Results 41 to 50 of about 1,450,399 (320)

Stochastic-fractional optimal control problems and application in portfolio management [PDF]

Mathematics and Modeling in Finance
The aim of this paper is to propose a new method for solving a calss of stochasticfractional optimal control problems. To this end, we introduce an equivalent form for the presented stochastic-fractional optimal control problem and prove that these ...
Saba Yaghobipour, Majid Yarahmadi
doaj   +1 more source

Some Unsolved Problems in Stability and Optimal Control Theory of Stochastic Systems

Mathematics, 2022
In spite of the fact that the theory of stability and optimal control for different types of stochastic systems is well developed and very popular in research, there are some simply and clearly formulated problems, solutions of which have not been found ...
Leonid Shaikhet
doaj   +1 more source

Tractable Dual Optimal Stochastic Model Predictive Control: An Example in Healthcare

, 2017
Output-Feedback Stochastic Model Predictive Control based on Stochastic Optimal Control for nonlinear systems is computationally intractable because of the need to solve a Finite Horizon Stochastic Optimal Control Problem.
Bitmead, Robert R., Sehr, Martin A.
core   +1 more source

Dynamic programming principle for optimal control of uncertain random differential equations and its application to optimal portfolio selection

Review of Business and Economics Studies
This study aimed to examine an uncertain stochastic optimal control problem premised on an uncertain stochastic process. The proposed approach is used to solve an optimal portfolio selection problem.
Justin Chirima, Frank Ranganai Matenda, Eriyoti Chikodza, Mabutho Sibanda   +3 more
doaj   +1 more source

An approximate stochastic optimal control framework to simulate nonlinear neuro-musculoskeletal models in the presence of noise.

PLoS Computational Biology, 2022
Optimal control simulations have shown that both musculoskeletal dynamics and physiological noise are important determinants of movement. However, due to the limited efficiency of available computational tools, deterministic simulations of movement focus
Tom Van Wouwe, Lena H Ting, Friedl De Groote   +2 more
doaj   +1 more source

Semidefinite Relaxations for Stochastic Optimal Control Policies [PDF]

, 2014
Recent results in the study of the Hamilton Jacobi Bellman (HJB) equation have led to the discovery of a formulation of the value function as a linear Partial Differential Equation (PDE) for stochastic nonlinear systems with a mild constraint on their ...
Burdick, Joel W., Horowitz, Matanya B.
core   +1 more source

Stochastic Optimal Control for Uncertain Structural Systems Under Random Excitations Based on Bayes Optimal Estimation

Buildings
Stochastic vibration control of uncertain structures under random loading is an important problem and its minimax optimal control strategy remains to be developed.
Hua Lei, Zhao-Zhong Ying, Zu-Guang Ying
doaj   +1 more source

Control of Time-Varying Epidemic-Like Stochastic Processes and Their Mean-Field Limits

, 2017
The optimal control of epidemic-like stochastic processes is important both historically and for emerging applications today, where it can be especially important to include time-varying parameters that impact viral epidemic-like propagation.
azizan ruhi, bernoulli, bertsikas, ethier, lu   +4 more
core   +1 more source

Nonlinear Optimal Control for Stochastic Dynamical Systems

Mathematics
This paper presents a comprehensive framework addressing optimal nonlinear analysis and feedback control synthesis for nonlinear stochastic dynamical systems.
Manuel Lanchares, Wassim M. Haddad
doaj   +1 more source

Stochastic Linear Quadratic Optimal Control Problem: A Reinforcement Learning Method [PDF]

IEEE Transactions on Automatic Control, 2020
This article adopts a reinforcement learning (RL) method to solve infinite horizon continuous-time stochastic linear quadratic problems, where the drift and diffusion terms in the dynamics may depend on both the state and control.
Na Li, Xunjing Li, Jing Peng, Z. Xu
semanticscholar   +1 more source