Risk Sensitive Optimal Control
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Risk Sensitive Optimal Control
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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.
Risk Sensitive Optimal Control Of Hidden Markov Models
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Author : E. Fernández-Gaucherand
language : en
Publisher:
Release Date : 1994
Risk Sensitive Optimal Control Of Hidden Markov Models written by E. Fernández-Gaucherand and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with categories.
Risk Sensitive Optimal Control And Differential Games
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Author : Wendell Helms Fleming
language : en
Publisher:
Release Date : 1992
Risk Sensitive Optimal Control And Differential Games written by Wendell Helms Fleming and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with categories.
Risk Sensitive Optimal Control With Forward Looking Variables
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Author : Guido Traficante
language : en
Publisher:
Release Date : 2023
Risk Sensitive Optimal Control With Forward Looking Variables written by Guido Traficante and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023 with categories.
We discuss how to solve infinite-horizon optimal control problems with recursive preferences à la Hansen and Sargent (1995) when both backward and forward-looking variables enter into the law of motion regulating the system dynamics. With our analysis we establish: 1) under which conditions the risk-adjustment in the objective function of the standard linear-quadratic formulation introduced by Hansen and Sargent affects the optimal policy; 2) how the optimal rule in a stationary solution is identified solving two distinct fixed-point problems, the former pertaining to the optimization exercise, the latter to the expected values of the forward-looking variables. Applying our methodology to Smets and Wouters' (Smets and Wouters, 2003) new-Keynesian model of monetary policy, we show how a central bank endowed with recursive preferences `a la Hansen and Sargent (1995) selects a more aggressive policy than one furnished with quadratic costs.
Optimal Control
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Author : Peter Whittle
language : en
Publisher: Wiley
Release Date : 1996-08-06
Optimal Control written by Peter Whittle and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996-08-06 with Mathematics categories.
The concept of a system as an entity in its own right has emerged with increasing force in the past few decades in, for example, the areas of electrical and control engineering, economics, ecology, urban structures, automaton theory, operational research and industry. The more definite concept of a large-scale system is implicit in these applications, but is particularly evident in fields such as the study of communication networks, computer networks and neural networks. The Wiley-Interscience Series in Systems and Optimization has been established to serve the needs of researchers in these rapidly developing fields. It is intended for works concerned with developments in quantitative systems theory, applications of such theory in areas of interest, or associated methodology. This is the first book-length treatment of risk-sensitive control, with many new results. The quadratic cost function of the standard LQG (linear/quadratic/Gaussian) treatment is replaced by the exponential of a quadratic, giving the so-called LEQG formulation allowing for a degree of optimism or pessimism on the part of the optimiser. The author is the first to achieve formulation and proof of risk-sensitive versions of the certainty-equivalence and separation principles. Further analysis allows one to formulate the optimization as the extremization of a path integral and to characterize the solution in terms of canonical factorization. It is thus possible to achieve the long-sought goal of an operational stochastic maximum principle, valid for a higher-order model, and in fact only evident when the models are extended to the risk-sensitive class. Additional results include deduction of compact relations between value functions and canonical factors, the exploitation of the equivalence between policy improvement and Newton Raphson methods and the direct relation of LEQG methods to the H??? and minimum-entropy methods. This book will prove essential reading for all graduate students, researchers and practitioners who have an interest in control theory including mathematicians, engineers, economists, physicists and psychologists. 1990 Stochastic Programming Peter Kall, University of Zurich, Switzerland and Stein W. Wallace, University of Trondheim, Norway Stochastic Programming is the first textbook to provide a thorough and self-contained introduction to the subject. Carefully written to cover all necessary background material from both linear and non-linear programming, as well as probability theory, the book draws together the methods and techniques previously described in disparate sources. After introducing the terms and modelling issues when randomness is introduced in a deterministic mathematical programming model, the authors cover decision trees and dynamic programming, recourse problems, probabilistic constraints, preprocessing and network problems. Exercises are provided at the end of each chapter. Throughout, the emphasis is on the appropriate use of the techniques, rather than on the underlying mathematical proofs and theories, making the book ideal for researchers and students in mathematical programming and operations research who wish to develop their skills in stochastic programming. 1994
Linear Risk Averse Optimal Control Problems
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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.
Risk Sensitive Investment Management
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Author : Mark H A Davis
language : en
Publisher: World Scientific
Release Date : 2014-07-21
Risk Sensitive Investment Management written by Mark H A Davis and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-07-21 with Business & Economics categories.
Over the last two decades, risk-sensitive control has evolved into an innovative and successful framework for solving dynamically a wide range of practical investment management problems.This book shows how to use risk-sensitive investment management to manage portfolios against an investment benchmark, with constraints, and with assets and liabilities. It also addresses model implementation issues in parameter estimation and numerical methods. Most importantly, it shows how to integrate jump-diffusion processes which are crucial to model market crashes.With its emphasis on the interconnection between mathematical techniques and real-world problems, this book will be of interest to both academic researchers and money managers. Risk-sensitive investment management links stochastic control and portfolio management. Because of its distinct emphasis on integrating advanced theoretical concepts into practical dynamic investment management tools, this book stands out from the existing literature in fundamental ways. It goes beyond mainstream research in portfolio management in a traditional static setting. The theoretical developments build on contemporary research in stochastic control theory, but are informed throughout by the need to construct an effective and practical framework for dynamic portfolio management.This book fills a gap in the literature by connecting mathematical techniques with the real world of investment management. Readers seeking to solve key problems such as benchmarked asset management or asset and liability management will certainly find it useful.
Risk Sensitive Control And An Optimal Investment Model
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Author : Wendell H. Fleming
language : en
Publisher:
Release Date : 2001
Risk Sensitive Control And An Optimal Investment Model written by Wendell H. Fleming and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
We consider an optimal investment model in which the goal is to maximize the long-term growth rate of expected utility of wealth. In the model, the mean returns of the securities are explicitly affected by the underlying economic factors. The utility function is HARA. The problem is reformulated as an infinite time horizon risk-sensitive control problem. We study the dynamic programming equation associated with this control problem and derive some consequences of the investment problem.
Robust Control Design Using H Methods
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Author : Ian R. Petersen
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Robust Control Design Using H Methods written by Ian R. Petersen 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 Technology & Engineering categories.
This is a unified collection of important recent results for the design of robust controllers for uncertain systems, primarily based on H8 control theory or its stochastic counterpart, risk sensitive control theory. Two practical applications are used to illustrate the methods throughout.
Stochastic Theory And Adaptive Control
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Author : T. E. Duncan
language : en
Publisher: Springer
Release Date : 1992
Stochastic Theory And Adaptive Control written by T. E. Duncan and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Mathematics categories.
This workshop on stochastic theory and adaptive control assembled many of the leading researchers on stochastic control and stochastic adaptive control to increase scientific exchange and cooperative research between these two subfields of stochastic analysis. The papers included in the proceedings include survey and research. They describe both theoretical results and applications of adaptive control. There are theoretical results in identification, filtering, control, adaptive control and various other related topics. Some applications to manufacturing systems, queues, networks, medicine and other topics are gien.