114 search results - page 6 / 23 » Regression Methods for Stochastic Control Problems and Their... |
CDC
2010
IEEE
13 years 2 months ago
2010
IEEE
Abstract-- Identification of output error models from frequency domain data generally results in a non-convex optimization problem. A well-known method to approach the output error...
AUTOMATICA
2006
13 years 7 months ago
2006
This paper examines a problem related to the optimal risk management of banks in a stochastic dynamic setting. In particular, we minimize7 market and capital adequacy risk that in...
SIAMNUM
2010
13 years 2 months ago
2010
In this paper we extend the discrete duality finite volume (DDFV) formulation to the steady convection-diffusion equation. The discrete gradients defined in DDFV are used to define...
SAC
2008
ACM
13 years 7 months ago
2008
ACM
We consider analysis of complex stochastic models based upon partial information. MCMC and reversible jump MCMC are often the methods of choice for such problems, but in some situ...
HYBRID
2004
Springer
14 years 1 months ago
2004
Springer
We present a parameter inference algorithm for autonomous stochastic linear hybrid systems, which computes a maximum-likelihood model, given only a set of continuous output data of...