Linear Risk Averse Optimal Control Problems

DOWNLOAD

Download Linear Risk Averse Optimal Control Problems PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Linear Risk Averse Optimal Control Problems book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page

Linear Risk Averse Optimal Control Problems

DOWNLOAD
Author : Paolo Vitale
language : en
Publisher:
Release Date : 2013

Linear Risk Averse Optimal Control Problems written by Paolo Vitale and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.

We discuss how Whittle's (Whittle, 1990) approach to risk-sensitive optimal control problems can be applied in economics and finance. We show how his analysis of the class of Linear Exponential Quadratic Gaussian problems can be extended to accommodate time-discounting, while preserving its simple and general recursive solutions. We apply Whittle's methodology investigating two specific problems in financial economics and monetary policy.

Linear Quadratic Controls In Risk Averse Decision Making

DOWNLOAD
Author : Khanh D. Pham
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-10-23

Linear Quadratic Controls In Risk Averse Decision Making written by Khanh D. Pham and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-10-23 with Mathematics categories.

​​Linear-Quadratic Controls in Risk-Averse Decision Making cuts across control engineering (control feedback and decision optimization) and statistics (post-design performance analysis) with a common theme: reliability increase seen from the responsive angle of incorporating and engineering multi-level performance robustness beyond the long-run average performance into control feedback design and decision making and complex dynamic systems from the start. This monograph provides a complete description of statistical optimal control (also known as cost-cumulant control) theory. In control problems and topics, emphasis is primarily placed on major developments attained and explicit connections between mathematical statistics of performance appraisals and decision and control optimization. Chapter summaries shed light on the relevance of developed results, which makes this monograph suitable for graduate-level lectures in applied mathematics and electrical engineering with systems-theoretic concentration, elective study or a reference for interested readers, researchers, and graduate students who are interested in theoretical constructs and design principles for stochastic controlled systems.​

Risk Averse Optimization And Control

DOWNLOAD
Author : Darinka Dentcheva
language : en
Publisher: Springer Nature
Release Date :

Risk Averse Optimization And Control written by Darinka Dentcheva and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.

Risk Sensitive Optimal Control

DOWNLOAD
Author : Peter Whittle
language : en
Publisher:
Release Date : 1990-05-11

Risk Sensitive Optimal Control written by Peter Whittle and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990-05-11 with Mathematics categories.

The two major themes of this book are risk-sensitive control and path-integral or Hamiltonian formulation. It covers risk-sensitive certainty-equivalence principles, the consequent extension of the conventional LQG treatment and the path-integral formulation.

Resilient Controls For Ordering Uncertain Prospects

DOWNLOAD
Author : Khanh D. Pham
language : en
Publisher: Springer
Release Date : 2014-09-05

Resilient Controls For Ordering Uncertain Prospects written by Khanh D. Pham and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-09-05 with Mathematics categories.

Providing readers with a detailed examination of resilient controls in risk-averse decision, this monograph is aimed toward researchers and graduate students in applied mathematics and electrical engineering with a systems-theoretic concentration. This work contains a timely and responsive evaluation of reforms on the use of asymmetry or skewness pertaining to the restrictive family of quadratic costs that have been appeared in various scholarly forums. Additionally, the book includes a discussion of the current and ongoing efforts in the usage of risk, dynamic game decision optimization and disturbance mitigation techniques with output feedback measurements tailored toward the worst-case scenarios. This work encompasses some of the current changes across uncertainty quantification, stochastic control communities, and the creative efforts that are being made to increase the understanding of resilient controls. Specific considerations are made in this book for the application of decision theory to resilient controls of the linear-quadratic class of stochastic dynamical systems. Each of these topics are examined explicitly in several chapters. This monograph also puts forward initiatives to reform both control decisions with risk consequences and correct-by-design paradigms for performance reliability associated with the class of stochastic linear dynamical systems with integral quadratic costs and subject to network delays, control and communication constraints.

Linear Quadratic Controls In Risk Averse Decision Making

DOWNLOAD
Author : Khanh D. Pham
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-10-23

Linear Quadratic Controls In Risk Averse Decision Making written by Khanh D. Pham and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-10-23 with Mathematics categories.

​​Linear-Quadratic Controls in Risk-Averse Decision Making cuts across control engineering (control feedback and decision optimization) and statistics (post-design performance analysis) with a common theme: reliability increase seen from the responsive angle of incorporating and engineering multi-level performance robustness beyond the long-run average performance into control feedback design and decision making and complex dynamic systems from the start. This monograph provides a complete description of statistical optimal control (also known as cost-cumulant control) theory. In control problems and topics, emphasis is primarily placed on major developments attained and explicit connections between mathematical statistics of performance appraisals and decision and control optimization. Chapter summaries shed light on the relevance of developed results, which makes this monograph suitable for graduate-level lectures in applied mathematics and electrical engineering with systems-theoretic concentration, elective study or a reference for interested readers, researchers, and graduate students who are interested in theoretical constructs and design principles for stochastic controlled systems.​

Risk Averse Control Of Undiscounted Transient Markov Models

DOWNLOAD
Author : Ozlem Cavus
language : en
Publisher:
Release Date : 2012

Risk Averse Control Of Undiscounted Transient Markov Models written by Ozlem Cavus and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Markov processes categories.

The classical optimal control problems for discrete-time, transient Markov processes are infinite horizon, undiscounted expected total cost or reward models. Some examples of these models are optimal stopping problems and stochastic shortest or longest path problems, which may have applications in health-care, finance, and maintenance. However, such expected value models implicitly assume the decision maker is risk-neutral, so they may not be appropriate for several real-life problems. In this study, we use Markov risk measures to formulate a risk-averse version of the optimal control problem for transient Markov processes with general state and compact control spaces. We derive risk-averse dynamic programming equations and show that they have a unique solution which is also the optimal value of the Markov control problem. Furthermore, it is shown that a randomized policy may be strictly better than deterministic policies, when risk measures are employed. We suggest two algorithms, value iteration and policy iteration methods, for solving the dynamic programming equations and show their convergence. In general, each policy evaluation step of the policy iteration algorithm requires solving a system of nonsmooth equations. We use a version of nonsmooth Newton method to solve these equations and show its global convergence. We further consider a risk-averse finite horizon Markov control problem under randomized policies and derive a value iteration method for its solution. Finally, we work on asset selling, organ transplant, and credit card examples to illustrate the theory for infinite horizon problem, and present numerical results.

Control Theory Methods In Economics

DOWNLOAD
Author : Jati Sengupta
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Control Theory Methods In Economics written by Jati Sengupta and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.

Control theory methods in economics have historically developed over three phases. The first involved basically the feedback control rules in a deterministic framework which were applied in macrodynamic models for analyzing stabilization policies. The second phase raised the issues of various types of inconsistencies in deterministic optimal control models due to changing information and other aspects of stochasticity. Rational expectations models have been extensively used in this plan to resolve some of the inconsistency problems. The third phase has recently focused on the various aspects of adaptive control. where stochasticity and information adaptivity are introduced in diverse ways e.g .• risk adjustment and risk sensitivity of optimal control, recursive updating rules via Kalman filtering and weighted recursive least squares and variable structure control methods in nonlinear framework. Problems of efficient econometric estimation of optimal control models have now acquired significant importance. This monograph provides an integrated view of control theory methods, synthesizing the three phases from feedback control to stochastic control and from stochastic control to adaptive control. Aspects of econometric estimation are strongly emphasized here, since these are very important in empirical applications in economics.

Linear Optimal Control Problems And Generalized Linear Programs

DOWNLOAD
Author : University of Toronto. Faculty of Management Studies
language : en
Publisher:
Release Date : 1981

Linear Optimal Control Problems And Generalized Linear Programs written by University of Toronto. Faculty of Management Studies and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1981 with categories.

On Linear Optimal Control Problems With Multiple Quadratic Criteria

DOWNLOAD
Author : Ronald J. Stern
language : en
Publisher:
Release Date : 1972

On Linear Optimal Control Problems With Multiple Quadratic Criteria written by Ronald J. Stern and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1972 with Control theory categories.