List of Publications

Journal Papers

[1] Y. Yamada and J.A. Primbs, “Value-at-Risk (VaR) Estimation for Dynamic Hedging,” to appear in the International Journal of Theoretical and Applied Finance. (PS, PDF)

[2] Y. Yamada and S. Hara, “Global Optimization for Robust Control Synthesis based on the Matrix Product Eigenvalue Problem,” International Journal of Robust and Nonlinear Control, vol. 11, pp. 857—878, 2001. (PS, PDF)

[3] Y. Yamada and S. Hara, “Computational Complexity Analysis of Global Optimization for Matrix Product Eigenvalue Problem,” SICE Transactions, vol. 37, no.6, pp. 541—548, 2001.

[4] Y. Yamada and S. Hara, “Computational Complexity Analysis for Constantly Scaled H-infinity Control Global Optimization Problem: Block-Diagonal Case,” SICE Transactions, vol. 35, no. 4, pp. 506—514, 1999.

[5] Y. Yamada and S. Hara, “Global Optimization for H-infinity Control with Constant Diagonal scaling,” IEEE Transactions on Automatic Control, vol. 43, no.2, pp. 191—203, 1998. (PS)

[6] Y. Yamada, S. Hara, and H. Fujioka, “epsilon-Feasibility for H-infinity Control Problem with Constant Diagonal Scaling,” SICE Transactions, vol. 33, no. 3, pp. 155—162, 1997. (PS, PDF)

[7] Y. Yamada and S. Hara, “An LMI Approach to Local Optimization for Constantly Scaled H-infinity Control Problems,” International Journal of Control, vol. 67, no. 2, pp. 233—250, 1997.

[8] Y. Yamada and J.A. Primbs, “Distribution-Based Option Pricing on Lattice Asset Dynamics Models,” Submitted.

Springer Verlag Lecture Note Series

[9] Y. Yamada and J.A. Primbs, “Construction of Multinomial Lattice on Optimal Hedging,” Lecture Note Series on Computer Science, LNCS 2073, 579—588, Springer Verlag, 2001.

[10] S. Hara and Y. Yamada, “Computational Complexity in Robust Controller Synthesis,” in Learning, Control and Hybrid systems, Y. Yamamoto and S. Hara (Eds), Springer Verlag, pp. 56—80, 1998.

Refereed International Conferences

[11] Y. Yamada and J.A. Primbs, “Construction of Multinomial Lattice on Optimal Hedging,” Proceedings of the International Conference on Computational Science, 2001.

[12] Y. Yamada and J. A. Primbs, “Risk Estimates for Dynamic Hedging Using Convex Probability Bounds,” to appear in Proceedings of the 2001 American Control Conference.

[13] Y. Yamada and J.A. Primbs, “Distribution based Options Pricing on Lattice Asset Dynamics Models,” Proceedings of the 2000 American Control Conference.

[14] Y. Yamada and S. Hara, “Matrix-Based Bounding vs. Element-Wise Bounding for the MPEP Global Optimization,” Proceedings of the IEEE Conference on Decision and Control, pp. 3861—3866, 1998.

[15] Y. Yamada and S. Hara, “The Matrix Product Eigenvalue Problem: Global optimization for the spectral radius of a matrix product under convex constraints,” Proceedings of the IEEE Conference on Decision and Control, pp. 4926—4931, 1997.

[16] Y. Yamada and S. Hara, “Global Optimization for H-infinity Control with Block-diagonal Constant Scaling,” Proceedings of the IEEE Conference on Decision and Control, pp. 1325—1330, 1996.

[17] Y. Yamada, S. Hara, and H. Fujioka, “Global Optimization for Constantly Scaled H-infinity Control Problem,” Proceedings of the American Control Conference, pp. 427—430, 1995.

Other Presentations

[18] Y. Yamada and S. Hara, “Global Optimization for the Matrix Produce Eigenvalue Problem,” The 27th SICE Symposium on Control Theory, Hanamaki, Japan, 1998.

[19] Y. Yamada and S. Hara, “Global optimization of a matrix product eigenvalue under LMI constraints with monotonicity property,” The 26th SICE Symposium on Control Theory, Chiba, Japan, 1997.

[20] Y. Yamada and S. Hara, “A Global Algorithm for Scaled Spectral Norm Optimization,” The 25th SICE Symposium on Control Theory, Chiba, Japan, 1996.

[21] Y. Yamada and S. Hara, “Global Optimization for H-infinity Control with Constant Diagonal Scaling – Robust Performance Synthesis –,” The 24th SICE Symposium on Control Theory, Kariya, Japan, 1995.

[22] Y. Yamada , S. Hara, and H. Fujioka, “H-infinity Control Problem with Constant Diagonal Scaling – Global Optimization for Output Feedback Case –,” The 17th SICE Symposium on Dynamical System Theory, Chiba, Japan, 1994.

[23] Y. Yamada, H. Fujioka, and S. Hara, “Convexity in Constantly Scaled H-infinity Control Problem,” The 23th SICE Symposium on Control Theory, Kariya, Japan, 1994.

Technical Reports

[24] Y. Yamada and J.A. Primbs, “Distribution based Options Pricing on Lattice Asset Dynamics Models,” Technical Report No. CIT-CDS 00-003, California Institute of Technology, Pasadena, CA 91125, 2000.

[25] Y. Yamada and J.A. Primbs, “Value-at-Risk (VaR) Estimation for Dynamic Hedging,” Technical Report No. CIT-CDS 00-004, California Institute of Technology, Pasadena, CA 91125, 2000.

Dissertation and Thesis

[26] Y. Yamada, “Global Optimization for Robust Control Synthesis based on the Matrix Product Eigenvalue Problem,” Ph. D. dissertation, Tokyo Institute of Technology, Yokohama, Japan, 1998.

[27] Y. Yamada, “Numerical Optimization for Constantly Scaled H-infinity Control Problem via Output Feedback,” Master’s thesis, Tokyo Institute of Technology, Yokohama, Japan, 1995.

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