Displaying similar documents to “Decomposition of large-scale stochastic optimal control problems”

Stochastic geometric programming with an application

Jitka Dupačová (2010)

Kybernetika

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In applications of geometric programming, some coefficients and/or exponents may not be precisely known. Stochastic geometric programming can be used to deal with such situations. In this paper, we shall indicate which stochastic programming approaches and which structural and distributional assumptions do not destroy the favorable structure of geometric programs. The already recognized possibilities are extended for a tracking model and stochastic sensitivity analysis is presented in...

Maximum principle for optimal control of fully coupled forward-backward stochastic differential delayed equations

Jianhui Huang, Jingtao Shi (2012)

ESAIM: Control, Optimisation and Calculus of Variations

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This paper deals with the optimal control problem in which the controlled system is described by a fully coupled anticipated forward-backward stochastic differential delayed equation. The maximum principle for this problem is obtained under the assumption that the diffusion coefficient does not contain the control variables and the control domain is not necessarily convex. Both the necessary and sufficient conditions of optimality are proved. As illustrating examples, two kinds of linear...

Optimal position targeting with stochastic linear-quadratic costs

Stefan Ankirchner, Thomas Kruse (2015)

Banach Center Publications

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We consider the dynamic control problem of attaining a target position at a finite time T, while minimizing a linear-quadratic cost functional depending on the position and speed. We assume that the coefficients of the linear-quadratic cost functional are stochastic processes adapted to a Brownian filtration. We provide a probabilistic solution in terms of two coupled backward stochastic differential equations possessing a singularity at the terminal time T. We verify optimality of the...

Optimal investment strategy for a non-life insurance company: quadratic loss

Łukasz Delong (2005)

Applicationes Mathematicae

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The aim of this paper is to construct an optimal investment strategy for a non-life insurance business. We consider an insurance company which provides, in exchange for a single premium, full coverage to a portfolio of risks which generates losses according to a compound Poisson process. The insurer invests the premium and trades continuously on the financial market which consists of one risk-free asset and n risky assets (Black-Scholes market). We deal with the insurer's wealth path...

Optimum beam design via stochastic programming

Eva Žampachová, Pavel Popela, Michal Mrázek (2010)

Kybernetika

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The purpose of the paper is to discuss the applicability of stochastic programming models and methods to civil engineering design problems. In cooperation with experts in civil engineering, the problem concerning an optimal design of beam dimensions has been chosen. The corresponding mathematical model involves an ODE-type constraint, uncertain parameter related to the material characteristics and multiple criteria. As a~result, a~multi-criteria stochastic nonlinear optimization model...