stochastic optimal control
Stochastic Optimal Control of Grid-Level Storage
... Chapter 5 Conclusion In this dissertation, we present models for stochastic optimal control of grid-level storages, especially battery storages. In the basic storage operation problem, storage ...
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A Stochastic Optimal Control Theory to Model Spontaneous Breathing
... a stochastic optimal control model for noisy spontaneous breathing, and obtains a Shrödinger’s wave equation as the motion equation that can produce a PDF as a ...The stochastic model in this ...
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Distributed solution of stochastic optimal control problems on GPUs
... and Control of Drink- ing Water Networks,” grant agreement ...of stochastic optimal control problems to achieve high compu- tational ...two-stage stochastic optimization problems with ...
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Stochastic optimal control and regime switching : applications in economics
... an optimal control is equivalent to choose an optimal stop ping (or switching) ...the optimal control in each separate regime has to be determined simul taneously with the stopping ...
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Finite element approximations of stochastic optimal control problems constrained by stochastic elliptic PDEs
... the stochastic optimal control problems constrained by stochastic elliptic PDEs based on the Wiener–Itô (W-I) chaos ...In stochastic optimal control problems, we derive ...
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Discrete Time Nonlinear Stochastic Optimal Control Problem Based on Stochastic Approximation Approach
... the stochastic approximation scheme into the IOCPE algorithm was discussed in this ...nonlinear stochastic optimal control problem, while the stochastic approximation is for the ...
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Quantitative Determination Of Optimal Fiscal And Monetary Policies: A Stochastic Optimal Control Analysis For Iran
... the stochastic optimal control algorithm “OPTCON” until determine optimal fiscal and monetary policies as solutions of optimum control problems with a quadratic objective function and ...
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Application of Stochastic Optimal Control to Financial Market Debt Crises
... of Stochastic Optimal Control to Financial Market Debt Crises Abstract This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be ...
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A Stochastic Optimal Control Approach to International Finance and Foreign Debt
... use stochastic optimal control-dynamic programming to derive the: optimal consumption, foreign debt, capital, the growth of net worth and the current ...
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An Efficient Gradient Projection Method for Stochastic Optimal Control Problems
... STOCHASTIC OPTIMAL CONTROL PROBLEMS ∗ BO GONG ∗ , WENBIN LIU † , TAO TANG ‡ , WEIDONG ZHAO § , AND TAO ZHOU ¶ ...of stochastic optimal control ...the optimal ...
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Stochastic Optimal Control as a Theory of Brain-Machine Interface Operation
... neural control through a restricted output channel, with emerging clinical applications to stroke, degenerative disease, and ...on stochastic optimal control to describe the brain in ...
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Stochastic Optimal Control
... Appropriately, the optimal feedback control law is defined as the control law which minimizes the performance index, · and a derivation of the functional different[r] ...
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Efficient Methods for Stochastic Optimal Control
... globally optimal solution to large classes of control ...solve optimal control problems which scales linearly with the number of states in a system assuming the existence of a particular form ...
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Stochastic optimal control to a nonlinear differential game
... nonlinear stochastic problem is considered as a two-person zero sum ...nonlinear stochastic constraints, and our idea is to find the saddle point of the game after a certain time of ...the control u ...
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A Stochastic Optimal Control Model of Pollution Abatement
... in order to decrease the amount of pollutants emitted by a car per mile. We evaluate this perspective in a simple optimal control model where the market is monopolistic. To add a realistic feature to our ...
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Stochastic Optimal Control Problem for Life Insurance
... (2004), Stochastic Optimization in Continuous Time, Cambridge university press, United ...(2006), Optimal Life Insurance Purchase, Consumption and Portfolio Under an Uncertain Life, Thesis for the degree of ...
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Stochastic optimal control and BSDEs with logarithmic growth
... on stochastic control has been obtained in [8] in the case where the drift term of the equation which defines the controlled system is bounded, and in [9] in the case where the running reward function is ...
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Discrete stochastic optimal control and direct digital control of a process
... In this scenario, one can opt (i) to reduce the controller gain (CG) and to apportion a part of the dead time (time delay); or (ii) reduce the control action by accounting fo[r] ...
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Methods for Stochastic Optimal Control under State Constraints
... Different approaches to avoiding infinite values on the boundary are investigated. First, we consider a logarithmic transformation of the value function. This results in an exact linearization, turning the HJB equation ...
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On Some Stochastic Optimal Control Problems in Actuarial Mathematics
... an optimal strategy by optimizing the objective function based on today’s information only, which is known as pre-commitment ...a stochastic control problem under the objective of maximizing a mean ...
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