The question of optimal portfolio is that finds the trading strategy satisfying the maximal expected utility function subject to some constraints. There is the optimal trading strategy under the risk neutral probabili...The question of optimal portfolio is that finds the trading strategy satisfying the maximal expected utility function subject to some constraints. There is the optimal trading strategy under the risk neutral probability measure （martingale measure） if and only if there is no-arbitrage opportunity in the market. This paper argues the optimal wealth and the optimal value of expected utility with different utility function.展开更多
A robust control strategy using the second-order integral sliding mode control(SOISMC)based on the variable speed grey wolf optimization(VGWO)is proposed.The aim is to maximize the wind power extraction of wind turbin...A robust control strategy using the second-order integral sliding mode control(SOISMC)based on the variable speed grey wolf optimization(VGWO)is proposed.The aim is to maximize the wind power extraction of wind turbine.Firstly,according to the uncertainty model of wind turbine,a SOISMC torque controller with fast convergence speed,strong robustness and effective chattering reduction is designed,which ensures that the torque controller can effectively track the reference speed.Secondly,given the strong local search ability of the grey wolf optimization(GWO)and the fast convergence speed and strong global search ability of the particle swarm optimization(PSO),the speed component of PSO is introduced into GWO,and VGWO with fast convergence speed,high solution accuracy and strong global search ability is used to optimize the parameters of wind turbine torque controller.Finally,the simulation is implemented based on Simulink/SimPowerSystem.The results demonstrate the effectiveness of the proposed strategy under both external disturbance and model uncertainty.展开更多
文摘The question of optimal portfolio is that finds the trading strategy satisfying the maximal expected utility function subject to some constraints. There is the optimal trading strategy under the risk neutral probability measure （martingale measure） if and only if there is no-arbitrage opportunity in the market. This paper argues the optimal wealth and the optimal value of expected utility with different utility function.
基金This work was supported by the National Natural Science Foundation of China(No.51876089)the Fundamental Research Funds for the Central Universities(No.kfjj20190205).
文摘A robust control strategy using the second-order integral sliding mode control(SOISMC)based on the variable speed grey wolf optimization(VGWO)is proposed.The aim is to maximize the wind power extraction of wind turbine.Firstly,according to the uncertainty model of wind turbine,a SOISMC torque controller with fast convergence speed,strong robustness and effective chattering reduction is designed,which ensures that the torque controller can effectively track the reference speed.Secondly,given the strong local search ability of the grey wolf optimization(GWO)and the fast convergence speed and strong global search ability of the particle swarm optimization(PSO),the speed component of PSO is introduced into GWO,and VGWO with fast convergence speed,high solution accuracy and strong global search ability is used to optimize the parameters of wind turbine torque controller.Finally,the simulation is implemented based on Simulink/SimPowerSystem.The results demonstrate the effectiveness of the proposed strategy under both external disturbance and model uncertainty.
