Results 231 to 240 of about 116,653,606 (265)
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A Computational Method for Stochastic Impulse Control Problems
Mathematics of Operations Research, 2010We consider the instantaneous control of a diffusion process on the real line. Two types of costs are incurred. The holding cost rate, incurred at all times, is modeled by a convex function. Transactions costs have both fixed and proportional components, making it an impulse control problem.
Haolin Feng, Kumar Muthuraman
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Stochastic Optimal Control Methods for Investigating the Power of Morphological Computation
Artificial Life, 2013One key idea behind morphological computation is that many difficulties of a control problem can be absorbed by the morphology of a robot. The performance of the controlled system naturally depends on the control architecture and on the morphology of the robot.
Elmar A. Rückert, Gerhard Neumann
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A Computational Method for Stochastic Optimal Control Problems in Financial Mathematics
Asian Journal of Control, 2015AbstractPrinciple of optimality or dynamic programming leads to derivation of a partial differential equation (PDE) for solving optimal control problems, namely the Hamilton‐Jacobi‐Bellman (HJB) equation. In general, this equation cannot be solved analytically; thus many computing strategies have been developed for optimal control problems.
Kafash, Behzad +2 more
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Stochastic optimal control theory and its computational methods
International Journal of Systems Science, 1980Abstract In this paper, we consider an optimal control problem of a diffusion process governed by an Ito differential equation. The problem is first converted into a distributed parameter optimal control problem. A theoretical method for improving a control, if it is not an extrernal control, is presented, from which a necessary condition for ...
K. L. TEO, D. W. REID, I. E. BOYD
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Computation of distorted probabilities for diffusion processes via stochastic control methods
Insurance: Mathematics and Economics, 2000zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Young, Virginia R. +1 more
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Gradient method for computing optimal controls for stochastic differential equations
Stochastic Analysis and Applications, 1987Three techniques are described for solving completely observable stochastic control problems. Known optimality conditions are used to develop gradient–type algorithms.
N.U. Ahemd, T.E. Dabbous, H.W. Wong
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Proceedings of 1994 33rd IEEE Conference on Decision and Control, 2002
A stochastic adaptive control problem is formulated and solved for an investment model that includes stocks and bonds where there is a fee for selling the stocks. It is assumed that the average rate of return of the stocks is unknown. For the known model Taksar, Klass and Assaf (1988) describe the model in terms of the ratio of the wealth in stocks and
T. Duncan +3 more
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A stochastic adaptive control problem is formulated and solved for an investment model that includes stocks and bonds where there is a fee for selling the stocks. It is assumed that the average rate of return of the stocks is unknown. For the known model Taksar, Klass and Assaf (1988) describe the model in terms of the ratio of the wealth in stocks and
T. Duncan +3 more
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SIAM Journal on Control and Optimization, 2012
We discuss a stochastic linear-quadratic control problem in which a stochastic algebraic Riccati equation derived from the problem is unsolvable. The Riccati equation has no solution when the state and control weighting matrices in the objective function of the problem are indefinite, and the conventional methods cannot solve the problem when the ...
Hideaki Iiduka, Isao Yamada
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We discuss a stochastic linear-quadratic control problem in which a stochastic algebraic Riccati equation derived from the problem is unsolvable. The Riccati equation has no solution when the state and control weighting matrices in the objective function of the problem are indefinite, and the conventional methods cannot solve the problem when the ...
Hideaki Iiduka, Isao Yamada
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2015 54th IEEE Conference on Decision and Control (CDC), 2015
A fundamental question in the study of stochastic biochemical reaction networks is what values of mean and variance of the species present in the network are obtainable by perturbing the system with an external input. Here, we propose a computationally efficient technique to answer this question, for networks involving zero and first order reactions ...
Francesca Parise +2 more
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A fundamental question in the study of stochastic biochemical reaction networks is what values of mean and variance of the species present in the network are obtainable by perturbing the system with an external input. Here, we propose a computationally efficient technique to answer this question, for networks involving zero and first order reactions ...
Francesca Parise +2 more
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Computational method for nonlinear stochastic optimal control
Proceedings of the 1999 American Control Conference (Cat. No. 99CH36251), 1999Nonlinear stochastic optimal control problems are treated such that they are nonlinear in the state dynamics, but are linear in the control. The cost functional is a general function of the state, but the costs are quadratic in the control. The system is subject to random fluctuations due to discontinuous Poisson noise that depends on both the state ...
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