a single-server queue with a Poisson arrival process and exponential processing times in which each customer independently reneges after an exponentially distributed amount of time. We establ...
A Diffusion Approximation with a GI/GI/1 Queue with Balking or Reneging
deadlines reneging balking impatience GI/GI/1-GI queue Ornstein-Uhlenbeck process
2015/7/6
Consider a single-server queue with a renewal arrival process and generally distributed processing times in which each customer independently reneges if service has not begun within a generally distri...
Analysis of a Stochastic Approximation Algorithm for Computing Quasi-stationary Distributions
Stochastic approximations quasi-stationary distribution ODE method.
2015/7/6
This paper analyzes the convergence properties of an iterative Monte Carlo procedure proposed in the Physics literature for estimating the quasi-stationary distribution on a transient set of a Markov ...