Discrete-time Approximation Research Articles

Optimal contracting with asymmetric belief and complementarity

PurposeIn this study, a dynamic contracting model is developed between a venture capitalist (VC) and an entrepreneur (EN) to explore the influence of asymmetric beliefs regarding output-relevant parameters, agency conflicts and complementarity on the VC's posterior beliefs through the EN's unobservable effort choices to influence the optimal dynamic contract.Design/methodology/approachThe authors construct the contracting model by incorporating the VC's effort, which is ignored in most studies. Using backward induction and a discrete-time approximation approach, the authors solve the continuous-time contract design problem, which evolves into a nonlinear ordinary differential equation (ODE).FindingsThe optimal equity share that the VC provides to the EN decreases over time. In accordance with the empirical evidence, the EN's optimistic beliefs regarding the project's profitability positively affect its equity share. However, the interactions between the optimal equity share, project risk and both partners' degrees of risk aversion are not monotonic. Moreover, the authors find that the optimal equity share increases with the degree of complementarity, which indicates that the EN is willing to cooperate with the VC. This study’s results also show that the optimal equity shares at each time are interdependent if the VC is risk-averse and independent if the VC is risk-neutral.Research limitations/implicationsIn conclusion, the authors highlight two potential directions for future research. First, the authors only considered a single VC, whereas in practice, a risk project may be carried out by multiple VCs, and it is interesting to discuss how the degree of complementarity affects the number of VCs that ENs contract. Second, the authors may introduce jumps and consider more general multivariate stochastic volatility models for output dynamics and analyze the characteristics of the optimal contracts. Third, further research can deal with other forms of discretionary output functions concerning complementarity, such as Cobb–Douglas and constant elasticity of substitution (See Varian, 1992).Social implicationsThe results of this study have several implications. First, it offers a novel approach to designing dynamic contracts that are specific and easy to operate. To improve the complicated venture investment situation and abate conflict between contractual parties, this study plays a good reference role. Second, the synergy effect proposed in this study provides a theoretical explanation for the executive compensation puzzle in economics, in which managers are often “rewarded for luck” (Bertrand and Mullainathan, 2001; Wu et al., 2018). This result indicates a realistic perspective on financing and establishing cooperative relationships, which enhances the efficiency of venture investment. Third, from an empirical standpoint, one can apply this framework to study research and development (R&D) problems.Originality/valueFirst, the authors introduce asymmetric beliefs and Bayesian learning to study the dynamic contract design problem and discuss their effects on equity share. Second, the authors incorporate the VC's effort into the contracting problem, and analyze the synergistic effect of effort complementarity on the optimal dynamic contract.

Nonlinear and Linearized Models in Thermoviscoelasticity

We consider a quasistatic nonlinear model in thermoviscoelasticity at a finite-strain setting in the Kelvin–Voigt rheology, where both the elastic and viscous stress tensors comply with the principle of frame indifference under rotations. The force balance is formulated in the reference configuration by resorting to the concept of nonsimple materials, whereas the heat transfer equation is governed by the Fourier law in the deformed configurations. Weak solutions are obtained by means of a staggered in-time discretization where the deformation and the temperature are updated alternatingly. Our result refines a recent work by Mielke and Roubíček (Arch Ration Mech Anal 238:1–45, 2020) since our approximation does not require any regularization of the viscosity term. Afterwards, we focus on the case of deformations near the identity and small temperatures, and we show by a rigorous linearization procedure that weak solutions of the nonlinear system converge in a suitable sense to solutions of a system in linearized thermoviscoelasticity. The same property holds for time-discrete approximations and we provide a corresponding commutativity result.

A unified approach for digital realization of fractional order operator in delta domain

The fractional order operator (s?a,0 < a <1) plays the pivotal role for the realization of fractional orders systems (FOS). For the realization of the FOS, fractional order operator (FOO) needs to be realized either in discrete or continuous time domain. Discrete time rational approximation of FOO in the z -domain fails to provide meaningful information at fast sampling interval. Moreover, z domain rational transfer function becomes highly sensitive with respect to its coefficients variation resulting to the poor finite word length effects for digital realization. In the other hand delta operator parameterized system allows to develop unification of continuous and discrete time formulations leading to the development of a unified framework for digital realization at fast sampling interval. The discrete time approximation of the FOO in delta domain is found to be robust to its coefficient variation in comparison to the shift operator based discretization of FOO. In this paper, discrete d -operator parameterization is proposed for the digital realization using direct discretization of FOO. As a result, superior finite word length effect is observed for the realization of the FOO in discrete delta domain. Fractional order operator with different orders (a ) are considered for the realization purpose using the proposed method and the results obtained using MATLare presented for validation.

On the Synthesis of Discrete-time Energy-based Regulators for Port-Hamiltonian Systems

This paper aims at describing a synthesis procedure of discrete-time, energy-based regulators for continuous-time port-Hamiltonian systems. The methodology consists of three steps. The first twos deal with the definition of a discrete-time approximation of the plant to be successively employed in the development of the control law. Here, the focus is mainly on the last step, i.e. on how to interconnect digital controller and plant. The coupling is implemented via a zero-order hold and relies on the solution of an optimisation problem that determines the “best” and “minimal” correction to be applied to the nominal action to achieve the same performances obtained when the regulator is in closed-loop with the discrete-time model of the plant. This is the reference scenario used by the designer to develop and tune the control law. The procedure (time-discretisation, control design and coupling implementation) is illustrated in an example.

An ultra-precise fast fourier transform

<h2>Abstract</h2> The Fast Fourier Transform (FFT) is a cornerstone of digital signal processing, generating a computationally efficient estimate of the frequency content of a time series. Its limitations include: (1) information is only provided at discrete frequency steps, so further calculation, for example interpolation, is often used to obtain improved estimates of peak frequencies and amplitudes; (2) ‘energy' from spectral peaks may ‘leak' into adjacent frequencies, potentially causing lower amplitude peaks to be distorted or hidden; (3) the FFT, like many other DSP algorithms, is a discrete time approximation of continuous time mathematics. This paper describes a new FFT calculation which uses two windowing functions, derived from Prism Signal Processing. Separate FFT results are obtained from each windowing function applied to the data set. Calculations based on the two FFT results yields high precision estimates of spectral peak location (frequency), amplitude and phase. This technique addresses FFT limitations as follows: (1) spectral peak parameters are calculated directly, unrestricted by FFT frequency step discretization; (2) the windowing functions have narrowband characteristics which attenuate and localize spectral leakage; (3) the windowing functions incorporate a Romberg Integration mechanism to overcome the discrete/continuous time approximation.

Wasserstein asymptotics for the empirical measure of fractional Brownian motion on a flat torus

We establish asymptotic upper and lower bounds for the Wasserstein distance of any order p≥1 between the empirical measure of a fractional Brownian motion on a flat torus and the uniform Lebesgue measure. Our inequalities reveal an interesting interaction between the Hurst index H and the dimension d of the state space, with a “phase-transition” in the rates when d=2+1/H, akin to the Ajtai–Komlós–Tusnády theorem for the optimal matching of i.i.d. points in two-dimensions. Our proof couples PDE’s and probabilistic techniques, and also yields a similar result for discrete-time approximations of the process, as well as a lower bound for the same problem on Rd.

Backward Itô–Ventzell and stochastic interpolation formulae

We present a novel backward Itô–Ventzell formula and an extension of the Alekseev–Gröbner interpolating formula to stochastic flows. We also present some natural spectral conditions that yield direct and simple proofs of time uniform estimates of the difference between the two stochastic flows when their drift and diffusion functions are not the same, yielding what seems to be the first results of this type for this class of anticipative models. We illustrate the impact of these results in the context of diffusion perturbation theory, comparisons for solutions of stochastic differential equations, interacting diffusions and discrete time approximations.

Continuous Versus Discrete Time in Dynamic Common Pool Resource Game Experiments

We study the impact of discrete versus continuous time on the behavior of agents in the context of a dynamic common pool resource game. To this purpose, we consider a linear quadratic model and conduct a lab experiment in which agents exploit a renewable resource with an infinite horizon. We use a differential game for continuous time and derive its discrete time approximation. In the single agent setting, we fail to detect, on a battery of indicators, any difference between agents’ behavior in discrete and continuous time. Conversely, in the two-player setting, significantly more agents can be classified as myopic and end up with a low resource level in discrete time. Continuous time seems to allow for better cooperation and thus greater sustainability of the resource than does discrete time.

A singular limit of a family of variational evolutions for a brittle elastic bi-layer

We consider a system of one-dimensional elastic and brittle media coupled by an elastic term. Both the coupling and the fracture-energy coefficient depend on a small parameter ɛ. We describe the quasistatic motion of this system under varying boundary conditions at ɛ fixed, interpreting the fracture energy term as a dissipation as in the variational approach to fracture growth, by analysing a time-discrete approximation. The motion is characterized by the onset of successive fracture sites. We study the behaviour of these evolutions with vanishing dissipations as ɛ→0, characterizing the possible limit of the energies by a one-parameter family of time-parameterized functions. We show that, after an initial time interval, a function in this family corresponds to a minimum of the Γ-limit of the energies of the system only for a discrete set of the values of the quantity parameterizing boundary conditions.

Sampled-Data Model Predictive Control

This paper focus on model predictive control (MPC) design in the context of sampled-data control systems with full-state measurements. It is shown that recent results on this area can be successfully generalized to cope with sampled-data MPC. The open-loop plant is subjected to polytopic parameter uncertainty and at sampling times a controlled output variable satisfies a set of convex constraints. A guaranteed H2 performance index with infinity horizon is minimized such as the feedback control preserves asymptotic stability and feasibility. The design conditions are expressed though differential linear matrix inequalities (DLMIs). Continuous-time systems are treated with no kind of discrete-time modeling approximation. Comparisons with classical methods from the literature dealing with continuous-time systems are presented and discussed. Examples are included for illustration.

Derivation of a one-dimensional von K\xe1rm\xe1n theory for viscoelastic ribbons

We consider a two-dimensional model of viscoelastic von Kármán plates in the Kelvin’s-Voigt’s rheology derived from a three-dimensional model at a finite-strain setting in Friedrich and Kružík (Arch Ration Mech Anal 238: 489–540, 2020). As the width of the plate goes to zero, we perform a dimension-reduction from 2D to 1D and identify an effective one-dimensional model for a viscoelastic ribbon comprising stretching, bending, and twisting both in the elastic and the viscous stress. Our arguments rely on the abstract theory of gradient flows in metric spaces by Sandier and Serfaty (Commun Pure Appl Math 57:1627–1672, 2004) and complement the Gamma -convergence analysis of elastic von Kármán ribbons in Freddi et al. (Meccanica 53:659–670, 2018). Besides convergence of the gradient flows, we also show convergence of associated time-discrete approximations, and we provide a corresponding commutativity result.

Rothe–Legendre pseudospectral method for a semilinear pseudoparabolic equation with nonclassical boundary condition

A semilinear pseudoparabolic equation with nonlocal integral boundary conditions is studied in the present paper. Using Rothe method, which is based on backward Euler finitedifference schema, we designed a suitable semidiscretization in time to approximate the original problem by a sequence of standard elliptic problems. The questions of convergence of the approximation scheme as well as the existence and uniqueness of the solution are investigated. Moreover, the Legendre pseudospectral method is employed to discretize the time-discrete approximation scheme in the space direction. The main advantage of the proposed approach lies in the fact that the full-discretization schema leads to a symmetric linear algebraic system, which may be useful for theoretical and practical reasons. Finally, numerical experiments are included to illustrate the effectiveness and robustness of the presented algorithm.

Flexible Continuous-Time Modeling for Multi-Objective Day-Ahead Scheduling of CHP Units

Increasing applications of CHP units have turned the problem of finding the best optimization model into a significant subject for scholars. In this respect, this paper is aimed at driving a novel formulation to the multi-objective day-ahead scheduling of CHP units using Bernstein polynomials, which more optimally schedules power and heat generations as well as ramping trajectories. This procedure includes yielding an affine function that closely approximates real-time net-load and generation trajectories, which is demonstrated to have a superior performance to the conventional hourly day-ahead scheduling of CHP units based on discrete-time approximation. The problem of how to handle various objective functions by function space method is also addressed. The simulations conducted on the sample test systems, which consist of CHP systems, thermal and heat-only units, as well as thermal and electrical loads, show that the suggested multi-objective model can perfectly cover the total heat and electrical loads in terms of economic and environmental criteria. More importantly, the results indicate that the accuracy of the proposed approach renders cost saving of 1.67% and emission saving of 1.46% in comparison with the conventional hourly-based model, apart from leading to fewer ramping scarcities in real-time operations.

Risk sensitive optimal stopping

In this paper we consider continuous time risk sensitive optimal stopping problem. Using the probabilistic approach and dyadic discrete time approximations we prove continuity of the generic optimal stopping value function for a large class of Feller-Markov processes. Also, we provide formulas for the corresponding optimal stopping policies and study regularity of approximating functions.

Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation

In this paper, we consider discrete time approximations for stochastic differential equations with the form: where is a continuous function with locally bounded variation, are measurable functions, and the integral with respect to is the pathwise Riemann-Stieltjes integral, SH is a subfractional Brownian motion with σ is a deterministic (possibly discontinuous) function.

Parabolic problem for moving/evolving body with perfect contact to neighborhood

We develop a method for solving problems with moving/evolving interfaces between heterogeneous media in Rd governed by parabolic partial differential equations. This technique can be applied in various engineering and biological applications. We assume a perfect contact at the evolving interface. The moving jump of material functions is tackled by the Reynolds transport theorem. The well-posedness of the setting is shown and the error estimates for time-discrete approximations are established in suitable function spaces.

A continuous-time mathematical model and discrete approximations for the aggregation of β-Amyloid

Alzheimer's disease is a degenerative disorder characterized by the loss of synapses and neurons from the brain, as well as the accumulation of amyloid-based neuritic plaques. While it remains a matter of contention whether β-amyloid causes the neurodegeneration, β-amyloid aggregation is associated with the disease progression. Therefore, gaining a clearer understanding of this aggregation may help to better understand the disease. We develop a continuous-time model for β-amyloid aggregation using concepts from chemical kinetics and population dynamics. We show the model conserves mass and establish conditions for the existence and stability of equilibria. We also develop two discrete-time approximations to the model that are dynamically consistent. We show numerically that the continuous-time model produces sigmoidal growth, while the discrete-time approximations may exhibit oscillatory dynamics. Finally, sensitivity analysis reveals that aggregate concentration is most sensitive to parameters involved in monomer production and nucleation, suggesting the need for good estimates of such parameters.

On discrete time Prabhakar-generalized fractional Poisson processes and related stochastic dynamics

Recently the so-called Prabhakar generalization of the fractional Poisson counting process attracted much interest for his flexibility to adapt to real world situations. In this renewal process the waiting times between events are IID continuous random variables. In the present paper we analyze discrete-time counterparts: Renewal processes with integer IID interarrival times which converge in well-scaled continuous-time limits to the Prabhakar-generalized fractional Poisson process. These processes exhibit non-Markovian features and long-time memory effects. We recover for special choices of parameters the discrete-time versions of classical cases, such as the fractional Bernoulli process and the standard Bernoulli process as discrete-time approximations of the fractional Poisson and the standard Poisson process, respectively. We derive difference equations of generalized fractional type that govern these discrete time-processes where in well-scaled continuous-time limits known evolution equations of generalized fractional Prabhakar type are recovered. We also develop in Montroll–Weiss fashion the “Prabhakar Discrete-time random walk (DTRW)” as a random walk on a graph time-changed with a discrete-time version of Prabhakar renewal process. We derive the generalized fractional discrete-time Kolmogorov–Feller difference equations governing the resulting stochastic motion. Prabhakar-discrete-time processes open a promising field capturing several aspects in the dynamics of complex systems.

Stabilisation of multiply-time-delayed sampled-data systems via quasi ℋ∞ control designed with DLMI

This paper considers stabilisation of a class of multiply-time-delayed (MTD) sampled-data systems via variation-of-constant discretisation (VOCD) re-modelling and discrete-time performance control optimisation. More precisely, by utilising the variation-of-constants formula for solutions to functional differential equations, discrete-time re-modelling of sampled-data systems with MTD plants is derived, which yields finite-dimensional linear time-invariant discrete models with augmented states. Based on the VOCD re-modelling, structural features and dynamics of the MTD sampled-data systems are examined in the discrete-time approximation sense, and then stabilisation is achieved by means of the performance controller design with the discrete linear matrix inequalities (DLMI). This provides us with necessary and sufficient conditions in stabilisation and the controller parametrisation is numerically tractable in the DLMI sense. Numerical examples are included to illustrate effectiveness of the proposed method.

On the observability inequalities of time discrete 2‐D integro‐differential systems in square domains

AbstractIn this article, we consider an observability inequality of time discrete approximation schemes for a class of integro‐differential equations in square domains. The equation is discretized in time by the back‐ward Euler method in combination with Lubich's convolution quadrature. We derive uniform observability inequality for time discretization schemes in which the high frequency components have been filtered. In this way, the well‐known exact observability inequality of the integro‐differential systems (see Loreti and Sforza, Evolution Equations and Control Theory, 2018, Vol. 7, No. 1, pp. 61–77, Thm. 1.2) can be reproduced as the limit, as the time step Δt → 0. The time discrete observability inequality is established by means of a time‐discrete version of the classical harmonic analysis approach. Numerical experiments are presented to show the theoretical analysis.