Sökning: "stochastic impulse control"

Visar resultat 1 - 5 av 6 avhandlingar innehållade orden stochastic impulse control.

1. 1. Event-Based Control and Estimation with Stochastic Disturbances

   Författare :Toivo Henningsson; Institutionen för reglerteknik; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; event-based control; stochastic control; event-based estimation; control over networks; quantized measurements; sporadic control; embedded control;

   Sammanfattning : This thesis deals with event-based control and estimation strategies, motivated by certain bottlenecks in the control loop. Two kinds of implementation constraints are considered: closing one or several control loops over a data network, and sensors that report measurements only as intervals (e.g. with quantization). LÄS MER

3. 2. A Probabilistic Approach to Non-Markovian Impulse Control

   Författare :Johan Jönsson; Magnus Perninge; Säid Hamadène; Linnéuniversitetet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Stochastic optimal control; optimal stopping; optimal switching; impulse control; Snell envelope; obstacle problems; partial differential equation; Matematik; Mathematics;

   Sammanfattning : This thesis treats mathematical considerations that arise in relation to certain stochastic optimal control problems, in particular of switching and impulse type. Both of these problems are extensions of the well-known optimal stopping problem. LÄS MER

4. 3. A Stochastic Control Approach to Include Transfer Limits in Power System Operation

   Författare :Magnus Perninge; Lennart Söder; Christopher DeMarco; KTH; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Frequency control; power regulating market; power system operation; power system security; stochastic impulse control; transfer capacity; transfer limit;

   Sammanfattning : The main function of the power grid is to transfer electric energy from generating facilities to consumers. To have a reliable and economical supply of electricity, large amounts of electric energy often have to be transferred over long distances. LÄS MER

5. 4. Modeling and identification of nonlinear and impulsive systems

   Författare :Per Mattsson; Alexander Medvedev; Roy Smith; Uppsala universitet; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; nonlinear system identification; modeling; impulsive systems; impulse detection;

   Sammanfattning : Mathematical modeling of dynamical systems plays a central roll in science and engineering. This thesis is concerned with the process of finding a mathematical model, and it is divided into two parts - one that concentrates on nonlinear system identification and another one where an impulsive model of testosterone regulation is constructed and analyzed. LÄS MER

7. 5. Some Applications of Variational Inequalities in Mathematical Finance and Numerics

   Författare :Martin Dahlgren; Matematik LTH; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Matematik; Mathematics; HJB quasi variational inequalities; option pricing; Impulse control; parabolic PDE; finite element method; Galerkin method;

   Sammanfattning : This thesis contains two parts. The first part deals with a stochastic impulse control problem, subject to the restriction of a minimum time lapse in between interventions made by the controller. We prove existence of an optimal control and show that the value function of the control problem satisfies a system of quasi-variational inequalities. LÄS MER