Results 281 to 290 of about 85,002 (312)
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2011
This chapter deals with the optimal control of a noisy linear system, the state of which is not entirely available, i.e., which requires a state reconstructor in the control loop. Since the system is submitted to random influences, a filter, e.g. an optimal filter such as the Kalman filter, will be used.
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This chapter deals with the optimal control of a noisy linear system, the state of which is not entirely available, i.e., which requires a state reconstructor in the control loop. Since the system is submitted to random influences, a filter, e.g. an optimal filter such as the Kalman filter, will be used.
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Sufficient Conditions for the Optimality of a Stochastic Control
Journal of the Society for Industrial and Applied Mathematics Series A Control, 1965Sufficient conditions for optimal stochastic control of diffusion processes governed by vector equations satisfying local Lipschitz ...
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On optimal stochastic control with smoothed information
Information Sciences, 1968Abstract This paper presents a generalization of the Separation Theorem of stochastic control. The generalization consists in assuming observations ahead of running time. We consider the following problem of optimal pursuit: Given noisy incomplete observations of a linear stochastic system, control another linear stochastic system so that a quadratic
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1998
Abstract This chapter gives a self‐contained introduction to optimal control of stochastic differential equations. We derive the Hamilton‐Jacobi‐Bellman equation as well as a verification theorem. The general theory is then applied to optimal consumption and investment problems.
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Abstract This chapter gives a self‐contained introduction to optimal control of stochastic differential equations. We derive the Hamilton‐Jacobi‐Bellman equation as well as a verification theorem. The general theory is then applied to optimal consumption and investment problems.
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On the Existence of Optimal Stochastic Controls
Journal of the Society for Industrial and Applied Mathematics Series A Control, 1965openaire +2 more sources
Maximum principle for the stochastic optimal control problem with delay and application
Automatica, 2010Zhen Wu
exaly
A General Stochastic Maximum Principle for Optimal Control Problems
SIAM Journal on Control and Optimization, 1990Shige Peng
exaly
A general maximum principle for optimal control of forward–backward stochastic systems
Automatica, 2013Zhen Wu
exaly