Results 21 to 30 of about 85,002 (312)

A Maximum Principle for Controlled Time-Symmetric Forward-Backward Doubly Stochastic Differential Equation with Initial-Terminal Sate Constraints

Abstract and Applied Analysis, 2012
We study the optimal control problem of a controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints. Applying the terminal perturbation method and Ekeland’s variation principle, a necessary
Shaolin Ji, Qingmeng Wei, Xiumin Zhang
doaj   +1 more source

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
doaj   +1 more source

Probability-Weighted Optimal Control for Nonlinear Stochastic Vibrating Systems with Random Time Delay

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, Q. F. Lü, X. F. Wang, Z. G. Ying, R. H. Huan   +4 more
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Stochastic-fractional optimal control problems and application in portfolio management [PDF]

Mathematics and Modeling in Finance
The 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
doaj   +1 more source

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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Assessing non-convex value functions for the optimal control of stochastic differential equations

Results in Control and Optimization, 2022
Solving the optimal control of stochastic differential equations (SDEs) using the dynamic programming method requires writing the problem in terms of the so-called value function. This paper presents conditions to assure that the value function is convex
Elmer Lévano, João B.R. do Val, Alessandro N. Vargas   +2 more
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Dynamic programming principle for optimal control of uncertain random differential equations and its application to optimal portfolio selection

Review of Business and Economics Studies
This study aimed to examine an uncertain stochastic optimal control problem premised on an uncertain stochastic process. The proposed approach is used to solve an optimal portfolio selection problem.
Justin Chirima, Frank Ranganai Matenda, Eriyoti Chikodza, Mabutho Sibanda   +3 more
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Stochastic Optimal Control for Uncertain Structural Systems Under Random Excitations Based on Bayes Optimal Estimation

Buildings
Stochastic vibration control of uncertain structures under random loading is an important problem and its minimax optimal control strategy remains to be developed.
Hua Lei, Zhao-Zhong Ying, Zu-Guang Ying
doaj   +1 more source

Stochastic Optimal Control of Parallel Hybrid Electric Vehicles

Energies, 2017
Energy management strategies (EMSs) in hybrid electric vehicles (HEVs) are highly related to the fuel economy and emission performances. However, EMS constitutes a challenging problem due to the complex structure of a HEV and the unknown or partially ...
Feiyan Qin, Guoqing Xu, Yue Hu, Kun Xu, Weimin Li   +4 more
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Nonlinear Optimal Control for Stochastic Dynamical Systems

Mathematics
This paper presents a comprehensive framework addressing optimal nonlinear analysis and feedback control synthesis for nonlinear stochastic dynamical systems.
Manuel Lanchares, Wassim M. Haddad
doaj   +1 more source