Optimal Control and Stochastic Parameter Estimation

DOI10.1515/156939606779329062MaRDI QIDQ5757067zbMATH OpenFDO

Authors

Publication date 24 August 2007

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/156939606779329062

zbMATH Keywords

Bayesian inferenceBurgers equationconvergencecovariance matrixHessian matrixMonte Carlo methodstochastic optimal control

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical optimization and variational techniques (65K10)

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Cites work

• Hermite expansions in Monte-Carlo computation
• scientific article; zbMATH DE number 1235108 (Why is no real title available?)
• Some numerical experiments with variable-storage quasi-Newton algorithms

Cited in

(12)

• A parametric stochastic optimal control problem
• Optimal procedures in a scheme of parametric estimation of controlled dynamical systems. II
• Constrained optimal estimation and control
• Optimal strategies for the control of autonomous vehicles in data assimilation
• Optimal observations-based retrieval of topography in 2D shallow water equations using PC-EnKF
• An efficient sampling method for stochastic inverse problems
• A systematic study of efficient sampling methods to quantify uncertainty in crack propagation and the Burgers equation
• Optimal control with random parameters: a multiscale approach
• scientific article; zbMATH DE number 1484018 (Why is no real title available?)
• Deterministic and Stochastic Optimal Control and Inverse Problems
• Chapter 2: Optimal control and variational data assimilation
• scientific article; zbMATH DE number 5210013 (Why is no real title available?)

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