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Optimal Portfolio and Consumption in a Switching Diffusion MarketOptimal Portfolio and Consumption in a Switching Diffusion Market
(Sociedade Brasileira de Econometria, 2004)
Optimal production with preemption to meet stochastic demand
(Pergamon-elsevier Science LtdOxfordInglaterra, 1999)
On the observability and detectability of continuous-time Markov jump linear systems
(Siam PublicationsPhiladelphiaEUA, 2002)
Simultaneous optimization of topology and supplemental damping distribution for buildings subjected to stochastic excitation
(2021)
Supplemental damping devices present an attractive means to improve the structural system. Typically, dampers are designed after the structural system is selected, and they are added to increase structural damping and ...
Optimal execution problem: a mean field game and fictitious play study
(2020-06-26)
In this work we present the main ideas of the optimal execution problem and a couple of different approaches for its modelling. We focus on the Mean-Field Game approach, and observe how restrictive it can be as we only can ...
Numerical solution for linear-quadratic control problems of Markov jump linear systems and weak detectability concept
(Kluwer Academic/plenum PublNew YorkEUA, 2002)
On the time discretization of stochastic optimal control problems: The dynamic programming approach
(EDP Sciences, 2019-10)
In this work, we consider the time discretization of stochastic optimal control problems. Under general assumptions on the data, we prove the convergence of the value functions associated with the discrete time problems ...
Dynamic Allocation of Industrial Utilities as an Optimal Stochastic Tracking Problem
(Elsevier, 2016-11)
A new dynamic optimization strategy is substantiated for allocating demands, in a typical process plant, to a set of service equipment working in parallel. It is a stochastic process in nature, but its optimal control is ...