Displaying similar documents to “Incremental value of information for discrete-time partially observed stochastic systems”

Robust Control of Linear Stochastic Systems with Fully Observable State

Alexander Poznyak, M. Taksar (1996)

Applicationes Mathematicae

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We consider a multidimensional linear system with additive inputs (control) and Brownian noise. There is a cost associated with each control. The aim is to minimize the cost. However, we work with the model in which the parameters of the system may change in time and in addition the exact form of these parameters is not known, only intervals within which they vary are given. In the situation where minimization of a functional over the class of admissible controls makes no sense since...

Optimal resource allocation in a large scale system under soft constraints

Zdzisław Duda (2000)

Kybernetika

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In the paper there is discussed a problem of the resource allocation in a large scale system in the presence of the resource shortages. The control task is devided into two levels, with the coordinator on the upper level and local controllers on the lower one. It is assumed that they have different information. The coordinator has an information on mean values of users demands, an inflow forecast and an estimation of the resource amount in a storage reservoir. On the basis on this information...

Decomposition of large-scale stochastic optimal control problems

Kengy Barty, Pierre Carpentier, Pierre Girardeau (2010)

RAIRO - Operations Research

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In this paper, we present an Uzawa-based heuristic that is adapted to certain type of stochastic optimal control problems. More precisely, we consider dynamical systems that can be divided into small-scale subsystems linked through a static almost sure coupling constraint at each time step. This type of problem is common in production/portfolio management where subsystems are, for instance, power units, and one has to supply a stochastic power demand at each time step. We outline...