The Maximum Principle for Partially Observed Optimal Control of FBSDE Driven by Teugels Martingales and Independent Brownian Motion

2017 ◽  
Vol 24 (2) ◽  
pp. 201-222 ◽  
Author(s):  
S. Bougherara ◽  
N. Khelfallah
Keyword(s):  
Optimal Control ◽  
Brownian Motion ◽  
Maximum Principle ◽  
The Maximum Principle ◽  
Partially Observed ◽  
Independent Brownian Motion ◽  
Teugels Martingales

General necessary conditions for partially observed optimal stochastic controls

1995 ◽  
Vol 32 (4) ◽  
pp. 1118-1137 ◽  
Author(s):  
Xunjing Li ◽  
Shanjian Tang
Keyword(s):  
Optimal Control ◽  
Maximum Principle ◽  
Control Problem ◽  
Necessary Conditions ◽  
Probabilistic Approach ◽  
The Maximum Principle ◽  
Finite Dimensional ◽  
Partially Observed ◽  
Stochastic Controls ◽  
Partially Observable

The partially observed control problem is considered for stochastic processes with control entering into the diffusion and the observation. The maximum principle is proved for the partially observable optimal control. A pure probabilistic approach is used, and the adjoint processes are characterized as solutions of related backward stochastic differential equations in finite-dimensional spaces. Most of the derivation is identified with that of the completely observable case.

General necessary conditions for partially observed optimal stochastic controls

1995 ◽  
Vol 32 (04) ◽  
pp. 1118-1137 ◽  
Author(s):  
Xunjing Li ◽  
Shanjian Tang
Keyword(s):  
Optimal Control ◽  
Maximum Principle ◽  
Control Problem ◽  
Necessary Conditions ◽  
Probabilistic Approach ◽  
The Maximum Principle ◽  
Finite Dimensional ◽  
Partially Observed ◽  
Stochastic Controls ◽  
Partially Observable

The partially observed control problem is considered for stochastic processes with control entering into the diffusion and the observation. The maximum principle is proved for the partially observable optimal control. A pure probabilistic approach is used, and the adjoint processes are characterized as solutions of related backward stochastic differential equations in finite-dimensional spaces. Most of the derivation is identified with that of the completely observable case.

Optimal Control of a General Environmental Space

1986 ◽  
Vol 108 (4) ◽  
pp. 330-339 ◽  
Author(s):  
M. A. Townsend ◽  
D. B. Cherchas ◽  
A. Abdelmessih
Keyword(s):  
Optimal Control ◽  
Maximum Principle ◽  
Moisture Content ◽  
Control Strategies ◽  
Switching Control ◽  
The Maximum Principle ◽  
Environmental Space ◽  
And Performance

This study considers the optimal control of dry bulb temperature and moisture content in a single zone, to be accomplished in such a way as to be implementable in any zone of a multi-zone system. Optimality is determined in terms of appropriate cost and performance functions and subject to practical limits using the maximum principle. Several candidate optimal control strategies are investigated. It is shown that a bang-bang switching control which is theoretically periodic is a least cost practical control. In addition, specific attributes of this class of problem are explored.

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