The Real Business Cycle (RBC) research program has grown spectacularly over the last decade, as its concepts and methods have diffused into mainstream macroeconomics. Yet, there is increasing skepticism that technology shocks are a major source of business fluctuations. This chapter exposits the basic RBC model and shows that it requires large technology shocks to produce realistic business cycles. While Solow residuals are sufficiently volatile, these imply frequent technological regress. Productivity studies permitting unobserved factor variation find much smaller technology shocks, suggesting the imminent demise of real business cycles. However, we show that greater factor variation also dramatically amplifies shocks: a RBC model with varying capital utilization yields realistic business cycles from small, nonnegative changes in technology.

/pdf/resuscitating-real-business-cycles-3jhtvvsksh.pdf

Resuscitating Real Business Cycles

The study of the stability properties of switched and hybrid systems gives rise to a number of interesting and challenging mathematical problems. The objective of this paper is to outline some of these problems, to review progress made in solving them in a number of diverse communities, and to review some problems that remain open. An important contribution of our work is to bring together material from several areas of research and to present results in a unified manner. We begin our review by relating the stability problem for switched linear systems and a class of linear differential inclusions. Closely related to the concept of stability are the notions of exponential growth rates and converse Lyapunov theorems, both of which are discussed in detail. In particular, results on common quadratic Lyapunov functions and piecewise linear Lyapunov functions are presented, as they represent constructive methods for proving stability and also represent problems in which significant progress has been made. We also comment on the inherent difficulty in determining stability of switched systems in general, which is exemplified by NP-hardness and undecidability results. We then proceed by considering the stability of switched systems in which there are constraints on the switching rules, through both dwell-time requirements and state-dependent switching laws. Also in this case the theory of Lyapunov functions and the existence of converse theorems are reviewed. We briefly comment on the classical Lur'e problem and on the theory of stability radii, both of which contain many of the features of switched systems and are rich sources of practical results on the topic. Finally we present a list of questions and open problems which provide motivation for continued research in this area.

/pdf/stability-criteria-for-switched-and-hybrid-systems-cmu7vlfa6a.pdf

Stability Criteria for Switched and Hybrid Systems

This chapter surveys research on agent-based models used in finance. It will concentrate on models where the use of computational tools is critical for the process of crafting models which give insights into the importance and dynamics of investor heterogeneity in many financial settings.

/pdf/agent-based-computational-finance-2ofm9w8yv3.pdf

Agent-based Computational Finance

We consider the frequency domain form of proper orthogonal decomposition (POD), called spectral proper orthogonal decomposition (SPOD). Spectral POD is derived from a space–time POD problem for statistically stationary flows and leads to modes that each oscillate at a single frequency. This form of POD goes back to the original work of Lumley (Stochastic Tools in Turbulence, Academic Press, 1970), but has been overshadowed by a space-only form of POD since the 1990s. We clarify the relationship between these two forms of POD and show that SPOD modes represent structures that evolve coherently in space and time, while space-only POD modes in general do not. We also establish a relationship between SPOD and dynamic mode decomposition (DMD); we show that SPOD modes are in fact optimally averaged DMD modes obtained from an ensemble DMD problem for stationary flows. Accordingly, SPOD modes represent structures that are dynamic in the same sense as DMD modes but also optimally account for the statistical variability of turbulent flows. Finally, we establish a connection between SPOD and resolvent analysis. The key observation is that the resolvent-mode expansion coefficients must be regarded as statistical quantities to ensure convergent approximations of the flow statistics. When the expansion coefficients are uncorrelated, we show that SPOD and resolvent modes are identical. Our theoretical results and the overall utility of SPOD are demonstrated using two example problems: the complex Ginzburg–Landau equation and a turbulent jet.

/pdf/spectral-proper-orthogonal-decomposition-and-its-422122q6iv.pdf

Spectral proper orthogonal decomposition and its relationship to dynamic mode decomposition and resolvent analysis

A path planning and tracking framework is presented to maintain a collision-free path for autonomous vehicles. For path-planning approaches, a 3-D virtual dangerous potential field is constructed as a superposition of trigonometric functions of the road and the exponential function of obstacles, which can generate a desired trajectory for collision avoidance when a vehicle collision with obstacles is likely to happen. Next, to track the planned trajectory for collision avoidance maneuvers, the path-tracking controller formulated the tracking task as a multiconstrained model predictive control (MMPC) problem and calculated the front steering angle to prevent the vehicle from colliding with a moving obstacle vehicle. Simulink and CarSim simulations are conducted in the case where moving obstacles exist. The simulation results show that the proposed path-planning approach is effective for many driving scenarios, and the MMPC-based path-tracking controller provides dynamic tracking performance and maintains good maneuverability.

Path Planning and Tracking for Vehicle Collision Avoidance Based on Model Predictive Control With Multiconstraints

1. Control Methodology 2. Dynamical Systems 3. Applications to Social and Environmental Problems

A V Kryazhimskii

Papers

Dynamics and Control