Sökning: "extended Hamilton-Jacobi-Bellman"

Hittade 2 uppsatser innehållade orden extended Hamilton-Jacobi-Bellman.

1. 1. Real Time Reachability Analysis for Marine Vessels

   Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Författare :Sudakshin Ganesan; [2018]
   Nyckelord :Reachable set; Safety Verification; Marine dynamics; Machine Learning; Optimal control; Säkerhetsverifiering; nåbarhetsanalys; fartyg dynamisk;

   Sammanfattning : Safety verification of continuous dynamical systems require the computationof the reachable set. The reachable set comprises those states the systemcan reach at a specific point in time. LÄS MER

3. 2. Equilibrium Strategies for Time-Inconsistent Stochastic Optimal Control of Asset Allocation

   Master-uppsats, KTH/Optimeringslära och systemteori

   Författare :Johan Dimitry El Baghdady; [2017]
   Nyckelord :Stochastic optimal control; dynamic programming; asset allocation; non-cooperative games; subgame perfect Nash equilibrium; time-inconsistency; dynamic portfolio optimization; mean-variance; state dependent risk aversion; extended Hamilton-Jacobi-Bellman; execution algorithms.; Stokastisk optimal styrning; dynamisk programmering; tillgångsallokering; icke-kooperativa spel; Nashjämvikt; tidsinkonsistens; dynamisk portföljoptimering; avvägning mellan förväntad avkastning och varians; tillståndsberoende riskhantering; utökad Hamilton-Jacobi-;

   Sammanfattning : We have examinined the problem of constructing efficient strategies for continuous-time dynamic asset allocation. In order to obtain efficient investment strategies; a stochastic optimal control approach was applied to find optimal transaction control. LÄS MER