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On the basis of the theory of option pricing,We study the connection between America call option and European call option;Under the assumption condition of Black-Scholes formula ,use the theory of martingales and stopping time,get the conclusion that: the price of America call option equals the price of European call option; Discuss some numeric computing methods of the put America option pricing, with the invarional inequaility for optimal stopping, prove the boundary property of America put option price ...

基于期权定价的基本理论,研究美式看涨期权与欧式看涨期权之间的关系;在Black-Sc holes公式假设条件下,利用鞅和停时理论,得美式看涨期权的价格与欧式看涨期权的价格相等;探讨美式看跌期权价格的数字化计算,在相关假设条件下,利用基于最优化时的变分不等式证明了美式看跌期权价格的有界性,并介绍了几种美式看跌期权价格的数字化计算方法。

A sufficient condition is proposed for robust asymptotic stability of the autonomic system in terms of linear matrix inequality.

基于线性矩阵不等式的方法推导了该系统鲁棒渐近稳定的充分条件,并给出了系统状态反馈镇定器和理想滑动模态存在的充分条件。

In the fourth chapter, we discussion the characterization of admissible in the general linear model under equality constraint and inequality constraint, we give the necessary and sufficient condition that homogeneous linear estimator is admissible estimator, and by using the relationship between homogeneous and inhomogeneous linear estimator, we obtain the characterization of admissible inhomogeneous linear estimator.

第四章分别在带等式约束条件以及不等式约束条件下,讨论了一般线性模型线性估计的可容许性特征,给出了在约束条件下齐次线性估计为可容许估计的充分必要条件,同时利用齐次线性估计与非齐次线性估计之间的关系,把齐次线性估计的可容许性特征推广到了非齐次线性估计的可容许性特征。

The whole state space is divided into invariant subspace, safe subspace, dangerous subspace and dead subspace according to the constraints and the safe margin of the system, and the state reference trajectory is chosen with respect to the subspace in which the state prediction lies in, in this way GPC is applied under the prerequisite for the viability of the system.

研究了系统在线性不等式约束条件下的预测控制问题,将广义预测控制算法化为对控制量的一步优化,根据约束条件和输出预测在线修改控制量的加权系数,提出了一种变加权系数的改进算法,使系统始终满足给定的约束条件。

Aim at the shortage of vertically additive method by which we can't discuss forced oscillations of systems of partial functional differential equations,we directly use the oscillatory definition,Green's formula and boundary condition of homogeneous Neumann to change the oscillatory problem of solutions to a class of systems of quasilinear parabolic equations of neutral type into the problem of which functional differential inequality haven't eventually positive solution.

针对垂直相加法无法讨论泛函偏微分方程组的强迫振动性的不足,直接利用振动的定义、Green公式以及齐次Neumann边界条件把中立型抛物微分方程组的振动问题转化为泛函微分不等式不存在最终正解的问题,然后利用最终正解的定义及上下极限得到了在齐次Neumann边界条件下判别其所有解振动或全振动的充分条件。

Then, some criteria, i.e., the sufficient conditions, for the asymptotical stability of the system in form of mean square are given by linear matrix inequality, which can easily be checked by Matlab toolbox.

然后基于线性矩阵不等式技术,给出了时滞随机分布参数系统稳定的充分条件,所得到的结果表示成线性矩阵不等式的形式,所以易于验证。

These conditions do not relate to the unknown parameters but the dimension of model, so it is easy to apply in practice. Next, we consider the relative efficiency of LSE against the beast linear unbiased estimator.

我们给出了Pitman准则下,最小二乘估计优于Within估计的一个充分条件,最后又得到了广义均方误差意义下两步估计一致的优于Between估计和Within估计的充分条件,并且这些条件只是和模型维数有关而和未知参数无关的一些不等式关系,因此便于实际应用。

The existence of the solution is also demonstrated according to the sufficient conditions for the solution of the elliptic variational inequality.

首先证明了所构造泛函的强制性,从而证明了所构造的等价变分不等式解的惟一性,并根据椭圆型变分不等式解存在的充分条件论证了弹塑性接触问题解的存在性,为该问题的变分极值原理的建立莫定了数学理论基础。

First, we mainly study a class of generalized set-valued vector variational inequality problem.

首先,我们主要研究了一类广义向量集值变分不等式问题,将文献[7]中给出的向量单值情形下的广义L-条件和广义v-强制条件(C_2)推广到向量集值的情形,从而得到新的解的存在性条件,并将它应用到广义向量相补问题_T上。

The robust dissipativity for given supply rate has been studied for uncertain impulsive systems. The dissipativity conditions for such systems are derived by means of storage function method, matrix inequality and dissipativity inequality.

对不确定脉冲动力系统在给定供给率时的鲁棒耗散性进行了研究,利用储存函数法、矩阵不等式以及耗散不等式等方法,得到了不确定脉冲系统的鲁棒耗散性的充分条件。

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