917 search results - page 1 / 184 » Generalized Solutions in Nonlinear Stochastic Control Proble... |
SIAMCO
2002
13 years 4 months ago
2002
An optimal stochastic control problem is considered for systems with unbounded controls satisfying an integral constraint. It is shown that there exists an optimal control within t...
SIAMCO
2011
12 years 12 months ago
2011
We study properties of solutions to fully nonlinear versions of the standard Black– Scholes partial differential equation. These equations have been introduced in financial mat...
AUTOMATICA
2008
13 years 5 months ago
2008
: For an infinite-horizon optimal control problem, the cost does not, in general, converge. The classical work-around to this problem is to introduce a discount or "forgetting...
CDC
2008
IEEE
13 years 11 months ago
2008
IEEE
— Optimal control and estimation are dual in the LQG setting, as Kalman discovered, however this duality has proven difficult to extend beyond LQG. Here we obtain a more natural...
CDC
2009
IEEE
13 years 9 months ago
2009
IEEE
Abstract— Despite its simplicity (two controllers and otherwise LQG), Witsenhausen’s counterexample is one of the long-standing open problems in stochastic distributed control....