Memorias de investigación
Communications at congresses:
Control of Stochastic Dynamical Systems under uncertainty in the parameters
Year:2019

Research Areas
  • Economic mathematics,
  • Control of economic and financial systems

Information
Abstract
We consider some problems of optimal control with discrete time where some parameters are fixed but unknown. We translate the problem into one of stochastic control in the belief state, and compare some approximations to the solution. As we observe the system evolution, our uncertainty over the unknown parameters is updated. We show applications in which it is necessary to make trade-offs between risk, return and learning. We evaluate the impact of prior information.
International
Si
Congress
9 th International Congress on Industrial and Applied Mathematics (ICIAM)
960
Place
Valencia
Reviewers
Si
ISBN/ISSN
0000-0000-00
Start Date
15/07/2019
End Date
19/07/2019
From page
1
To page
46
https://iciam2019.org
Participants

Research Group, Departaments and Institutes related
  • Creador: Grupo de Investigación: Modelización Matemática, Análisis y Simulación Aplicadas a la Ingeniería
  • Departamento: Matemática e Informática Aplicadas a la Ingenierías Civil y Naval
  • Departamento: Matemática Aplicada