Stochastic optimization : proceedings of the international conference, Kiev, 1984
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書誌事項
Stochastic optimization : proceedings of the international conference, Kiev, 1984
（Lecture notes in control and information sciences, 81）
Springer-Verlag, c1986
- : gw
- : us
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Papers presented at the International Conference on Stochastic Optimization held at Kiev, USSR in Sept. 1984 and sponsored by the Committee for Systems Analysis of the USSR Academy of Sciences and others
内容説明・目次
目次
A martingale approach to partially observable controlled stochastic systems.- On the limiting distribution of extremum points for certain stochastic optimization models.- The structure of persistently nearly-optimal strategies in stochastic dynamic programming problems.- On the derivation of a filtering equation for a non-observable semimartingale.- On the representation of functionals of a wiener sheet by stochastic integrals.- The maximum principle for optimal control of diffusions with partial information.- Explicit solution of a consumption/investment problem.- On the asymptotic behavior of some optimal estimates of parameters of nonlinear regression functions.- On the ?-optimal control of a stochastic integral equation with an unknown parameter.- Some properties of value functions for controlled diffusion processes.- Stochastic control with state constraints and non-linear elliptic equations with infinite boundary conditions.- On the weak convergence of controlled semi-martingales.- Estimation of parameters and control of systems with unknown parameters.- On recursive approximations with error bounds in nonlinear filtering.- On approximations to discrete-time stochastic control problems.- On lexicographical optimality criteria in controlled markov chains.- Canonical correlations, hankel operatiors and markovian representations of multivariate stationary Gaussian processes.- The maximum principle in stochastic problems with non-fixed random control time.- Optimal control of stochastic integral equations.- Some direct methods for computing optimal estimators for forecasting and filtering problems involving stochastic processes.- On functional equations of discrete dynamic programming.- Risk-sensitive and Hamiltonian formulations in optimal control.- Martingales in survival analysis.- Markov decision processes with both continuous and impulsive control.- Stochastic programming methods: Convergence and non-asymptotic estimation of the convergence rate.- Solution of a stochastic programming problem concerning the distribution of water resources.- Limit theorems for processes generated by stochastic optimization algorithms.- On the structure of optimality criteria in stochastic optimization models.- Strong laws for a class of path-dependent stochastic processes with applications.- The generalized extremum in the class of discontinuous functions and finitely additive integration.- Convex multivalued mappings and stochastic models of the dynamics of economic systems.- Stability in stochastic programming - Probabilistic constraints.- Duality in improper mathematical programming problems under uncertainty.- Equilibrium states of monotonic operators and equilibrium trajectories in stochastic economic models.- Finite horizon approximates of infinite horizon stochastic programs.- Stochastic optimization techniques for finding optimal submeasures.- Strong consistency theorems related to stochastic quasi-Newton methods.- Stochastic gradient methods for optimizing electrical transportation networks.- On the functional dependence between the available information and the chosen optimality principle.- Uncertainty in stochastic programming.- Stochastic programming models for safety stock allocation.- Direct averaging and perturbed test function methods for weak convergence.- On the approximation of stochastic convex programming problems.- Extremal problems with probability measures, functionally closed preorders and strong stochastic dominance.- Expected value versus probability of ruin strategies.- Controlled random search procedures for global optimization.- On Bayesian methods in nondifferential and stochastic programming.- On stochastic programming in hilbert space.- Reduction of risk using a differentiated approach.- A stochastic lake eutrophication management model.- A dynamic model of market behavior.- Recursive stochastic gradient procedures in the presence of dependent noise.- Random search as a method for optimization and adaptation.- Linear-quadratic programming problems with stochastic penalties: The finite generation algorithm.- Convergence of stochastic infima: Equi-semicontinuity.- Growth rates and optimal paths in stochastic models of expanding economies.- Extremum problems depending on a random parameter.- Adaptive control of parameters in gradient algorithms for stochastic optimization.- Stochastic models and methods of optimal planning.- Differential inclusions and controlled systems: Properties of solutions.- Guaranteed estimation of reachable sets for controlled systems.- Methods of group pursuit.- An averaging principle for optimal control problems with singular perturbations.- On a certain class of inverse problems in control system dynamics.- Simultaneous estimation of states and parameters in control systems with incomplete data.- Approximate solutions of differential games using mixed strategies.- On the solution sets for uncertain systems with phase constraints.- Existence of a value for a general zero-sum mixt game.- Positional modeling of stochastic control in dynamical systems.- Use of the h-convex set method in differential games.- A linear differential pursuit game.- Methods of constructing guaranteed estimates of parameters of linear systems and their statistical properties.- Stochastic and deterministic control: Differential inequalities.- The search for singular extremals.- On the smoothness of the bellman function in optimal control problems with incomplete data.
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