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Optimal Mixed Impulse-Equity Insurance Control Problem With Reinsurance
SIAM Journal on Control and Optimization, 2011We investigate an optimal financing and dividend control problem of an insurance company facing fixed and proportional transaction costs. The goal of the company is to maximize the expected present value of future dividends after deduction of the equity issuance until the time of bankruptcy. We formulate the problem as a mixed classical-impulse control
Hui Meng, Tak Kuen Siu
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Optimality conditions for optimal impulsive control problems with multipoint state constraints
Journal of Global Optimization, 2020zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Impulsive controllability and optimization problems in population dynamics
Nonlinear Analysis, 1999This paper concerns impulsive differential systems. These are modeling the evolution of large classes of real processes subject to short temporary perturbations. Some controllability and optimization problems of smooth dynamical systems are investigated. Rapid outside actions over the evolutionary system result in the research of its impulsive control.
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A new sufficient condition for optimal impulsive control problems
2012 IEEE 51st IEEE Conference on Decision and Control (CDC), 2012In this article we introduce the concept of MP-pseudoinvexity for general nonlinear impulsive optimal control problems whose dynamics are specified by measure driven control equations. This is a general paradigm in that, both the absolutely continuous and singular components of the dynamics depend on both the state and the control variables.
Valeriano A. de Oliveira +2 more
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Applications of Optimal Impulse Control to Optimal Foraging Problems
1987The method of optimal impulse control is applied to problems of optimal foraging and optimal switching between patches. This method is particularly appropriate for analysis and modeling of many biological processes during which there is a sudden switch from a particular level of the states to another.
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Hamilton-Jacobi inequalities for optimal impulsive control problems*
IFAC Proceedings Volumes, 2011Abstract Sufficient and necessary global optimality conditions for nonlinear impulsive dynamic optimization problems with endpoint constraints are obtained. Proofs of these results are based on Hamilton-Jacobi canonical optimality theory. As consequence, a Maximum Principle reverse into sufficient optimality conditions is proposed.
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The Generalized Solutions of Nonlinear Optimization Problems with Impulse Control
SIAM Journal on Control and Optimization, 1996The paper deals with nonlinear control problems of minimizing a function determined on terminal and initial states under a given terminal and phase constraint. Some components of the control action satisfy geometrical restrictions while others are unbounded but have bounded impulse. The aim of the paper is to substantiate an extension of Warga's method
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Numerical methods for solving problems of optimal impulse control
USSR Computational Mathematics and Mathematical Physics, 1987See the review in Zbl 0623.65071.
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Optimal impulse control problems for degenerate diffusions with jumps
Acta Applicandae Mathematicae, 1987This paper presents a unified overview of optimal stopping problems and optimal impulse control with and without delay, for degenerate diffusions with jumps. Lipschitzian coefficients for the diffusion, data with polynomial growth and evolution in the whole space are the main assumptions.
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