Optimal launch conditions: An optimal stochastic control problem

Optimal Transportation Problem by Stochastic Optimal Control

We solve optimal transportation problem using stochastic optimal control theory. Indeed, for a super linear cost at most quadratic at infinity, we prove Kantorovich duality theorem by a zero noise limit (or vanishing viscosity) argument.. We also obtain a characterization of the support of an optimal measure in Monge-Kantorovich minimization problem (MKP) as a graph. Our key tool is a duality r...

An optimal control problem for a engineering system

In this article, we apply this new method for solving an engineering systemwith initial and boundary conditions and integral criterion ,and we will usingdynamic programming as iteration for solving model.

Nonlinear Optimal Control Techniques Applied to a Launch Vehicle Autopilot

This paper presents an application of the nonlinear optimal control techniques to the design of launch vehicle autopilots. The optimal control is given by the solution to the Hamilton-Jacobi-Bellman (HJB) equation, which in this case cannot be solved explicity. A method based upon Successive Galerkin Approximation (SGA), is used to obtain an approximate optimal solution. Simulation results invo...

Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem

We characterize the value of swing contracts in continuous time as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation with suitable boundary conditions. The case of contracts with penalties is straightforward, and in that case only a terminal condition is needed. Conversely, the case of contracts with strict constraints gives rise to a stochastic control problem with a nonstand...

Quantitative Determination Of Optimal Fiscal And Monetary Policies: A Stochastic Optimal Control Analysis For Iran