Stochastic Optimal Control of a Sailboat [PDF]
IEEE Control Systems Letters, 2022 In match race sailing, competitors must steer their boats upwind in the presence of unpredictably evolving weather. Combined with the tacking motion necessary to make upwind progress, this makes it natural to model their path-planning as a hybrid stochastic optimal control problem.
Cole Miles, Alexander Vladimirsky
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Minimal Expected Time in Drawdown through Investment for an Insurance Diffusion Model
Risks, 2021 Consider an insurance company whose surplus is modelled by an arithmetic Brownian motion of not necessarily positive drift. Additionally, the insurer has the possibility to invest in a stock modelled by a geometric Brownian motion independent of the ...
Leonie Violetta Brinker
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Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients [PDF]
SIAM Journal of Control and Optimization, 2014 We are concerned with the linear-quadratic optimal stochastic control problem where all the coefficients of the control system and the running weighting matrices in the cost functional are allowed to be predictable (but essentially bounded) processes and
Shanjian Tang
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Reinforcement Learning for Adaptive Optimal Stationary Control of Linear Stochastic Systems [PDF]
IEEE Transactions on Automatic Control, 2021 This article studies the adaptive optimal stationary control of continuous-time linear stochastic systems with both additive and multiplicative noises, using reinforcement learning techniques.
Bo Pang, Zhong-Ping Jiang
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Solvability Conditions for Indefinite Linear Quadratic Optimal Stochastic Control Problems and Associated Stochastic Riccati Equations [PDF]
SIAM Journal of Control and Optimization, 2014 A linear quadratic optimal stochastic control problem with random coefficients and indefinite state/control weight costs is usually linked to an indefinite stochastic Riccati equation (SRE), which is a matrix-valued quadratic backward stochastic ...
Kai Du
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On a Stochastic Fundamental Lemma and Its Use for Data-Driven Optimal Control [PDF]
IEEE Transactions on Automatic Control, 2021 Data-driven control based on the fundamental lemma by Willems et al. is frequently considered for deterministic linear time invariant (LTI) systems subject to measurement noise.
Guanru Pan, Ruchuan Ou, T. Faulwasser
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A Unified Pricing of Variable Annuity Guarantees Under the Optimal Stochastic Control Framework [PDF]
, 2016 In this paper, we review pricing of the variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings.
Pavel V. Shevchenko, Xiaolin Luo
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Optimal Stochastic Control in the Interception Problem of a Randomly Tacking Vehicle
Mathematics, 2021 This article considers the mathematical aspects of the problem of the optimal interception of a mobile search vehicle moving along random tacks on a given route and searching for a target, which travels parallel to this route.
Andrey A. Galyaev +2 more
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Convex Analysis in Decentralized Stochastic Control, Strategic Measures, and Optimal Solutions [PDF]
SIAM Journal of Control and Optimization, 2016 This paper is concerned with the properties of the sets of strategic measures induced by admissible team policies in decentralized stochastic control and the convexity properties in dynamic team problems.
S. Yüksel, Naci Saldi
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Stochastic optimal control analysis for the hepatitis B epidemic model
Results in Physics, 2021 Mathematical formulation of a stochastic hepatitis B virus (HBV) model with the application of optimal control and randomly noise transmission has been focused in this paper. For the ease of understanding, the model is divided into four different classes
Peijiang Liu +3 more
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