Stochastic Optimal Control Theory
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 ...
10
Stochastic singular optimal control problem of switching systems with constraints
... Stochastic control problems have a variety of practical applications in fields such as physics, biology, economics, management sciences, ...for control problems is to derive necessary conditions ...
14
Quantitative Determination Of Optimal Fiscal And Monetary Policies: A Stochastic Optimal Control Analysis For Iran
... of optimal control theory has been widely developed in economic ...models. Stochastic optimal control theory is a powerful tool for solving these problems and for this ...
17
Singular Optimal Control Problem of Stochastic Switching Systems
... Stochastic control problems have a variety of practical applications in fields such as physics, biology, economics, management sciences, ...modern stochastic optimal control ...
5
Optimal harvesting control and dynamics of two species stochastic model with delays
... the stochastic effects on growth rate and harvesting effort into account, we propose a stochastic delay model of species in two ...investigate optimal harvesting and dynamics of the stochastic ...
17
Stochastic optimal control to a nonlinear differential game
... game theory that is even more interesting as each player may have to be analyzed individually or in distinct groups basing on the similarity of the ...game theory has been discussed by several authors ...
14
Spatial and stochastic epidemics : theory, simulation and control
... constructing optimal controls for the case of two sub-populations; the optimal deployment of cures for an SIS type epi- demic spreading between two spatially separated population groupings (Rowthorn and et ...
240
Maximum principle for a stochastic delayed system involving terminal state constraints
... the theory of BSDE and our assumption allow us to make the inverse transformation, so that the optimal control process can be solved by the obtained optimal terminal ...the stochastic ...
16
Optimal Investment Problem with Multiple Risky Assets under the Constant Elasticity of Variance (CEV) Model
... The above mentioned researches using the martingale method have provided results for general risky assets’ prices, but most found specific solutions for geometric Brownian motion (GBM) model or a similar one merely. ...
8
Discrete Time Nonlinear Stochastic Optimal Control Problem Based on Stochastic Approximation Approach
... Mathematics stochastic approximation algorithm is to find the optimum of a function, which cannot be computed directly, but only be estimated from noisy observations [24] [25] [26] [27], and its applications to ...
13
Characterization of optimal feedback for stochastic linear quadratic control problems
... in Control Theory is to design feedback ...quadratic control problems is exactly to construct the desired ...the stochastic setting is only partially ...of optimal feedback controls for ...
20
Optimal Preview Control for a Class of Linear Continuous Stochastic Control Systems in the Infinite Horizon
... automatic control system theory, the con- trolled systems can be regarded as falling into two categories: deterministic systems and stochastic ...systems. Stochastic sys- tems are a collection ...
11
Optimal Investment and Risk Control Strategies for an Insurance Fund in Stochastic Framework
... Similarly, [11] [15] introduced zero-coupon bonds and Treasury Infla- tion-Protected Securities (TIPS) in the financial market. So the financial market consists of cash, zero-coupon bond, stock, and TIPS. While [15] ...
12
Efficient Methods for Stochastic Optimal Control
... Navigation functions have been successful in part due to their rapid computability and transparent nature. The navigation function provides both a global plan, as well as a feedback controller that follows the gradient ...
171
Nonlinear evolution equations and applications in optimal control theory
... University of Warwick institutional repository: http://go.warwick.ac.uk/wrap A Thesis Submitted for the Degree of PhD at the University of Warwick http://go.warwick.ac.uk/wrap/72032.. Th[r] ...
122
An optimal control theory approach to non pharmaceutical interventions
... 4(a) shows a multi-level policy in which NPIs are applied at varying strength levels based on certain state criteria. Note that “red” indicates > 80% NPI strength, “yellow” indicates 60 80% NPI strength, and so forth. ...
13
Optimal investment strategy with debt financing under stochastic interest rates
... a stochastic differential equation in which the drift varies in response to expanded investment and outstanding ...continuous stochastic interest rate as a discounting ...the optimal condition to ...
19
Stochastic Optimal Control Problem for Switching Systems with Controlled Diffusion Coefficients
... The rest of the paper is organized as follows. The no- tations, some basic definitions and the description of the main problem are given in section 2. Section 3 is de- voted to stochastic optimal ...
6
Optimal Amount and Timing of Investment in a Stochastic Dynamic Cournot Competition
... It is necessary to examine the robustness of the results by assuming more general demand function and cost function. It is also necessary to relax the assumption of geometric Brownian motion, as well as to give an em- ...
6
Constrained Calculus of Variations and Geometric Optimal Control Theory
... infinitesimal control h ...infinitesimal control h plays the role of a gauge field , useful for covariance purposes, but unaffecting the evaluation of the ...
127