59 search results - page 5 / 12 » On the Optimal Stochastic Impulse Control of Linear Diffusio... |
SIAMCO
2008
13 years 7 months ago
2008
We introduce a new class of control problems in which the gain depends on the solution of a stochastic differential equation reflected at the boundary of a bounded domain, along d...
CDC
2009
IEEE
13 years 10 months ago
2009
IEEE
— This paper presents the optimal joint filtering and parameter identification problem for uncertain linear stochastic systems with unknown parameters in both state and observa...
IFIP
2005
Springer
14 years 29 days ago
2005
Springer
Two different approaches are proposed to enhance the efficiency of the numerical resolution of optimal control problems governed by a linear advection– diffusion equation. In ...
HYBRID
2007
Springer
14 years 1 months ago
2007
Springer
Hybrid discrete-continuous models, such as Jump Markov Linear Systems, are convenient tools for representing many real-world systems; in the case of fault detection, discrete jumps...
CDC
2008
IEEE
14 years 1 months ago
2008
IEEE
— Optimal control and estimation are dual in the LQG setting, as Kalman discovered, however this duality has proven difficult to extend beyond LQG. Here we obtain a more natural...