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Results 1 - 10
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8,953
Constrained model predictive control: Stability and optimality
- AUTOMATICA
, 2000
"... Model predictive control is a form of control in which the current control action is obtained by solving, at each sampling instant, a finite horizon open-loop optimal control problem, using the current state of the plant as the initial state; the optimization yields an optimal control sequence and t ..."
Abstract
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Cited by 738 (16 self)
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Model predictive control is a form of control in which the current control action is obtained by solving, at each sampling instant, a finite horizon open-loop optimal control problem, using the current state of the plant as the initial state; the optimization yields an optimal control sequence
Empirical exchange rate models of the Seventies: do they fit out of sample?
- JOURNAL OF INTERNATIONAL ECONOMICS
, 1983
"... This study compares the out-of-sample forecasting accuracy of various structural and time series exchange rate models. We find that a random walk model performs as well as any estimated model at one to twelve month horizons for the dollar/pound, dollar/mark, dollar/yen and trade-weighted dollar exch ..."
Abstract
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Cited by 854 (12 self)
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This study compares the out-of-sample forecasting accuracy of various structural and time series exchange rate models. We find that a random walk model performs as well as any estimated model at one to twelve month horizons for the dollar/pound, dollar/mark, dollar/yen and trade-weighted dollar
Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts
"... Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset and derivative pricing theories as well as trading and hedging strategies. In response to this, ..."
Abstract
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Cited by 561 (45 self)
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volatility persistence. Meanwhile, when judged by standard forecast evaluation criteria, based on the squared or absolute returns over daily or longer forecast horizons, standard volatility models provide seemingly poor forecasts. The present paper demonstrates that, contrary to this contention
A unified theory of underreaction, momentum trading and overreaction in asset markets
, 1999
"... We model a market populated by two groups of boundedly rational agents: “newswatchers” and “momentum traders.” Each newswatcher observes some private information, but fails to extract other newswatchers’ information from prices. If information diffuses gradually across the population, prices underre ..."
Abstract
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Cited by 606 (33 self)
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We model a market populated by two groups of boundedly rational agents: “newswatchers” and “momentum traders.” Each newswatcher observes some private information, but fails to extract other newswatchers’ information from prices. If information diffuses gradually across the population, prices
The algorithmic analysis of hybrid systems
- THEORETICAL COMPUTER SCIENCE
, 1995
"... We present a general framework for the formal specification and algorithmic analysis of hybrid systems. A hybrid system consists of a discrete program with an analog environment. We model hybrid systems as nite automata equipped with variables that evolve continuously with time according to dynamica ..."
Abstract
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Cited by 778 (71 self)
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We present a general framework for the formal specification and algorithmic analysis of hybrid systems. A hybrid system consists of a discrete program with an analog environment. We model hybrid systems as nite automata equipped with variables that evolve continuously with time according
Investing for the long run when returns are predictable
- Journal of Finance
, 2000
"... We examine how the evidence of predictability in asset returns affects optimal portfolio choice for investors with long horizons. Particular attention is paid to estimation risk, or uncertainty about the true values of model parameters. We find that even after incorporating parameter uncertainty, th ..."
Abstract
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Cited by 444 (0 self)
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We examine how the evidence of predictability in asset returns affects optimal portfolio choice for investors with long horizons. Particular attention is paid to estimation risk, or uncertainty about the true values of model parameters. We find that even after incorporating parameter uncertainty
The Complexity of Decentralized Control of Markov Decision Processes
- Mathematics of Operations Research
, 2000
"... We consider decentralized control of Markov decision processes and give complexity bounds on the worst-case running time for algorithms that find optimal solutions. Generalizations of both the fullyobservable case and the partially-observable case that allow for decentralized control are described. ..."
Abstract
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Cited by 411 (46 self)
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. For even two agents, the finite-horizon problems corresponding to both of these models are hard for nondeterministic exponential time. These complexity results illustrate a fundamental difference between centralized and decentralized control of Markov decision processes. In contrast to the problems
Universal coalgebra: a theory of systems
, 2000
"... In the semantics of programming, nite data types such as finite lists, have traditionally been modelled by initial algebras. Later final coalgebras were used in order to deal with in finite data types. Coalgebras, which are the dual of algebras, turned out to be suited, moreover, as models for certa ..."
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Cited by 408 (42 self)
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In the semantics of programming, nite data types such as finite lists, have traditionally been modelled by initial algebras. Later final coalgebras were used in order to deal with in finite data types. Coalgebras, which are the dual of algebras, turned out to be suited, moreover, as models
FUTURE PATHS FOR INTEGER PROGRAMMING AND LINKS TO Artificial Intelligence
, 1986
"... Scope and Purpose-A summary is provided of some of the recent (and a few not-so-recent) developments that otTer promise for enhancing our ability to solve combinatorial optimization problems. These developments may be usefully viewed as a synthesis of the perspectives of operations research and arti ..."
Abstract
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Cited by 379 (8 self)
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with formally demonstrable convergence properties. Abstract-Integer programming has benefited from many innovations in models and methods. Some of the promising directions for elaborating these innovations in the future may be viewed from a framework that links the perspectives of artificial intelligence
Common Persistence in Conditional Variances
- ECONOMETRIC REVIEWS
, 1993
"... Since the introduction of the autoregressive conditional heteroskedastic (ARCH) model in Engle (1982), numerous applications of this modeling strategy have already appeared. A common finding in many of these studies with high frequency financial or monetary data concerns the presence of an approxima ..."
Abstract
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Cited by 347 (20 self)
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Since the introduction of the autoregressive conditional heteroskedastic (ARCH) model in Engle (1982), numerous applications of this modeling strategy have already appeared. A common finding in many of these studies with high frequency financial or monetary data concerns the presence
Results 1 - 10
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8,953
