Results 21 to 30 of about 1,342,874 (327)
Time-inconsistent stochastic optimal control problems and backward stochastic volterra integral equations [PDF]
E S A I M: Control, Optimisation and Calculus of Variations, 2019 An optimal control problem is considered for a stochastic differential equation with the cost functional determined by a backward stochastic Volterra integral equation (BSVIE, for short).
Hanxiao Wang, J. Yong
semanticscholar +1 more source
E S A I M: Control, Optimisation and Calculus of Variations, 2021 This paper investigates the stochastic linear quadratic (LQ, for short) optimal control problem of Markovian regime switching system. The representation of the cost functional for the stochastic LQ optimal control problem of Markovian regime switching ...
Xin Zhang, Xunjing Li, Jie Xiong
semanticscholar +1 more source
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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Stochastic Optimal Control of HVAC System for Energy-Efficient Buildings [PDF]
IEEE Transactions on Control Systems Technology, 2019 The heating, ventilation, and air-conditioning (HVAC) system account for substantial energy use in buildings, whereas a large group of occupants is still not actually feeling comfortable staying inside. This poses the issue of developing energy-efficient
Yu Yang, G. Hu, C. Spanos
semanticscholar +1 more source
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
openaire +3 more sources
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
doaj +1 more source
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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Maximum Principle for Forward-Backward Doubly Stochastic Control Systems and Applications [PDF]
, 2010 The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, under the assumptions that the diffusion coefficients do not contain the ...
Bensoussan +22 more
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An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints [PDF]
, 2013 This paper is devoted to the stochastic optimal control problems for systems governed by forward-backward stochastic Volterra integral equations (FBSVIEs, for short) with state constraints.
Wei, Qingmeng, Xiao, Xinling
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