PARTIALLY OBSERVABLE STOCHASTIC OPTIMAL CONTROL

被引：0

作者：

Wang, Guangchen ^{[1
]}

Xiong, Jie ^{[2
,3
]}

Zhang, Shuaiqi ^{[4
]}

机构：

[1] Shandong Univ, Sch Control Sci & Engn, Jinan 250061, Peoples R China

[2] Univ Macau, Dept Math, Taipa Macau, Peoples R China

[3] Univ Tennessee, Dept Math, Knoxville, TN 37996 USA

[4] Guangdong Univ Technol, Dept Econ, Guangzhou 510520, Guangdong, Peoples R China

来源：

INTERNATIONAL JOURNAL OF NUMERICAL ANALYSIS AND MODELING | 2016年 / 13卷 / 04期

关键词：

Branching particle system; forward-backward stochastic differential equation; numerical approximation; maximum principle; stochastic filtering; MAXIMUM PRINCIPLE; PARTICLE APPROXIMATION; FILTERING EQUATIONS; SYSTEMS; CONVERGENCE; STATE;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper is survey on some recent results in optimal control and stochastic filtering. The goal is not to cover all recent developments in control and filtering, instead we focus on maximum principle for optimality of partial information backward or forward-backward stochastic differential equations and branching particle approximation of nonlinear filtering.

引用

页码：493 / 512

页数：20

共 50 条

[1] Partially observable stochastic optimal control problems for an energy storage
Shardin, Anton A.
Wunderlich, Ralf
[J]. STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2017, 89 (01) : 280 - 310
[2] Nonlinear stochastic optimal control of partially observable linear structures
Zhu, WQ
Ying, ZG
[J]. ENGINEERING STRUCTURES, 2002, 24 (03) : 333 - 342
[3] On stochastic optimal control of partially observable nonlinear quasi Hamiltonian systems
朱位秋
应祖光
[J]. Journal of Zhejiang University-Science A(Applied Physics & Engineering), 2004, (11) : 2 - 6
[4] On stochastic optimal control of partially observable nonlinear quasi Hamiltonian systems
Zhu W.-Q.
Ying Z.-G.
[J]. Journal of Zhejiang University-SCIENCE A, 2004, 5 (11): : 1313 - 1317
[5] Classes of nonlinear partially observable stochastic optimal control problems with explicit optimal control laws
Charalambous, CD
Elliott, RJ
[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1998, 36 (02) : 542 - 578
[6] Optimal control for a partially observable queue
Tardelli, P
[J]. NEURAL, PARALLEL, AND SCIENTIFIC COMPUTATIONS, VOL 2, PROCEEDINGS, 2002, : 123 - 127
[7] OPTIMAL CONTROL OF PARTIALLY OBSERVABLE DIFFUSIONS
FLEMING, WH
[J]. SIAM JOURNAL ON CONTROL, 1968, 6 (02): : 194 - &
[8] OPTIMAL BANG-BANG CONTROL OF PARTIALLY OBSERVABLE STOCHASTIC-SYSTEMS
YAVIN, Y
REUTER, G
[J]. INTERNATIONAL JOURNAL OF SYSTEMS SCIENCE, 1981, 12 (02) : 147 - 161
[9] Partially-observable stochastic hybrid systems (poshss) state estimation and optimal control
Liu, Weiyi
Hwang, Inseok
[J]. ASIAN JOURNAL OF CONTROL, 2015, 17 (06) : 2072 - 2082
[10] Stochastic optimal control of partially observable nonlinear quasi-integrable Hamiltonian systems
Feng Ju
Zhu WeiQiu
Ying ZuGuang
[J]. SCIENCE CHINA-PHYSICS MECHANICS & ASTRONOMY, 2010, 53 (01) : 147 - 154

← 1 2 3 4 5 →