Dr Paresh Date

Dr Paresh Date Director of Research
Room: John Crank 310
Brunel University London
Uxbridge
UB8 3PH
United Kingdom
Tel: +44 (0)1895 265613
Fax: +44 (0)1895 269727
Email: paresh.date@brunel.ac.uk
Web: Personal Website
Web: ResearcherID Profile
Web: Google Scholar Profile

Research Interests

My main research interest is developing algorithms for latent state estimation or filtering in nonlinear time series and applications of filtering, especially in mathematical finance. Since 2008, I have published seven journal papers and delivered four PhD students on topics related to filtering. I also conducted a workshop, partially funded by the London Mathematical Society, on the mathematics of filtering and its applications in 2011.

Besides this key topic, I have a diverse research portfolio which includes system identification, scenario generation, insurance mathematics and efficient ways of computing tail distributions in financial portfolios which include nonlinear instruments.

University Research Centre Membership

Research Group Membership

Publications

Journal Papers

(2011) Date, P., Canepa, A. and Abdel-Jawad, M., A mixed integer linear programming model for optimal sovereign debt issuance, European Journal of Operational Research 214 (3) : 749- 758 Download publication

(2011) Li, P., Lam, J., Wang, Z. and Date, P., Positivity-preserving H∞ model reduction for positive systems, AutomaticaIterative algorithm 47 (7) : 1504- 1511 Download publication

(2009) Date, P., Lade, RJ., Mitra, G. and Moore, PE., Modelling the risk of failure in explosion protection installations, Journal of Loss Prevention in the Process Industries 22 (4) : 492- 498 Download publication

(2009) Date, P. and Wang, C., Linear Gaussian affine term structure models with unobservable factors: calibration and yield forecasting, European Journal of Operational Research 195 (1) : 156- 166 Download publication

(2008) Date, P., Jalen, L. and Mamon, R., A new algorithm for latent state estimation in non-linear time series models, Applied Mathematics and Computation 203 (1) : 224- 232 Download publication

(2008) Date, P., Mamon, R. and Jalen, L., A new moment matching algorithm for sampling from partially specified symmetric distributions, Operations Research Letters 36 (6) : 669- 672 Download publication

(2004) Date, P. and Lanzon, A., A combined iterative scheme for identification and control redesigns, International Journal of Adaptive Control and Signal Processing 18 (8) : 629- 644

(2004) Date, P. and Vinnicombe, G., Algorithms for worst case identification H-infinity in the nu-gap metric, Automatica 40 (6) : 995- 1002 Download publication

(2004) Date, P. and Vinnicombe, G., Measuring distance between systems under bounded power excitation, SIAM Journal on Control and Optimization 43 (3) : 922- 936 Download publication

(1997) Nataraj, PSV., Date, P. and Umrani, A., Robust feedback synthesis for nonlinear integrodifferential equation models using generalized describing functions, Automatica 33 (5) : 959- 962

Conference Papers

(2009) Gashi, B. and Date, P., Optimal portfolio control with trading strategies of finite variation, 44th IEEE Conference on Decision and Control 2005 and 2005 European Control Conference (CDC-ECC '05) Download publication

(2002) Date, P. and Lanzon, A., An algorithm for joint identification and control, 20th Annual American Control Conference (ACC)

(2001) Date, P. and Vinnicombe, G., Measuring distance between systems under bounded power excitation, American Control Conference (ACC)

(1998) Date, P. and Vinnicombe, G., New untuned algorithms for worst case identification, 37th IEEE Conference on Decision and Control

Page last updated: Tuesday 21 October 2014