Please use this identifier to cite or link to this item: http://hdl.handle.net/10525/2136

 Title: Efficient Control in Multistage Stochastic Optimization Problem Authors: Timofeeva, G. Keywords: Stochastic OptimizationBilinear Multistage SystemEfficient SolutionAdjoint ProblemSeparation of Control and Observation Issue Date: 1998 Publisher: Institute of Mathematics and Informatics Bulgarian Academy of Sciences Citation: Pliska Studia Mathematica Bulgarica, Vol. 12, No 1, (1998), 235p-244p Abstract: An efficient control problem for bilinear multistage system with random perturbations is considered. The efficient solutions are choosen by two criteria: the first is maximization of a mean value, the second is minimization of a variance of utility function. Such approach has been suggested by Markovitz H. [13] to solve one-stage problem of the portfolio selection in financial analysis. The existence conditions of the stationary efficient controls are obtained in case of incomplete information on the parameters of distributions. The randomization method for unknown parameters is used to construct a control problem solution. The concept of an adjoint stochastic optimization problem is introduced. The connection and separation problems of efficient control and observation are studied by means of adjoint problem solution. Description: AMS subject classification: 90C31, 90A09, 49K15, 49L20. URI: http://hdl.handle.net/10525/2136 ISSN: 0204-9805 Appears in Collections: 1998 Volume 12

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