continuous-time stochastic control
Stabilization of continuous-time hybrid stochastic differential equations by discrete-time feedback control
... of continuous-time hybrid stochastic differen- tial equations (also known as stochastic differential equations with Markovian switching) by discrete-time feedback ...by ...
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InfSOCSol2 An updated MATLAB Package for Approximating the Solution to a Continuous Time Infinite Horizon Stochastic Optimal Control Problem with Control and State Constraints
... SimulationTimeStep: For 10000 equidistant time steps each of size 0.01 this can be specified as ones(1,10000)/1000. This determines a horizon of length 10. In order to obtain a good approximation for the problem, ...
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InfSOCSol2: an updated MATLAB package for approximating the solution to a continuous time infinite horizon stochastic optimal control problem
... the continuous system (under the continuous-time, continuous-state control rule de- rived from the solution computed by InfSOCSol) as the initial conditions ...a time (indenti- ...
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Path Dependent Stochastic Models and Their Applications in Finance and Communications
... with time delay, the analytical solutions are possible to find [49] ...discrete stochastic models, especially the Euler ...solving stochastic delay differential equations with jumps under weaker ...
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Time change and control of stochastic volatility
... suitable time-change device, we transform the “coupled” system (X, Y ) (where the X component depends upon Y ) into a “decoupled” one in the sense that each component is ...a continuous and strictly ...
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Robust quantised control of hybrid stochastic systems based on discrete-time state and mode observations
... feedback control are studied for hybrid stochastic systems based on discrete-time observations of state and ...feedback control based on continuous observations of the state and mode ...
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Optimal Preview Control for a Class of Linear Continuous Stochastic Control Systems in the Infinite Horizon
... for stochastic systems, which means the optimal preview controller of the original stochastic system is ...the stochastic augmented error system, the conclusion in the infinite horizon cannot be ...
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Stabilization of hybrid systems by feedback control based on discrete-time state observations
... Recently, Mao [19] initiates the study the mean-square exponential stabilization of continuous-time hybrid stochastic differential equations by feedback controls based on discrete-time state ...
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Discrete Time Nonlinear Stochastic Optimal Control Problem Based on Stochastic Approximation Approach
... optimal control problem, which is disturbed by a se- quence of random ...optimal control problem, where the model output is ...the stochastic ap- proximation ...the stochastic gradient is ...
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A Stochastic SIVS Epidemic Model Based on Birth and Death Process
... and control of disease there still exist some uncertain factors such as temperature, environment of the hospital symptomtesting, ...the continuous time Markov chain (CTMC) model, namely the birth and ...
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Long time stability and control problems for stochastic networks in heavy traffic
... diffusion control problem is a lower bound for the asymptotic value function for the physical network control problem, in the heavy traffic ...a continuous -optimal Markov ...-optimal ...
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Stochastic differential equation for two-phase growth model
... using control regime, while Zheng [11] built a two-phase population growth model considering the existence of a critical population ...The stochastic models used in the previous studies are models of ...
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A parallel Matlab package for approximating the solution to a continuous time stochastic optimal control problem
... routines distributed under the generic name SOCSol can be used to obtain op- timal solutions to continuous-time stochastic optimal con- trol problems. The difference between the SOCSol suites ...
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Continuous Time Mean Variance Portfolio Selection with Inflation in an Incomplete Market
... general stochastic linear quadratic (LQ) control technique in Yong & Zhou (1999) to our ...a stochastic LQ auxiliary control problem and derive its optimal feedback ...
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Rare event simulation for stochastic dynamics in continuous time
... which is a random object depending on the realization of the particle approximation. The full dynamics can be set up in various different ways such that μ N (X k (t)) → μ k t converges as N → ∞ for any t ≥ 0. A generic ...
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A Simple And Novel Algorithm For State Estimation Of Continuous Time Linear Stochastic Dynamic Systems Excited By Random Inputs
... Robinson P Paul was born in Gujarat, India. He received B.E. & M.E. Degree in Electronics & communication Engineering from Sardar Patel University. He is pursuing PhD from Gujarat Technological university. He is ...
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Controlled continuous time random walks and their position dependent extensions
... on stochastic optimal control models such that the dynamics of the con- trolled system is a Continuous Time Random Walk (CTRW) with waiting times that have non-exponential ...
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Strong invariance and noise-comparison principles for some parabolic stochastic PDEs
... for continuous-time random walks that are in the domain of attraction of a symmetric α-stable L´evy ...for continuous-time random walks that lie in the domain of attraction of a symmetric ...
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On The Fractional Optimal Control Problem with Free End Point
... Feedback control laws can be found for a linear dynamic systems, where a quadratic performance index J is to minimized with free end final time T (see [16], ...at time a to an unspecified ...
5
Markov renewal theory applied to performability evaluation
... a stochastic Petri net can be classied into vanishing markings and tangible markings ...For stochastic Petri nets classes that avoid immediate transitions the analysis of the embedded stochas- tic process ...
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