Reverse-time modeling, optimal control and large deviations

DOI10.1016/0167-6911(89)90045-5zbMATH Open0679.93070OpenAlexW956428886MaRDI QIDQ1823218FDOQ1823218

Authors Michael R. Frater, R. A. Kennedy, Brian D. O. Anderson

Publication date 1989

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6911(89)90045-5

zbMATH Keywords

diffusionslarge deviations theorydeterministic optimal controlexit trajectoriesGauss-Markov discrete- time systemsreverse-time modeling

Mathematics Subject Classification ID

Large deviations (60F10) Diffusion processes (60J60) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05) Nonlinear systems in control theory (93C10) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3343633 (Why is no real title available?)
• A further note on backwards Markovian models (Corresp.)
• Correction
• Exit problem and control theory
• Large deviations and rare events in the study of stochastic algorithms
• Optimal control problems over large time intervals
• Optimal state estimation in high noise
• Residence time control
• Reverse-time diffusion equation models

Cited in

(2)

• scientific article; zbMATH DE number 4159497 (Why is no real title available?)
• Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo

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