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Optimization and Control for Systems in the Big-Data Era : Theory and Applications.

Author: Tsan-Ming Choi; Jianjun Gao; James H Lambert; Chi-Kong Ng; Jun Wang
Publisher: Cham : Springer International Publishing, 2017.
Series: International series in operations research & management science.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
This book focuses on optimal control and systems engineering in the big data era. It examines the scientific innovations in optimization, control and resilience management that can be applied to further success. In both business operations and engineering applications, there are huge amounts of data that can overwhelm computing resources of large-scale systems. This "big data" provides new opportunities to improve  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Choi, Tsan-Ming.
Optimization and Control for Systems in the Big-Data Era : Theory and Applications.
Cham : Springer International Publishing, ©2017
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Tsan-Ming Choi; Jianjun Gao; James H Lambert; Chi-Kong Ng; Jun Wang
ISBN: 9783319535180 3319535188 3319535161 9783319535166
OCLC Number: 987102811
Notes: 6.2 Optimal ALM Formulation.
Description: 1 online resource (281 pages).
Contents: Preface; Contents; Contributors; 1 Optimization and Control for Systems in the Big Data Era: An Introduction; 1.1 Optimization and Control in Big Data Era; 1.2 Reviews on Theories; 1.3 Reviews on Applications; 1.4 Financial Optimization Analysis; 1.5 Operations Analysis; References; Part I Reviews on Optimization and Control Theories; 2 Dual Control in Big Data Era: An Overview; 2.1 Introduction; 2.2 Classification of Controllers; 2.2.1 Non-dual Controller; 2.2.1.1 Certainty Equivalence Controller; 2.2.1.2 One-Step Cautious Controller; 2.2.1.3 The Open-Loop Feedback Optimal Controller. 2.2.2 Dual Controller2.2.2.1 Optimal Dual Controller; 2.2.2.2 Suboptimal Dual Controller; 2.2.2.3 Optimal Nominal Dual Controller; 2.3 An Example: LQG Problems with Unknown Parameters; 2.3.1 Optimal Dual Control; 2.3.2 Open-Loop Feedback Control; 2.3.3 Active Open-Loop Feedback Control: Variance Minimization Approach; 2.3.4 Optimal Nominal Dual Control; 2.4 Dual Control in Big Data Era; 2.4.1 Economic Systems; 2.4.2 Manufacturing Processes; 2.4.3 Automobile Systems; 2.4.4 Robotics; 2.4.5 Information Retrieval; 2.5 Conclusions; References. 3 Time Inconsistency and Self-Control Optimization Problems: Progress and Challenges3.1 Introduction; 3.2 Progress; 3.2.1 Separable Problem Versus Non-separable Problem; 3.2.2 Approaches Dealing with Time Inconsistency; 3.3 Challenges; 3.3.1 Dynamic Mean-Risk Portfolio Optimization Problems; 3.3.2 Time Inconsistency Generated by Probability Weighting; 3.3.3 Data Challenge; References; 4 Quadratic Convex Reformulations for Integer and Mixed-Integer Quadratic Programs; 4.1 Introduction; 4.2 QCR for Binary Quadratic Programming; 4.2.1 QCR with No Additional Variables. 4.2.2 QCR with Additional Variables4.3 QCR for Linear Equality Constrained Binary Quadratic Programming; 4.4 Generalization of QCR to MIQCQP; 4.4.1 QCR for Binary Quadratically Constrained Quadratic Programming; 4.4.2 QCR for Mixed-Binary Quadratic Programming; 4.4.3 QCR for MIQCQP; 4.4.4 Compact QCR for MIQCQP; 4.4.5 With or Without Additional Variables; 4.5 QCR for Semi-Continuous Quadratic Programming; 4.6 Concluding Remark; References; Part II Reviews on Optimization and Control Applications; 5 Measurements of Financial Contagion: A Primary Review from the Perspective of Structural Break. 5.1 Introduction5.2 Concepts of Financial Contagion; 5.3 Contagion of Financial Markets; 5.3.1 Volatility Analysis; 5.3.2 Correlation Analysis; 5.3.3 Factor Model Based Approaches; 5.3.3.1 Contagion of Individual Shocks; 5.3.3.2 Contagion of Common Shocks and Transmission Channels; 5.4 Contagion of Interbank System; 5.4.1 Network Model of Interbank Contagion; 5.4.2 Contagion via Portfolio Overlapping; 5.5 Potential Applications of Big Data to Financial Contagion; References; 6 Asset-Liability Management in Continuous-Time: Cointegration and Exponential Utility; 6.1 Introduction.
Series Title: International series in operations research & management science.

Abstract:

This book focuses on optimal control and systems engineering in the big data era. Part I offers reviews on optimization and control theories, and Part II examines the optimization and control  Read more...

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