Stochastic optimal control — A concise introduction

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

Bayesian statistics: a concise introduction

In Bayesian statistics, probability is interpreted as representing the degree of belief in a proposition, such as “the mean of X is 0.44”, or “the polar ice cap will melt in 2020”, or “the polar ice cap would have melted in 2000 if we had not...”, etc. Thus we see it can be applied to reasoning about one time events (ice cap melting), counterfactual events (ice cap would have melted), as well a...

Stochastic optimal control theory

Control theory is a mathematical description of how to act optimally to gain future rewards. In this paper I give an introduction to deterministic and stochastic control theory; partial observability, learning and the combined problem of inference and control. Subsequently, I discuss a class of non-linear stochastic control problems that can be efficiently solved using a path integral. In this ...

Pathwise Stochastic Optimal Control

This paper approaches optimal control problems for discrete-time controlled Markov processes by representing the value of the problem in a dual Lagrangian form; the value is expressed as an infimum over a family of Lagrangian martingales of an expectation of a pathwise supremum of the objective adjusted by the Lagrangian martingale term. This representation opens up the possibility of numerical...

quantitative determination of optimal fiscal and monetary policies: a stochastic optimal control analysis for iran