This paper presents a computationally fesible procedure for the optimal control and stochastic simulation of large nonlinear models with rational expectations under the assumption of certainty equivalence.

This paper discusses the optimal preview control problem for a class of linear continuous stochastic control systems in the infinite horizon, based on the augmented error system method. Firstly, an assistant system is designed and the state equation is translated to the assistant system.Then, an integrator is introduced to construct a stochastic augmented error system. As a result, the tracking...

The solution of a stochastic control problem depends on the underlying model. The actual real world model may not be known precisely and so one solves the problem for a hypothetical model, that is in general different but close to the real one; the optimal (or nearly optimal) control of the hypothetical model is then used as solution for the real problem. In this paper we assume that, what is n...

Recent works have demonstrated the experimental feasibility of real-time gene expression control based on deterministic controllers. By taking control of the level of intracellular proteins, one can probe single-cell dynamics with unprecedented flexibility. However, single-cell dynamics are stochastic in nature, and a control framework explicitly accounting for this variability is presently lac...

In this paper, we study a class of optimal stochastic control problems involving two different time scales. The fast mode of the system is represented by deterministic state equations whereas the slow mode of the system corresponds to a jump disturbance process. Under a fundamental “ergodicity” property for a class of “infinitesimal control systems” associated with the fast mode, we show that t...

This paper examines the numerical implementation of a linear programming (LP) formulation of stochastic control problems involving singular stochastic processes. The decision maker has the ability to influence a diffusion process through the selection of its drift rate (a control that acts absolutely continuously in time) and may also decide to instantaneously move the process to some other lev...