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Stochastic control with controlled information
This thesis addresses the problem of stochastic control, where the control of available information is permitted. We examine three distinct stochastic control problems, each with a unique aspect of controlled information. These problems share a common Bayesian approach to estimation, wherein the prior is known and subsequently updated to account for ...openaire +1 more source
Stochastic First- and Zeroth-Order Methods for Nonconvex Stochastic Programming
SIAM Journal on Optimization, 2013Guanghui Lan, Saeed Ghadimi
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Robust Stochastic Approximation Approach to Stochastic Programming
SIAM Journal on Optimization, 2009A Nemirovski
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Stochastic Approximation Approaches to the Stochastic Variational Inequality Problem
IEEE Transactions on Automatic Control, 2008Huifu Xu, Houyuan Jiang
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Backward equations, stochastic control and zero-sum stochastic differential games
Stochastic and Stochastics Reports, 1995S Hamadène
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Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control
SIAM Journal on Control and Optimization, 1999Zhen Wu, Shige Peng
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Stochastic Data Envelopment Analysis—A review
European Journal of Operational Research, 2016Niels Christian Petersen, Ole B Olesen
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Some remarks about stochastic controllability
IEEE Transactions on Automatic Control, 1977Leslaw Socha
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The stochastic finite element method: Past, present and future
Computer Methods in Applied Mechanics and Engineering, 2009George Stefanou
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