Results 11 to 20 of about 85,002 (312)
Stochastic Control of Optimized Certainty Equivalents
SIAM Journal on Financial Mathematics, 2022 Optimized certainty equivalents (OCEs) is a family of risk measures widely used by both practitioners and academics. This is mostly due to its tractability and the fact that it encompasses important examples, including entropic risk measures and average value at risk.
Julio D. Backhoff Veraguas +2 more
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Computational and Mathematical Biophysics, 2023 This article consists of a detailed and novel stochastic optimal control analysis of a coupled non-linear dynamical system. The state equations are modelled as an additional food-provided prey–predator system with Holling type III functional response for
Prakash Daliparthi Bhanu +1 more
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Deterministic and Stochastic Optimal Control and Inverse Problems
, 2021 Inverse problems of identifying parameters and initial/boundary conditions in deterministic and stochastic partial differential equations constitute a vibrant and emerging research area that has found numerous applications. A related problem of paramount
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Optimal Transportation Problem by Stochastic Optimal Control [PDF]
SIAM Journal on Control and Optimization, 2008 We address an optimal mass transportation problem by means of optimal stochastic control. We consider a stochastic control problem which is a natural extension of the Monge-Kantorovich problem. Using a vanishing viscosity argument we provide a probabilistic proof of two fundamental results in mass transportation: the Kantorovich duality and the graph ...
Mikami, Toshio, Thieullen, Michele
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Inverse stochastic optimal controls
Automatica, 2023 We study an inverse problem of the stochastic optimal control of general diffusions with performance index having the quadratic penalty term of the control process. Under mild conditions on the system dynamics, the cost functions, and the optimal control process, we show that our inverse problem is well-posed using a stochastic maximum principle. Then,
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Domain decomposition for stochastic optimal control [PDF]
53rd IEEE Conference on Decision and Control, 2014 This work proposes a method for solving linear stochastic optimal control (SOC) problems using sum of squares and semidefinite programming. Previous work had used polynomial optimization to approximate the value function, requiring a high polynomial degree to capture local phenomena.
Matanya B. Horowitz +2 more
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Entropy, 2015 In this paper, we present connections between recent developments on the linearly-solvable stochastic optimal control framework with early work in control theory based on the fundamental dualities between free energy and relative entropy. We extend these
Evangelos A. Theodorou
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Optimal control for controllable stochastic linear systems [PDF]
ESAIM: Control, Optimisation and Calculus of Variations, 2020 This paper is concerned with a constrained stochastic linear-quadratic optimal control problem, in which the terminal state is fixed and the initial state is constrained to lie in a stochastic linear manifold. The controllability of stochastic linear systems is studied.
Xiuchun Bi, Jingrui Sun, Jie Xiong
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Abstract and Applied Analysis, 2014 We focus on the fully coupled forward-backward stochastic differential equations with jumps and investigate the associated stochastic optimal control problem (with the nonconvex control and the convex state constraint) along with stochastic maximum ...
Qingmeng Wei
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Journal of Advanced Mechanical Design, Systems, and Manufacturing, 2019 An inventory management problem is theoretically discussed for a factory having effects of lead times in replenishing the inventory, where it stocks materials used for its products.
Hiroaki T.-KANEKIYO, Shinjiro AGATA
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