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Search indexed NASA NTRS and DOE OSTI research on propulsion, heat transfer, battery materials and energy systems. Follow report and document links to the original sources.

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At least 703 records · Page 39
All sourcesNASA NTRSDOE OSTI
DOE OSTI2015

Robust Consumption-Investment Problem on Infinite Horizon

In our paper we consider an infinite horizon consumption-investment problem under a model misspecification in a general stochastic factor model. We formulate the problem as a stochastic game and finally characterize the saddle point and the value function of that game using an ODE of semilinear type, for which we provide a proof of an existence and uniqueness theorem for its solution. Such equation is interested on its own right, since it generalizes many other equations arising in various infinite horizon optimization problems.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2016

The Early Exercise Premium Representation for American Options on Multiply Assets

In the paper we consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follow the classical multidimensional Black and Scholes model. We provide a general early exercise premium representation formula for options with payoff functions which are convex or satisfy mild regularity assumptions. Examples include index options, spread options, call on max options, put on min options, multiply strike options and power-product options. In the proof of the formula we exploit close connections between the optimal stopping problems associated with valuation of American options, obstacle problems and reflected backward stochastic differential equations.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2016

Optimal Control for Stochastic Delay Evolution Equations

In this paper, we investigate a class of infinite-dimensional optimal control problems, where the state equation is given by a stochastic delay evolution equation with random coefficients, and the corresponding adjoint equation is given by an anticipated backward stochastic evolution equation. We first prove the continuous dependence theorems for stochastic delay evolution equations and anticipated backward stochastic evolution equations, and show the existence and uniqueness of solutions to anticipated backward stochastic evolution equations. Then we establish necessary and sufficient conditions for optimality of the control problem in the form of Pontryagin’s maximum principles. To illustrate the theoretical results, we apply stochastic maximum principles to study two examples, an infinite-dimensional linear-quadratic control problem with delay and an optimal control of a Dirichlet problem for a stochastic partial differential equation with delay. Further applications of the two examples to a Cauchy problem for a controlled linear stochastic partial differential equation and an optimal harvesting problem are also considered.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2016

Mean Field Games with a Dominating Player

In this article, we consider mean field games between a dominating player and a group of representative agents, each of which acts similarly and also interacts with each other through a mean field term being substantially influenced by the dominating player. We first provide the general theory and discuss the necessary condition for the optimal controls and equilibrium condition by adopting adjoint equation approach. We then present a special case in the context of linear-quadratic framework, in which a necessary and sufficient condition can be asserted by stochastic maximum principle; we finally establish the sufficient condition that guarantees the unique existence of the equilibrium control. The proof of the convergence result of finite player game to mean field counterpart is provided in Appendix.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2017

Continuous-Time Public Good Contribution Under Uncertainty: A Stochastic Control Approach

In this paper we study continuous-time stochastic control problems with both monotone and classical controls motivated by the so-called public good contribution problem. That is the problem of n economic agents aiming to maximize their expected utility allocating initial wealth over a given time period between private consumption and irreversible contributions to increase the level of some public good. We investigate the corresponding social planner problem and the case of strategic interaction between the agents, i.e. the public good contribution game. We show existence and uniqueness of the social planner’s optimal policy, we characterize it by necessary and sufficient stochastic Kuhn–Tucker conditions and we provide its expression in terms of the unique optional solution of a stochastic backward equation. Similar stochastic first order conditions prove to be very useful for studying any Nash equilibria of the public good contribution game. In the symmetric case they allow us to prove (qualitative) uniqueness of the Nash equilibrium, which we again construct as the unique optional solution of a stochastic backward equation. We finally also provide a detailed analysis of the so-called free rider effect.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2017

A Numerical Approximation Framework for the Stochastic Linear Quadratic Regulator on Hilbert Spaces

We present an approximation framework for computing the solution of the stochastic linear quadratic control problem on Hilbert spaces. We focus on the finite horizon case and the related differential Riccati equations (DREs). Our approximation framework is concerned with the so-called “singular estimate control systems” (Lasiecka in Optimal control problems and Riccati equations for systems with unbounded controls and partially analytic generators: applications to boundary and point control problems, 2004) which model certain coupled systems of parabolic/hyperbolic mixed partial differential equations with boundary or point control. We prove that the solutions of the approximate finite-dimensional DREs converge to the solution of the infinite-dimensional DRE. In addition, we prove that the optimal state and control of the approximate finite-dimensional problem converge to the optimal state and control of the corresponding infinite-dimensional problem.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2018

Necessary Conditions of Optimality for Some Stochastic Integrodifferential Equations of Neutral Type on Hilbert Spaces

In this work, we develop the necessary conditions of optimality for partially observed control problems governed by stochastic integrodifferential equations of neutral type on Hilbert spaces driven by relaxed controls. Under suitable conditions, we establish the existence and the uniqueness of mild solution which has a continuous modification. We prove the continuity of the control to the solution map. Then we consider an optimal control problem of Bolza type. Using these results we give necessary conditions of optimality for a class of stochastic integrodifferential equations of neutral type on Hilbert spaces.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2016

Linear Quadratic Mean Field Type Control and Mean Field Games with Common Noise, with Application to Production of an Exhaustible Resource

We study a general linear quadratic mean field type control problem and connect it to mean field games of a similar type. The solution is given both in terms of a forward/backward system of stochastic differential equations and by a pair of Riccati equations. In certain cases, the solution to the mean field type control is also the equilibrium strategy for a class of mean field games. We use this fact to study an economic model of production of exhaustible resources.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2016

Discrete Time McKean–Vlasov Control Problem: A Dynamic Programming Approach

We consider the stochastic optimal control problem of nonlinear mean-field systems in discrete time. We reformulate the problem into a deterministic control problem with marginal distribution as controlled state variable, and prove that dynamic programming principle holds in its general form. We apply our method for solving explicitly the mean-variance portfolio selection and the multivariate linear-quadratic McKean–Vlasov control problem.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2016

Mean Field Games for Stochastic Growth with Relative Utility

This paper considers continuous time stochastic growth-consumption optimization in a mean field game setting. The individual capital stock evolution is determined by a Cobb–Douglas production function, consumption and stochastic depreciation. The individual utility functional combines an own utility and a relative utility with respect to the population. The use of the relative utility reflects human psychology, leading to a natural pattern of mean field interaction. The fixed point equation of the mean field game is derived with the aid of some ordinary differential equations. Due to the relative utility interaction, our performance analysis depends on some ratio based approximation error estimate.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2016

Radiation-Induced Cataractogenesis: A Critical Literature Review for the Interventional Radiologist

Extensive research supports an association between radiation exposure and cataractogenesis. New data suggests that radiation-induced cataracts may form stochastically, without a threshold and at low radiation doses. We first review data linking cataractogenesis with interventional work. We then analyze the lens dose typical of various procedures, factors modulating dose, and predicted annual dosages. We conclude by critically evaluating the literature describing techniques for lens protection, finding that leaded eyeglasses may offer inadequate protection and exploring the available data on alternative strategies for cataract prevention.

62 RADIOLOGY AND NUCLEAR MEDICINE↗
DOE OSTI2018

Upscaling permeability for three-dimensional fractured porous rocks with the multiple boundary method

Upscaling permeability of grid blocks is crucial for groundwater models. A novel upscaling method for three-dimensional fractured porous rocks is presented. The objective of the study was to compare this method with the commonly used Oda upscaling method and the volume averaging method. First, the multiple boundary method and its computational framework were defined for three-dimensional stochastic fracture networks. Then, the different upscaling methods were compared for a set of rotated fractures, for tortuous fractures, and for two discrete fracture networks. The results computed by the multiple boundary method are comparable with those of the other two methods and fit best the analytical solution for a set of rotated fractures. The errors in flow rate of the equivalent fracture model decrease when using the multiple boundary method. Furthermore, the errors of the equivalent fracture models increase from well-connected fracture networks to poorly connected ones. Finally, the diagonal components of the equivalent permeability tensors tend to follow a normal or log-normal distribution for the well-connected fracture network model with infinite fracture size. By contrast, they exhibit a power-law distribution for the poorly connected fracture network with multiple scale fractures. The study demonstrates the accuracy and the flexibility of the multiple boundary upscaling concept. This makes it attractive for being incorporated into any existing flow-based upscaling procedures, which helps in reducing the uncertainty of groundwater models.

58 GEOSCIENCES↗
DOE OSTI2017

Some Results of Multicriterial and Robust Optimization of Nuclear Power Systems Structure

The possibility of applying multicriterial and robust optimization methods as well as stochastic methods of determining the effect of uncertainties in the parameters of a system to structural optimization of nuclear power is discussed for the example of a hypothetical nuclear-power system consisting of thermal and fast reactors. It is shown that the optimal structures of nuclear power systems obtained by such methods are balanced in terms of conflicting criteria and technologically more diversified than those determined by single-criterion deterministic optimization. Cost-based innovative technologies, which can be adopted only by imposing additional external limitations in a single-criterion problem, appear in such structures. The examined methods make it possible to determine on a systematic basis the structures of nuclear power that are balanced in terms of a set of conflicting criteria, since factors having both positive and negative effects on the development of nuclear-power systems are included in the calculations, and to find economically efficient directions of structural changes in the system in order to improve stability and efficiency.

22 GENERAL STUDIES OF NUCLEAR REACTORS↗
DOE OSTI2018

Risk Management of NPP Incidents

A diagnostic model for managing the risk of NPP incidents attending different irregularities of equipment operation is examined for the example of the oil delivery system of the main circulation pump. The model includes the construction of a graph of the operation of the oil system and ranking in order to obtain indices of priority for monitoring information flow that reflect the actuation probability of each form of protection. The results of the analysis can used as input data for predicting the duration of a stable state of a technological system in the course of operation on the basis of stochastic extrapolation of the parameters by means of single-channel queuing systems with finite storage – technological protection and blocking.

22 GENERAL STUDIES OF NUCLEAR REACTORS↗
DOE OSTI2018

Simulation of the Quality Criterion of a Mixture in a Drum-Belt Apparatus

A method is proposed for calculating the inhomogeneity coefficient in the workspace of a drum-belt mixer of bulk components with brush elements in a three-stage batch mixing method with non-uniform proportioning. The method is based on a stochastic model of the motion of rarefied particle flows following interaction with flexible elements fixed along a helical line on the surface of the mixer drums. The principal coefficients affecting the quality of a bulk mixture are analyzed in the form of combined structural and regime complexes of parameters of the mixer and the characteristics of the physical and mechanical state of the mixed media are analyzed. The results obtained can be used to develop an engineering technique for calculating the parameters of a new drum-belt mixer of friable components.

42 ENGINEERING↗
DOE OSTI2018

Optimal Portfolio Management in a Modified Constant Elasticity of Variance Model

We investigate the optimal management of a portfolio consisting of a risk asset and a risk-free bond. The asset dynamics is specified by the M-CEV model. Assuming that the investor has a power utility function, we derive an explicit analytical portfolio-management formula that contains confluent hypergeometric functions. The asymptotic form of the proposed portfolio management strategy is obtained, as well as approximate formulas consisting only of elementary functions. We additionally present an application of our results in the context of algorithmic statistical-arbitrage strategies.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2017

Algorithms and Experience with Prediction of Technical Operating Failures in Nuclear Power Plant Equipment

The development of algorithms for the prediction of technological operating failure of nuclear power plant equipment based on stochastic extrapolation of the values of technical parameters is discussed. The algorithms are tested on real archived data on the operation of the oil circulation system of the main circulating pumps in a power generating unit at a nuclear power plant.

22 GENERAL STUDIES OF NUCLEAR REACTORS↗