Data-Driven Optimization of Reward-Risk Ratio Measures

We investigate a class of fractional distributionally robust optimization problems with uncertain probabilities. They consist in the maximization of ambiguous fractional functions representing reward-risk ratios and have a semi-infinite programming epigraphic formulation. We derive a new fully parameterized closed-form to compute a new bound on the size of the Wasserstein ambiguity ball. We design a data-driven reformulation and solution framework. The reformulation phase involves the derivation of the support function of the ambiguity set and the concave conjugate of the ratio function. We design modular bisection algorithms which enjoy the finite convergence property. This class of problems has wide applicability in finance, and we specify new ambiguous portfolio optimization models for the Sharpe and Omega ratios. The computational study shows the applicability and scalability of the framework to solve quickly large, industry-relevant-size problems, which cannot be solved in one day with state-of-the-art mixed-integer nonlinear programming (MINLP) solvers.

Robust Adaptive Fractional Fast Terminal Sliding Mode Controller for Microgyroscope

In this paper, a robust adaptive fractional fast terminal sliding mode controller is introduced into the microgyroscope for accurate trajectory tracking control. A new fast terminal switching manifold is defined to ensure fast finite convergence of the system states, where a fractional-order differentiation term emerges into terminal sliding surface, which additionally generates an extra degree of freedom and leads to better performance. Adaptive algorithm is applied to estimate the damping and stiffness coefficients, angular velocity, and the upper bound of the lumped nonlinearities. Numerical simulations are presented to exhibit the validity of the proposed method, and the comparison with the other two methods illustrates its superiority.