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Price decomposition in large-scale stochastic optimal control
Stochastic optimal control Decomposition methods
2011/1/20
We are interested in optimally driving a dynamical system that can be influenced by exogenous noises. This is generally called a Stochastic Optimal Control (SOC) problem and the Dynamic Programming (D...
Stochastic Optimal Control of Structural Systems
Stochastic Optimal Control structural engineering Structural Systems
2009/9/25
The stochastic optimal control is an important research subject in structural engineering. Recently, a stochastic optimal nonlinear control method has been proposed based on the stochastic dynamical ...
In this paper, we use the solutions of forward-backward stochastic differentialequations to get the explicit form of the optimal control for linear quadraticstochastic optimal control problem and the ...