infinite-horizon optimal control
A Maximum Principle for Smooth Infinite Horizon Optimal Control Problems with State Constraints and with Terminal Constraints at Infinity
... The paper establishes necessary conditions for optimality in a smooth infinite horizon optimal control problem with unilateral state constraints and terminal constraints at the infinite ...
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Infinite Horizon Discrete Time Control Problems for Bounded Processes
... We establish Pontryagin Maximum Principles in the strong form for infinite horizon optimal control problems for bounded processes, for systems governed by di ff erence equations. Results due to ...
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Infinite horizon optimal impulsive control with applications to Internet congestion control
... impulsive optimal control theory has many real-life ...many control problems in queueing theory, population dynamics, mathematical epidemiology, financial math- ematics etc can be formulated as the ...
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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
... If the problem is stochastic and noise realisations are random, then the average of the values from a large number of simulations can be used as an approximation to the expected value of[r] ...
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Energy Portfolio Management with Entry Decisions over an Infinite Horizon
... the optimal dispatch of these two plants needs to be determined after the new plant is ...stochastic control prob- ...stochastic control problem, the other one is an optimal stopping ...
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InfSOCSol2: an updated MATLAB package for approximating the solution to a continuous time infinite horizon stochastic optimal control problem
... If the problem is stochastic and noise realisations are random, then the average of the values from a large number of simulations can be used as an approximation to the expected value of the continuous stochastic system ...
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Optimality criteria for deterministic discrete time infinite horizon optimization
... In this paper, we compare and contrast the selectivity of efficiency with the more tradi- tional notions of optimality including strong, overtaking, weakly overtaking, and average optimalities. Strong optimality is ...
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Optimal Preview Control for a Class of Linear Continuous Stochastic Control Systems in the Infinite Horizon
... The optimal regulator is obtained based on the dynamic programming principle for stochastic systems, which means the optimal preview controller of the original stochastic system is ...the infinite ...
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Existence and uniqueness of solutions for a class of infinite horizon systems derived from optimal control
... In [2], Lions has discussed the existence and uniqueness of solutions for system (1.5) and gave an existence and uniqueness result. In [1], Hu and Peng considered the existence and uniqueness of solutions for a class of ...
Infinite horizon linear quadratic optimal control for stochastic difference time delay systems
... infinite horizon linear quadratic (LQ) optimal control for stochastic time-delay difference systems with both state and control dependent ...the optimal control law and ...
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Learning horizon and optimal alliance formation
... learning horizon concept captures in an integrative way various factors of importance when considering the role of indirect partners in optimal alliance portfolio ...
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Pareto optimality for nonlinear infinite dimensional control systems
... In this note we establish the existence of Pareto optimal solutions for nonlinear, infinite dimensional control systems with state dependent control constraints and an integral criterion[r] ...
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The Optimal Stopping Time for Selling an Asset When It Is Uncertain Whether the Price Process Is Increasing or Decreasing When the Horizon Is Infinite
... In the Figure 1, we see that the posterior probability process cannot pass through the red threshold, so the holder of the property will not be able to sell it. However, since the time in simulation is finite, the ...
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The dividend problem with a finite horizon
... stopping problem whose underlying process is a Brownian motion with drift μ and variance σ 2 , which gets reflected at zero and created at a rate proportional to its local time (cf. [28]). Although links between ...
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Dividend taxation in an infinite horizon general equilibrium model
... Some steady state analyses have been studied. For example, given the objective function is the aggregate consumption, the optimal level of dividend taxation increases in the R&D efficiency the TFP, but ...
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Optimal investment with stopping in finite horizon
... 18. Karatzas, I, Wang, H: Utility maximization with discretionary stopping. SIAM J. Control Optim. 39, 306-329 (2000) 19. Karatzas, I, Ocone, D: A leavable bounded-velocity stochastic control problem. ...
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Infinite horizon stopping problems with (nearly) total reward criteria
... of optimal stopping has recently seen its renaissance due to applications in finance and operations research ...options, optimal timing of a sale or valuation of natural resources, see [23] and references ...
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The compromise efficiency vs egalitarianism among generations with an infinite horizon
... This paper concerns ethical aggregation of infinite utility streams. Position i is typ- ically interpreted as the endowment of generation i. We analyze the broad question: In order for the social welfare to ...
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An infinite horizon model of dynamic membership of international environmental agreements
... The model is extremely simple and there are many possible lines for further research. One obvious question is how global welfare in this variable membership model would compare with global welfare in a fixed membership ...
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Feedback control of HIV antiviral therapy with long measurement time
... Another observation concerns the influence of the measurement times (observation frequency). Numerical results suggest the chance for a patient to reach a “healthy” steady state decreases as the measurement time ...
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