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Stochastic optimal control subject to ambiguity
(2011)
The aim of this paper is to address optimality of control strategies for stochastic control systems subject to uncertainty and ambiguity. Uncertainty corresponds to the case when the true dynamics and the nominal dynamics ...
Information states in optimal control of stochastic systems: A Lie algebraic theoretic approach
(IEEE, 1997)
In this paper we introduce the sufficient statistic algebra which is responsible for propagating the sufficient statistic, or information state, in the optimal control of stochastic systems. Using a Lie algebraic formulation, ...
Applications of minimum principle for continuous-time partially observable risk-sensitive control problems
(IEEE, 1995)
This paper employs the minimum principle derived in [1], for nonlinear partially observable exponential of integral control problems, to solve linear-exponential-quadratic-Gaussian (LEQG) tracking problems using two different ...
Exact filters for Newton-Raphson parameter estimation algorithms for continuous-time partially observed stochastic systems
(IEEE, 1999)
This paper presents explicit finite-dimensional filters for implementing Newton-Raphson (NR) parameter estimation algorithms. The models which exhibit nonlinear parameter dependence are stochastic, continuous-time and ...
Stochastic nonlinear minimax dynamic games with noisy measurements
(2003)
This note is concerned with nonlinear stochastic minimax dynamic games which are subject to noisy measurements. The minimizing players are control inputs while the maximizing players are square-integrable stochastic ...
Maximum Likelihood parameter estimation from incomplete data via the sensitivity equations: The continuous-time case
(IEEE, 1999)
The problem of estimating the parameters for continuous-time partially observed systems is discussed. New exact filters for obtaining Maximum Likelihood (ML) parameter estimates via the Expectation Maximization algorithm ...
Conditional moment generating functions for integrals and stochastic integrals
(2003)
In this paper we present two methods for computing filtered estimates for moments of integrals and stochastic integrals of continuous-time nonlinear systems. The first method utilizes recursive stochastic partial differential ...
Stochastic optimal control of discrete-time systems subject to conditional distribution uncertainty
(2011)
The aim of this paper is to address optimality of control strategies for stochastic discrete time control systems subject to conditional distribution uncertainty. This type of uncertainty is motivated from the fact that ...
Optimization of Stochastic Uncertain Systems: Large Deviations and Robustness
(2003)
This paper is concerned with an abstract formulation of stochastic uncertain control systems, in which the pay-off is described by the relative entropy between the nominal measure and the uncertain measure, while the ...
Stochastic power control for short-term flat fading wireless networks: Almost sure QoS measures
(2001)
The power control of wireless networks is formulated using a stochastic optimal control framework, in which the evolution of the channel is described by stochastic differential equations. Under this scenario, average and ...