Results 11 to 20 of about 457,891 (167)
Stochastic maximum principle for optimal control of SPDEs [PDF]
, 2012 In this note, we give the stochastic maximum principle for optimal control of stochastic PDEs in the general case (when the control domain need not be convex and the diffusion coefficient can contain a control variable)
Fuhrman, Marco +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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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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Optimal distributed control of a stochastic Cahn-Hilliard equation [PDF]
, 2019 We study an optimal distributed control problem associated to a stochastic Cahn-Hilliard equation with a classical double-well potential and Wiener multiplicative noise, where the control is represented by a source-term in the definition of the chemical ...
Scarpa, Luca
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Shock and Vibration, 2018 A probability-weighted optimal control strategy for nonlinear stochastic vibrating systems with random time delay is proposed. First, by modeling the random delay as a finite state Markov process, the optimal control problem is converted into the one of ...
R. C. Hu +4 more
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Stochastic-fractional optimal control problems and application in portfolio management [PDF]
Mathematics and Modeling in FinanceThe 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
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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
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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.
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Delayed Stochastic Linear-Quadratic Control Problem and Related Applications
Journal of Applied Mathematics, 2012 We discuss a quadratic criterion optimal control problem for stochastic linear system with delay in both state and control variables. This problem will lead to a kind of generalized forward-backward stochastic differential equations (FBSDEs) with Itô’s ...
Li Chen, Zhen Wu, Zhiyong Yu
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