All a b c d e f g h i j k l m n o p q r s t u v w x y z Other

Previous Page 2

Displaying 21 – 37 of 37

Showing per page

Stationary optimal policies in a class of multichain positive dynamic programs with finite state space and risk-sensitive criterion

Rolando Cavazos-Cadena, Raul Montes-de-Oca (2001)

Applicationes Mathematicae

This work concerns Markov decision processes with finite state space and compact action sets. The decision maker is supposed to have a constant-risk sensitivity coefficient, and a control policy is graded via the risk-sensitive expected total-reward criterion associated with nonnegative one-step rewards. Assuming that the optimal value function is finite, under mild continuity and compactness restrictions the following result is established: If the number of ergodic classes when a stationary policy...

Stochastic control optimal in the Kullback sense

Jan Šindelář, Igor Vajda, Miroslav Kárný (2008)

Kybernetika

The paper solves the problem of minimization of the Kullback divergence between a partially known and a completely known probability distribution. It considers two probability distributions of a random vector ( u 1 , x 1 , ... , u T , x T ) on a sample space of 2 T dimensions. One of the distributions is known, the other is known only partially. Namely, only the conditional probability distributions of x τ given u 1 , x 1 , ... , u τ - 1 , x τ - 1 , u τ are known for τ = 1 , ... , T . Our objective is to determine the remaining conditional probability distributions of u τ given u 1 , x 1 , ... , u τ - 1 , x τ - 1 such...

Stochastic differential games involving impulse controls

Feng Zhang (2011)

ESAIM: Control, Optimisation and Calculus of Variations

A zero-sum stochastic differential game problem on infinite horizon with continuous and impulse controls is studied. We obtain the existence of the value of the game and characterize it as the unique viscosity solution of the associated system of quasi-variational inequalities. We also obtain a verification theorem which provides an optimal strategy of the game.

Stochastic differential games involving impulse controls*

Feng Zhang (2011)

ESAIM: Control, Optimisation and Calculus of Variations

A zero-sum stochastic differential game problem on infinite horizon with continuous and impulse controls is studied. We obtain the existence of the value of the game and characterize it as the unique viscosity solution of the associated system of quasi-variational inequalities. We also obtain a verification theorem which provides an optimal strategy of the game.

Stochastic diffrential equations on Banach spaces and their optimal feedback control

(2012)

Discussiones Mathematicae, Differential Inclusions, Control and Optimization

In this paper we consider stochastic differential equations on Banach spaces (not Hilbert). The system is semilinear and the principal operator generating a C₀-semigroup is perturbed by a class of bounded linear operators considered as feedback operators from an admissible set. We consider the corresponding family of measure valued functions and present sufficient conditions for weak compactness. Then we consider applications of this result to several interesting optimal feedback control problems....

Stochastic evolution equations on Hilbert spaces with partially observed relaxed controls and their necessary conditions of optimality

N.U. Ahmed (2014)

Discussiones Mathematicae, Differential Inclusions, Control and Optimization

In this paper we consider the question of optimal control for a class of stochastic evolution equations on infinite dimensional Hilbert spaces with controls appearing in both the drift and the diffusion operators. We consider relaxed controls (measure valued random processes) and briefly present some results on the question of existence of mild solutions including their regularity followed by a result on existence of partially observed optimal relaxed controls. Then we develop the necessary conditions...

Stochastic Inverse Problem with Noisy Simulator. Application to aeronautical model

Nabil Rachdi, Jean-Claude Fort, Thierry Klein (2012)

Annales de la faculté des sciences de Toulouse Mathématiques

Inverse problem is a current practice in engineering where the goal is to identify parameters from observed data through numerical models. These numerical models, also called Simulators, are built to represent the phenomenon making possible the inference. However, such representation can include some part of variability or commonly called uncertainty (see [4]), arising from some variables of the model. The phenomenon we study is the fuel mass needed to link two given countries with a commercial...

Stochastic multivariable self-tuning tracker for non-gaussian systems

Vojislav Filipovic (2005)

International Journal of Applied Mathematics and Computer Science

This paper considers the properties of a minimum variance self-tuning tracker for MIMO systems described by ARMAX models. It is assumed that the stochastic noise has a non-Gaussian distribution. Such an assumption introduces into a recursive algorithm a nonlinear transformation of the prediction error. The system under consideration is minimum phase with different dimensions for input and output vectors. In the paper the concept of Kronecker's product is used, which allows us to represent unknown...

Strong average optimality criterion for continuous-time Markov decision processes

Qingda Wei, Xian Chen (2014)

Kybernetika

This paper deals with continuous-time Markov decision processes with the unbounded transition rates under the strong average cost criterion. The state and action spaces are Borel spaces, and the costs are allowed to be unbounded from above and from below. Under mild conditions, we first prove that the finite-horizon optimal value function is a solution to the optimality equation for the case of uncountable state spaces and unbounded transition rates, and that there exists an optimal deterministic...

Currently displaying 21 – 37 of 37

Previous Page 2