Results 271 to 280 of about 1,450,399 (320)
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2011
This chapter deals with the optimal control of a noisy linear system, the state of which is not entirely available, i.e., which requires a state reconstructor in the control loop. Since the system is submitted to random influences, a filter, e.g. an optimal filter such as the Kalman filter, will be used.
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This chapter deals with the optimal control of a noisy linear system, the state of which is not entirely available, i.e., which requires a state reconstructor in the control loop. Since the system is submitted to random influences, a filter, e.g. an optimal filter such as the Kalman filter, will be used.
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Sufficient Conditions for the Optimality of a Stochastic Control
Journal of the Society for Industrial and Applied Mathematics Series A Control, 1965Sufficient conditions for optimal stochastic control of diffusion processes governed by vector equations satisfying local Lipschitz ...
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1998
Abstract This chapter gives a self‐contained introduction to optimal control of stochastic differential equations. We derive the Hamilton‐Jacobi‐Bellman equation as well as a verification theorem. The general theory is then applied to optimal consumption and investment problems.
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Abstract This chapter gives a self‐contained introduction to optimal control of stochastic differential equations. We derive the Hamilton‐Jacobi‐Bellman equation as well as a verification theorem. The general theory is then applied to optimal consumption and investment problems.
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International Journal of Systems Science, 2017
Jiang Wu, Fu-cheng Liao, M. Tomizuka
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Jiang Wu, Fu-cheng Liao, M. Tomizuka
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Optimal Controller Switching for Stochastic Systems
1999Presents a solution to certain problems in switched controller design for stochastic dynamical systems. The main result is a separation theorem for partial information systems. This result is then used to convert the partial information stochastic control problem to a complete information stochastic control problem.
Efstratios Skafidas +3 more
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Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE
, 2012N. Touzi
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An Introductory Approach to Duality in Optimal Stochastic Control
, 1978J. Bismut
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Linear Quadratic Optimal Stochastic Control with Random Coefficients
, 1976J. Bismut
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Optimal Stochastic Control and Carbon Price Formation
SIAM Journal of Control and Optimization, 2009R. Carmona, M. Fehr, Juri Hinz
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