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

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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)

Cites Work

• Optimal control problems over large time intervals
• Title not available (Why is that?)
• Optimal state estimation in high noise
• Reverse-time diffusion equation models
• Large deviations and rare events in the study of stochastic algorithms
• Exit problem and control theory
• Residence time control
• A further note on backwards Markovian models (Corresp.)
• Correction

Cited In (2)

• Title not available (Why is that?)
• Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo

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