Results 61 to 70 of about 517,257 (186)

Maximum Principle for Stochastic Recursive Optimal Control Problems Involving Impulse Controls

Abstract and Applied Analysis, 2012
We consider a stochastic recursive optimal control problem in which the control variable has two components: the regular control and the impulse control.
Zhen Wu, Feng Zhang
doaj   +1 more source

Stochastic optimal control — A concise introduction

Mathematical Control and Related Fields, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +2 more sources

A Comparative Study of Optimal Energy Management Strategies for Energy Storage with Stochastic Loads

Energies, 2020
This paper aims to present the significance of predicting stochastic loads to improve the performance of a low voltage (LV) network with an energy storage system (ESS) by employing several optimal energy controllers.
Feras Alasali, Stephen Haben, Husam Foudeh, William Holderbaum   +3 more
doaj   +1 more source

Optimal stochastic control systems

Journal of Mathematical Analysis and Applications, 1963
where X is the state variable, u is the control, and (a, 6) are prescribed for all time t of interest. The initial conditions for the system (1) are drawn from a Gaussian (normal) distribution of specified mean xO.and covariance 0:. Subject to certain constraints (to be specified) on u, we wish to choose a control policy which will minimize (in a sense
openaire   +2 more sources

Dynamic programming principle for backward doubly stochastic recursive optimal control problem and sobolev weak solution of the stochastic Hamilton-Jacobi-Bellman equation

Fundamental Research
In this paper, we investigate a backward doubly stochastic recursive optimal control problem wherein the cost function is expressed as the solution to a backward doubly stochastic differential equation.
Yunhong Li, Anis Matoussi, Lifeng Wei, Zhen Wu   +3 more
doaj   +1 more source

Optimal Control of an Electromechanical Energy Harvester

Entropy
Many techniques originally developed in the context of deterministic control theory have recently been applied to the quest for optimal protocols in stochastic processes.
Dario Lucente, Alessandro Manacorda, Andrea Plati, Alessandro Sarracino, Marco Baldovin   +4 more
doaj   +1 more source

Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates [PDF]

In this paper we study the optimal management of an aggregated pension fund of defined benefit type, in the presence of a stochastic interest rate. We suppose that the sponsor can invest in a savings account, in a risky stock and in a bond, with the aim ...
Juan Pablo Rincon-Zapatero, Ricardo Josa-Fombedilla   +1 more
core  

Using a finite horizon numerical optimisation method for a periodic optimal control problem [PDF]

Computing a numerical solution to a periodic optimal control problem is difficult. A method of approximating a solution to a given (stochastic) optimal control problem using Markov chains was developed in [3].
Azzato, Jeffrey D., Krawczyk, Jacek
core   +1 more source

Stochastic Optimal Control Matching

Advances in Neural Information Processing Systems 37
Stochastic optimal control, which has the goal of driving the behavior of noisy systems, is broadly applicable in science, engineering and artificial intelligence. Our work introduces Stochastic Optimal Control Matching (SOCM), a novel Iterative Diffusion Optimization (IDO) technique for stochastic optimal control that stems from the same philosophy as
Domingo-Enrich, Carles, Han, Jiequn, Amos, Brandon, Bruna, Joan, Chen, Ricky T. Q.   +4 more
openaire   +2 more sources

Chebyshev wavelet-based method for solving various stochastic optimal control problems and its application in finance [PDF]

Iranian Journal of Numerical Analysis and Optimization
In this paper, a computational method based on parameterizing state and control variables is presented for solving Stochastic Optimal Control (SOC) problems.
M. Yarahmadi, S. Yaghobipour
doaj   +1 more source