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Optimal Control With Noisy Time
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DOI：10.1109/TAC.2015.2444234.png)
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摘要
En 中文
This paper examines stochastic optimal control problems in which the state is perfectly known, but the controller's measure of time is a stochastic process derived from a strictly increasing Levy process. We provide dynamic programming results for continuous-time finite-horizon control and specialize these results to solve a noisy-time variant of the linear quadratic regulator problem and a portfolio optimization problem with random trade activity rates. For the linear quadratic case, the optimal controller is linear and can be computed from a generalization of the classical Riccati differential equation.
Keyword:
Optimal control
stochastic optimal control
stochastic systems
uncertain time
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期刊
IF:
7
论文数:
1.3W
被引数:
6.7W
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