Papers by Keyword: Stochastic Control

Abstract: We introduce a class of stochastic capital system with Marvokian switching and Poisson jumps, establish necessary condition for near-optimality. The proof of the main results is based on Ito's formula, Ekeland's variational principle and some estimates on the state and the adjoint process with respect to the control variable.

Abstract: A generalized minimum variance controller is developed for linear time-varying systems for servo applications. The plants to be controlled is described using a SISO CARMA model and the control objective is to minimize a generalized minimum variance performance index, where the output tracking error variance is penalized by squared incremental of plant input in order to reduce fluctuation in plant input and attenuate process disturbances.

Abstract: This paper investigate the problem of Robust H∞ filtering for stochastic networked control system with nonlinearities and missing measurements. In this paper, missing measurements and nonlinearities are considered. The sufficient conditions for the existence of the filter are given, thus, guaranteeing the filter error system exponentially stable in the mean-square sense and the performance satisfies a prescribed level by employing the new Lyapunov-Krasovskii functional and linear matrix inequality technique, some new sufficient conditions are obtained.

Abstract: In this paper, the aviation supplies inventory in maintenance process is taken as the study subject. Based on reasonable hypothesis, aviation supplies consuming process in a fixed period is regarded as stochastic process, and inventory process and inventory control system model are built. Take tire inventory as an example and then the model parameters have been identified. On this basis, aviation supplies inventory control system is designed by means of stochastic control theory, which could optimize inventory quantity. Finally, simulate inventory control process by MATLAB simulation software. The results show that inventory variance and average inventory quantity decrease, which can significantly reduce the stock fund and maintenance cost.

Abstract: In this paper a continuous-time portfolio optimization decision with the redemption is made, a typical portfolio selection model is established by use of Bellman principle of optimality and HJB equation, we derive the optimal strategy and efficient frontier with general stochastic control technique. Its research methodologies can be applied in the practical work such as investment funds management and financial risk management to raise the scientificity of decisions. It is of great referential and inspirational value to provide solutions to practical problem in real investment process.