Particle methods for stochastic optimal control problems

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Dynamic consistency for stochastic optimal control problems

For a sequence of dynamic optimization problems, we aim at discussing a notion of consistency over time. This notion can be informally introduced as follows. At the very first time step t0, the decision maker formulates an optimization problem that yields optimal decision rules for all the forthcoming time step t0, t1, . . . , T ; at the next time step t1, he is able to formulate a new optimiza...

متن کامل

A New Optimal Solution Concept for Fuzzy Optimal Control Problems

In this paper, we propose the new concept of optimal solution for fuzzy variational problems based on the possibility and necessity measures. Inspired by the well–known embedding theorem, we can transform the fuzzy variational problem into a bi–objective variational problem. Then the optimal solutions of fuzzy variational problem can be obtained by solving its corresponding biobjective variatio...

متن کامل

Regression methods for stochastic control problems

In this paper we develop several regression algorithms for solving general stochastic optimal control problems via Monte Carlo. This type of algorithms is particulary useful for problems with high-dimensional state space and complex dependence structure of the underlying Markov process with respect to some control. The main idea of the algorithms is to simulate a set of trajectories under some ...

متن کامل

Stochastic Collocation for Optimal Control Problems with Stochastic PDE Constraints

We discuss the use of stochastic collocation for the solution of optimal control problems which are constrained by stochastic partial differential equations (SPDE). Thereby the constraining SPDE depends on data which is not deterministic but random. Assuming a deterministic control, randomness within the states of the input data will propagate to the states of the system. For the solution of SP...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Computational Optimization and Applications

سال: 2013

ISSN: 0926-6003,1573-2894

DOI: 10.1007/s10589-013-9579-y