A stochastic minimum principle and an adaptive pathwise algorithm for stochastic optimal control

DOI10.1016/J.AUTOMATICA.2013.02.053zbMath1360.93783OpenAlexW2158399406MaRDI QIDQ522803

Panos Parpas, Mort Webster

Publication date: 19 April 2017

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1721.1/99483

zbMATH Keywords

stochastic controlMonte Carlo simulationelectric power systems

Mathematics Subject Classification ID

Application models in control theory (93C95) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Optimality conditions for free problems in two or more independent variables (49K10)

Related Items (4)

On the information-based complexity of stochastic programming ⋮ Gradient iterative algorithm for dual-rate nonlinear systems based on a novel particle filter ⋮ A stochastic multiscale model for electricity generation capacity expansion ⋮ Multiobjective control for nonlinear stochastic Poisson jump-diffusion systems via T-S fuzzy interpolation and Pareto optimal scheme

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