On constrained stochastic optimal parameter selection problems

DOI10.1017/S0004972700018268MaRDI QIDQ3031889zbMATH OpenFDO

Authors C. J. Goh, Kok Lay Teo

Publication date 1990

Published in Bulletin of the Australian Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0004972700018268

zbMATH Keywords

constant state feedbackconstrained stochastic optimal parameter selectiongradient algorithmIto equationoptimal parameter estimationsecond order system with white noise inputsquare integral functionalWiener process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic methods, stochastic differential equations (65C99) Numerical optimization and variational techniques (65K10) Estimation and detection in stochastic control theory (93E10)

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Cites work

• A computational method for combined optimal parameter selection and optimal control problems with general constraints
• A simple computational procedure for optimization problems with functional inequality constraints
• Control parametrization: a unified approach to optimal control problems with general constraints
• scientific article; zbMATH DE number 193432 (Why is no real title available?)
• scientific article; zbMATH DE number 3502257 (Why is no real title available?)
• scientific article; zbMATH DE number 3635876 (Why is no real title available?)
• Numerical solution of an optimal control problem with a probability criterion
• On optimal parameter selection
• Optimal feedback control for a class of stochastic systems
• Optimal Parameter Selection of Parabolic Systems

Cited in

(2)

• The constrained Dantzig selector with enhanced consistency
• Optimal Sequential selection of n random variables under a constraint

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