Essays about: "Stochastic optimal control"

Showing result 21 - 25 of 37 essays containing the words Stochastic optimal control.

  1. 21. Optimal Real Time Bidding in Online Advertising

    University essay from Lunds universitet/Institutionen för reglerteknik

    Author : David Rådberg; [2018]
    Keywords : Technology and Engineering;

    Abstract : This thesis explores some of the possibilities of demand side optimization in online advertising, specifically how to evaluate and bid optimally in real time bidding. Theory for many types of optimizations is discussed. The thesis evaluates auctions from a game theory and control theory perspective. READ MORE

  3. 22. Multi-period portfolio optimization given a priori information on signal dynamics and transactions costs

    University essay from KTH/Optimeringslära och systemteori

    Author : Jedra Yassir; [2018]
    Keywords : Multi-period portfolio optimization; portfolio selection; mean-variance optimization; return predictability; mean reverting processes; transactions costs; market impacts; stochastic optimal control.;

    Abstract : Multi-period portfolio optimization (MPO) has gained a lot of interest in modern portfolio theory due to its consideration for inter-temporal trading e effects, especially market impacts and transactions costs, and for its subtle reliability on return predictability. However, because of the heavy computational demand, portfolio policies based on this approach have been sparsely explored. READ MORE

  4. 23. Optimal Control under Quantised Measurements - A Particle Filter and Reduced Horizon Approach

    University essay from Lunds universitet/Institutionen för reglerteknik

    Author : Martin Vikström Morin; [2017]
    Keywords : Technology and Engineering;

    Abstract : This thesis covers the optimal control of stochastic systems with coarsely quantised measurements. A particle filter approach is used both for the estimation and control problem. Three main families of particle filters are examined for state estimation, standard SIR filters, SIR filters with generalised sampling and auxiliary filters. READ MORE

  5. 24. Equilibrium Strategies for Time-Inconsistent Stochastic Optimal Control of Asset Allocation

    University essay from KTH/Optimeringslära och systemteori

    Author : Johan Dimitry El Baghdady; [2017]
    Keywords : Stochastic optimal control; dynamic programming; asset allocation; non-cooperative games; subgame perfect Nash equilibrium; time-inconsistency; dynamic portfolio optimization; mean-variance; state dependent risk aversion; extended Hamilton-Jacobi-Bellman; execution algorithms.; Stokastisk optimal styrning; dynamisk programmering; tillgångsallokering; icke-kooperativa spel; Nashjämvikt; tidsinkonsistens; dynamisk portföljoptimering; avvägning mellan förväntad avkastning och varians; tillståndsberoende riskhantering; utökad Hamilton-Jacobi-;

    Abstract : We have examinined the problem of constructing efficient strategies for continuous-time dynamic asset allocation. In order to obtain efficient investment strategies; a stochastic optimal control approach was applied to find optimal transaction control. READ MORE

  6. 25. Mission Optimized Speed Control

    University essay from KTH/Fordonsdynamik

    Author : Jincan He; Sundhanva Bhatt; [2017]
    Keywords : cloud computation; optimization; non-linear programming; uncertainties;

    Abstract : Transportation underlines the vehicle industry's critical role in a country's economic future.The amount of goods moved, specically by trucks, is only expected to increase inthe near future. This work attempts to tackle the problem of optimizing fuel consumptionin Volvo trucks, when there are hard constraints on the delivery time and speed limits. READ MORE