The analysis of partially observed stochastic control problems often replaces the unknown state process with its conditional distribution given the observations. This technique rewrites the dynamics in terms of knowable processes whose costs coincide with the original processes. This paper considers stochastic processes having singular behavior and presents an approach which separates the deter...

Many microeconomic and engineering problems can be formulated as stochastic optimization problems that are modelled by Itô evolution systems and by cost functionals expressed as stochastic integrals. Our paper studies some optimization problems constrained by stochastic evolution systems, giving original results on stochastic first integrals, adjoint stochastic processes and a version of simpli...

this paper presents a new optimization algorithm to design an optimal proportional, integral, derivative (pid) controller in hydro-turbine generator governor for damping output frequency oscillations. in this research, we utilize a stochastic and optimal based pid controller to control frequency-response of the hydro turbine. the proposed algorithm is employed to design an optimal pid controlle...

A singular stochastic control problem with state constraints in twodimensions is studied. We show that the value function is C1 and its directional derivatives are the value functions of certain optimal stopping problems. Guided by the optimal stopping problem, we then introduce the associated no-action region and the free boundary and show that, under appropriate conditions, an optimally contr...

A singular stochastic control problem with state constraints in twodimensions is studied. We show that the value function is C1 and its direc­ tional derivatives are the value functions of certain optimal stopping prob­ lems. Guided by the optimal stopping problem, we then introduce the associ­ ated no-action region and the free boundary and show that, under appropriate conditions, an optimally...

A singular stochastic control problem with state constraints in two-dimensions is studied. We show that the value function is C and its directional derivatives are the value functions of certain optimal stopping problems. Guided by the optimal stopping problem, we then introduce the associated no-action region and the free boundary and show that, under appropriate conditions, an optimally contr...