Sensitivity analysis in calculus of variations. Some applications

This paper deals with the problem of sensitivity analysis in calculus of variations. A perturbation technique is applied to derive the boundary value problem and the system of equations that allow us to obtain the partial derivatives (sensitivities) of the objective function value and the primal and dual optimal solutions with respect to all parameters. Two examples of applications, a simple mathematical problem and a slope stability analysis problem, are used to illustrate the proposed method

Computation of option greeks under hybrid stochastic volatility models via Malliavin calculus

This study introduces computation of option sensitivities (Greeks) using the Malliavin calculus under the assumption that the underlying asset and interest rate both evolve from a stochastic volatility model and a stochastic interest rate model, respectively. Therefore, it integrates the recent developments in the Malliavin calculus for the computation of Greeks: Delta, Vega, and Rho and it extends the method slightly. The main results show that Malliavin calculus allows a running Monte Carlo (MC) algorithm to present numerical implementations and to illustrate its effectiveness. The main advantage of this method is that once the algorithms are constructed, they can be used for numerous types of option, even if their payoff functions are not differentiable.Comment: Published at https://doi.org/10.15559/18-VMSTA100 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/

Dirichlet forms methods, an application to the propagation of the error due to the Euler scheme

We present recent advances on Dirichlet forms methods either to extend financial models beyond the usual stochastic calculus or to study stochastic models with less classical tools. In this spirit, we interpret the asymptotic error on the solution of an sde due to the Euler scheme in terms of a Dirichlet form on the Wiener space, what allows to propagate this error thanks to functional calculus.Comment: 15

A Total Fractional-Order Variation Model for Image Restoration with Non-homogeneous Boundary Conditions and its Numerical Solution

To overcome the weakness of a total variation based model for image restoration, various high order (typically second order) regularization models have been proposed and studied recently. In this paper we analyze and test a fractional-order derivative based total $\alpha$-order variation model, which can outperform the currently popular high order regularization models. There exist several previous works using total $\alpha$-order variations for image restoration; however first no analysis is done yet and second all tested formulations, differing from each other, utilize the zero Dirichlet boundary conditions which are not realistic (while non-zero boundary conditions violate definitions of fractional-order derivatives). This paper first reviews some results of fractional-order derivatives and then analyzes the theoretical properties of the proposed total $\alpha$-order variational model rigorously. It then develops four algorithms for solving the variational problem, one based on the variational Split-Bregman idea and three based on direct solution of the discretise-optimization problem. Numerical experiments show that, in terms of restoration quality and solution efficiency, the proposed model can produce highly competitive results, for smooth images, to two established high order models: the mean curvature and the total generalized variation.Comment: 26 page

Sharp interface limit for a phase field model in structural optimization

We formulate a general shape and topology optimization problem in structural optimization by using a phase field approach. This problem is considered in view of well-posedness and we derive optimality conditions. We relate the diffuse interface problem to a perimeter penalized sharp interface shape optimization problem in the sense of $\Gamma$-convergence of the reduced objective functional. Additionally, convergence of the equations of the first variation can be shown. The limit equations can also be derived directly from the problem in the sharp interface setting. Numerical computations demonstrate that the approach can be applied for complex structural optimization problems

Optimal control of a fractional order epidemic model with application to human respiratory syncytial virus infection

A human respiratory syncytial virus surveillance system was implemented in Florida in 1999, to support clinical decision-making for prophylaxis of premature newborns. Recently, a local periodic SEIRS mathematical model was proposed in [Stat. Optim. Inf. Comput. 6 (2018), no.1, 139--149] to describe real data collected by Florida's system. In contrast, here we propose a non-local fractional (non-integer) order model. A fractional optimal control problem is then formulated and solved, having treatment as the control. Finally, a cost-effectiveness analysis is carried out to evaluate the cost and the effectiveness of proposed control measures during the intervention period, showing the superiority of obtained results with respect to previous ones.Comment: This is a preprint of a paper whose final and definite form is with 'Chaos, Solitons & Fractals', available from [http://www.elsevier.com/locate/issn/09600779]. Submitted 23-July-2018; Revised 14-Oct-2018; Accepted 15-Oct-2018. arXiv admin note: substantial text overlap with arXiv:1801.0963

A survey on fractional order control techniques for unmanned aerial and ground vehicles

In recent years, numerous applications of science and engineering for modeling and control of unmanned aerial vehicles (UAVs) and unmanned ground vehicles (UGVs) systems based on fractional calculus have been realized. The extra fractional order derivative terms allow to optimizing the performance of the systems. The review presented in this paper focuses on the control problems of the UAVs and UGVs that have been addressed by the fractional order techniques over the last decade