To meet the requirements of modern air combat,an integrated fire/flight control(IFFC)system is designed to achieve automatic precision tracking and aiming for armed helicopters and release the pilot from heavy target ...To meet the requirements of modern air combat,an integrated fire/flight control(IFFC)system is designed to achieve automatic precision tracking and aiming for armed helicopters and release the pilot from heavy target burden.Considering the complex dynamic characteristics and the couplings of armed helicopters,an improved automatic attack system is con-structed to integrate the fire control system with the flight con-trol system into a unit.To obtain the optimal command signals,the algorithm is investigated to solve nonconvex optimization problems by the contracting Broyden Fletcher Goldfarb Shanno(C-BFGS)algorithm combined with the trust region method.To address the uncertainties in the automatic attack system,the memory nominal distribution and Wasserstein distance are introduced to accurately characterize the uncertainties,and the dual solvable problem is analyzed by using the duality the-ory,conjugate function,and dual norm.Simulation results verify the practicality and validity of the proposed method in solving the IFFC problem on the premise of satisfactory aiming accu-racy.展开更多
The Kelly strategy is a common approach in portfolio optimization problems that aims to maximize the expected portfolio growth rate in the long term.Its computation requires complete knowledge of the asset return dist...The Kelly strategy is a common approach in portfolio optimization problems that aims to maximize the expected portfolio growth rate in the long term.Its computation requires complete knowledge of the asset return distribution,which is obviously not observable,but can be inferred from sample data.Motivated by recent developments in data-driven optimization methods,we propose a new class of coherent Wasserstein data-driven Kelly portfolio optimization models.In particular,we establish a class of ambiguity sets based on coherent Wasserstein metrics,and these new metrics can strike a good balance between robustness and data-drivenness,thus providing richer choices for ambiguity set design.The Kelly portfolio optimization model,which is data-driven and based on coherent Wasserstein balls,can be solved efficiently as a finite-dimensional convex program.This model also provides a robust data-driven solution.In addition,we numerically investigate the proposed model and find that it outperforms the type-1 Wasserstein-Kelly portfolio,especially the classical Kelly portfolio.Moreover,it indicates that we can obtain a portfolio with higher final value and stability,especially in controlling volatility and maximum drawdown.展开更多
基金supported by the National Natural Science Foundation of China(62373187)Forward-looking Layout Special Projects(ILA220591A22).
文摘To meet the requirements of modern air combat,an integrated fire/flight control(IFFC)system is designed to achieve automatic precision tracking and aiming for armed helicopters and release the pilot from heavy target burden.Considering the complex dynamic characteristics and the couplings of armed helicopters,an improved automatic attack system is con-structed to integrate the fire control system with the flight con-trol system into a unit.To obtain the optimal command signals,the algorithm is investigated to solve nonconvex optimization problems by the contracting Broyden Fletcher Goldfarb Shanno(C-BFGS)algorithm combined with the trust region method.To address the uncertainties in the automatic attack system,the memory nominal distribution and Wasserstein distance are introduced to accurately characterize the uncertainties,and the dual solvable problem is analyzed by using the duality the-ory,conjugate function,and dual norm.Simulation results verify the practicality and validity of the proposed method in solving the IFFC problem on the premise of satisfactory aiming accu-racy.
基金supported by the National Natural Science Foundation of China(12401625)the China Postdoctoral Science Foundation(2024M753074)+1 种基金the Postdoctoral Fellowship Program of CPSF(GZC20232556)the Fundamental Research Funds for the Central Universities(WK2040000108).
文摘The Kelly strategy is a common approach in portfolio optimization problems that aims to maximize the expected portfolio growth rate in the long term.Its computation requires complete knowledge of the asset return distribution,which is obviously not observable,but can be inferred from sample data.Motivated by recent developments in data-driven optimization methods,we propose a new class of coherent Wasserstein data-driven Kelly portfolio optimization models.In particular,we establish a class of ambiguity sets based on coherent Wasserstein metrics,and these new metrics can strike a good balance between robustness and data-drivenness,thus providing richer choices for ambiguity set design.The Kelly portfolio optimization model,which is data-driven and based on coherent Wasserstein balls,can be solved efficiently as a finite-dimensional convex program.This model also provides a robust data-driven solution.In addition,we numerically investigate the proposed model and find that it outperforms the type-1 Wasserstein-Kelly portfolio,especially the classical Kelly portfolio.Moreover,it indicates that we can obtain a portfolio with higher final value and stability,especially in controlling volatility and maximum drawdown.
