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Stochastic control

Stochastic control or stochastic optimal control is a sub field of control theory that deals with the existence of uncertainty either in observations or in the noise that drives the evolution of the system. The system designer assumes, in a Bayesian probability-driven fashion, that random noise with known probability distribution affects the evolution…

Products, Stochastic model predictive control & Discrete time

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Overview

Certainty equivalence

Discrete time

Stochastic model predictive control

Advanced semantic analysis

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Map overview Semantic statistics

Stochastic control

Nodes30
Edges29
Triples45
Avg. degree1.93
Density0.066667
Components1

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Stochastic control

Top relations

related to Further reading · 22
Stochastic control → Avinash, Brownian Motion, Control, Dixit, Economic Dynamics, Hamiltonian Systems, Heidelberg, HJB Equations, ISBN, Jiongmin, Journal, New York, Optimal Investment, Optimal Regulation, Rogers, Simplified Treatment, Springer, Stochastic Controls, Theory, Xun Yu
related to In finance · 15
Stochastic control → Black, Fleming, Given, His, In, Influential, Itô's, Rishel, Robert Merton, Scholes, Soner, Stein, The, There, These
related to Certainty equivalence · 7
Stochastic control → An, Any, For, Gaussian, Here, This, Witsenhausen's
see also · 1
Stochastic control → Backward

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Important terminology

control time stochastic optimal equation state variables noise model function solution continuous quadratic expected additive period evolution certainty equivalence finance

Entity relationships Subject–Predicate–Object triples

SubjectPredicateObjectConfidenceSrc
Stochastic controlrelated to Certainty equivalenceAn0.60section
Stochastic controlrelated to Certainty equivalenceGaussian0.60section
Stochastic controlrelated to Certainty equivalenceHere0.60section
Stochastic controlrelated to Certainty equivalenceThis0.60section
Stochastic controlrelated to Certainty equivalenceAny0.60section
Stochastic controlrelated to Certainty equivalenceFor0.60section
Stochastic controlrelated to Certainty equivalenceWitsenhausen's0.60section
Stochastic controlrelated to Further readingDixit0.60section
Stochastic controlrelated to Further readingAvinash0.60section
Stochastic controlrelated to Further readingSimplified Treatment0.60section
Stochastic controlrelated to Further readingTheory0.60section
Stochastic controlrelated to Further readingOptimal Regulation0.60section

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