stochastic optimal control with applications in financial engineering
Hans P. Geering Optimal Control with Engineering Applications pot
... under Constraints 19 1.4 Exercises 22 2 Optimal Control 23 2.1 Optimal Control Problems with a Fixed Final State 24 2.1.1TheOptimalControlProblemofTypeA 24 2.1.2Pontryagin’sMinimumPrinciple 25 2.1.3Proof ... optimized). 2.1 Optimal Control Problems with a Fixed Final State In this section, Pontryagin’s Minimum Principle is derived for optimal control problems with a fixed final state (and no state constraints). ... Girona, Spaino 22 1 Introduction 1.4 Exercises 1. In all of the optimal control problems stated in this chapter, the control constraint Ω is required to be a time-invariant set in the control space R m . For...
Ngày tải lên: 05/03/2014, 18:20
stochastic global optimization techniques and applications in chemical engineering techniques and applications_in chemical engineering with cd rom
... University of Singapore, Singapore Advances in Process Systems Engineering – Vol. 2 STOCHASTIC GLOBAL OPTIMIZATION Techniques and Applications in Chemical Engineering 7669 tp.indd 2 4/22/10 ... Systems Engineering – Vol. 2 STOCHASTIC GLOBAL OPTIMIZATION Techniques and Applications in Chemical Engineering 7669 tp.indd 1 4/22/10 10:35:38 AM February 10, 2010 10:15 SPI-B852 9in x 6in b852-ch02 Formulation, ... 12. In uence of parameter γ on index SR for problem E2. both performance indices increase with decreasing values of T min .The lower limit on T min depends on the problem and also on values of control parameters:...
Ngày tải lên: 01/04/2014, 11:36
Optimal Control with Engineering Applications With 12 Figures Hans P. Geering potx
... 111 4.3 H ∞ -ControlviaDifferentialGames 113 Solutions to Exercises 117 References 129 Index 131 Hans P. Geering Optimal Control with Engineering Applications 26 2 Optimal Control Introducing the Hamiltonian ... and v ∈ [−π, π]. Hans P. Geering Optimal Control with Engineering Applications With 12 Figures 123 2 List of Symbols Integers i, j, k, indices m dimension of the control vector n dimension of ... 1.1. Optimal flying maneuver described in earth-fixed coordinates. viii Contents 2.3 Optimal Control Problems with a Free Final State 38 2.3.1TheOptimalControlProblemofTypeC 38 2.3.2Pontryagin’sMinimumPrinciple...
Ngày tải lên: 27/06/2014, 08:20
Optimal Control with Engineering Applications Hans P. Geering pptx
... time-invariant. 38 2 Optimal Control 2.3 Optimal Control Problems with a Free Final State In this section, Pontryagin’s Minimum Principle is derived for optimal control problems with a completely ... functional J(u)= t b 0 dt is minimized. This problem has been solved in [15].
Ngày tải lên: 27/06/2014, 18:20
