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Time-Inconsistent Optimal Control Problems and the Equilibrium HJB Equation
time-inconsistent optimal control problem equilibrium value function equilibrium Hamilton Jacobi-Bellman equation
2012/4/18
A general time-inconsistent optimal control problem is considered for stochastic differential equations with deterministic coefficients. Under suitable conditions, a Hamilton-Jacobi-Bellman type equat...
Solvability of the $H^\infty$ algebraic Riccati equation in Banach algebras
Riccati equations Banach algebras Systems over rings H1 control Spatially distributed dynamical systems
2011/9/21
Abstract: Let $R$ be a commutative complex unital semisimple Banach algebra with the involution $\cdot ^\star$. Sufficient conditions are given for the existence of a stabilizing solution to the $H^\i...
A global Monte-Carlo method for fitting parameters of differential equation models
global Monte-Carlo method fitting parameters Quantitative Methods
2011/10/8
Abstract: Finding the parameter values of differential equation models from data is an important part of the modelling process. Large models and sparse data often make the parameters very difficult to...
On the differentiability of the solution to an equation with drift and fractional diffusion
differentiability solution equation drift fractional diffusion
2011/1/20
We consider an equation with drift and either critical or supercritical fractional diffusion.
Under a regularity assumption for the vector field that is marginally stronger than what is required for ...