Search Results - subject:"Stochastic Control"

Optimal Control of a Class of Systems with Continuous Lags : Dynamic Programming Approach and Economic Interpretations

Hartl, R. F.; Sethi, Suresh - 2019

This paper derives a maximum principle for dynamic systems with continuous lags, i.e., systems governed by integrodifferential equations, using dynamic programming. As a result, the adjoint variables can be provided with useful economic interpretations

Persistent link: https://www.econbiz.de/10014046450

The Optimal Control Problem for Output Material Flow on Conveyor Belt With Input Accumulating Bunker

Pihnastyi, Oleh; Khodusov, Valery - 2019

The article is devoted to the synthesis of optimal control of the conveyor belt with the accumulating input bunker. Much attention is given to the model of the conveyor belt with a constant speed of the belt. Simulation of the conveyor belt is carried out in the one-moment approximation using...

Persistent link: https://www.econbiz.de/10014104339

Optimal Control Problems with Differential Inclusions : Sufficiency Conditions Inventory Model and an Application to a Production Inventory Model

Hartl, R. F. - 2019

In this paper we derive useful sufficiency optimality conditions for a class of optimal control problems subject to differential inclusions and involving non-differentiable functions. A production inventory problem is solved to illustrate our results

Persistent link: https://www.econbiz.de/10012906227

Optimal Control of the Parameters of the Production Line

Pihnastyi, Oleh - 2019

The problem of optimal control of the parameters of the production flow line - stocks (work in process) and the rate of processing of objects of labour for a technological operation is considered. The article presents a mathematical formulation of the problem of controlling the parameters of a...

Persistent link: https://www.econbiz.de/10012891414

A Backward Simulation Method for Stochastic Optimal Control Problems

Shen, Zhiyi - 2019

construction of auxiliary stochastic control model, an artificial simulation of the post-action value of state process, and a shape …. The Least-Squares Monte Carlo (LSMC) algorithm is a popular numerical method to approach solutions of such stochastic … control problems as analytical solutions are not tractable in general. This paper generalizes the LSMC algorithm proposed in …

Persistent link: https://www.econbiz.de/10012894503

Optimal Control of a Global Model of Climate Change with Adaptation and Mitigation

Atolia, Manoj - 2019

The Integrated Assessment Model (IAM) has extensively treated the adverse effects of climatechange and the appropriate mitigation policy. We extend such a model to include optimalpolicies for mitigation, adaptation and infrastructure investment studying the dynamics of thetransition to a low...

Persistent link: https://www.econbiz.de/10012895108

An Evolutionary Approach to Passive Learning in Optimal Control Problems

Blueschke, D. - 2019

This paper considers the optimal control problem of a small nonlinear econometric model under parameter uncertainty and passive learning (open-loop feedback). Traditionally, this type of problems has been approached by applying linear-quadratic optimization algorithms. However, the literature...

Persistent link: https://www.econbiz.de/10012895961

Algorithmic Trading, Stochastic Control, and Mutually-Exciting Processes

Cartea, Álvaro - 2019

We develop a high frequency (HF) trading strategy where the HF trader uses her superior speed to process information and to post limit sell and buy orders. By introducing a multifactor mutually exciting process we allow for feedback effects in market buy and sell orders and the shape of the...

Persistent link: https://www.econbiz.de/10012896261

Robust Time-Inconsistent Stochastic Linear-Quadratic Control

Han, Bingyan - 2019

This paper studies stochastic linear-quadratic control problems for an ambiguity-adverse agent with a time-inconsistent objective. We allow the agent to incorporate disturbances into the state's drift or choose an alternative model among a set of models equivalent to the reference model, to...

Persistent link: https://www.econbiz.de/10012899484

Bias-Corrected Least-Squares Monte Carlo for Utility Based Optimal Stochastic Control Problems

Andreasson, Johan - 2019

-dimensional stochastic control problems, including problems with state variables affected by control. However, when applied to the stochastic … control problems in the multi-period expected utility models, the regression fit tends to contain errors which accumulate over …

Persistent link: https://www.econbiz.de/10012901732