Show simple item record

dc.contributor.authorBaradel, Nicolas
dc.contributor.authorBouchard, Bruno
dc.contributor.authorDang, Ngoc Minh
dc.date.accessioned2018-03-30T14:01:14Z
dc.date.available2018-03-30T14:01:14Z
dc.date.issued2018
dc.identifier.issn0363-0129
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17618
dc.language.isoenen
dc.subjectoptimal controlen
dc.subjectuncertaintyen
dc.subjectBayesian filteringen
dc.subject.ddc519en
dc.titleOptimal Control Under Uncertainty and Bayesian Parameters Adjustmentsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe propose a general framework for studying the optimal impulse control problem in the presence of uncertainty on the parameters. Given a prior on the distribution of the unknown parameters, we explain how it should evolve according to the classical Bayesian rule after each impulse. Taking these progressive prior-adjustments into account, we characterize the optimal policy through a quasi-variational parabolic equation, which can be solved numerically. The derivation of the dynamic programming equation seems to be new in this context. The main difficulty lies in the nature of the set of controls which depends in a nontrivial way on the initial data through the filtration itself.en
dc.relation.isversionofjnlnameSIAM Journal on Control and Optimization
dc.relation.isversionofjnlvol56en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2018
dc.relation.isversionofjnlpages1038-1057en
dc.relation.isversionofdoi10.1137/16M1070815en
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01590606en
dc.relation.isversionofjnlpublisherSIAM - Society for Industrial and Applied Mathematicsen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2018-03-16T08:56:29Z
hal.person.labIds60$$$2579
hal.person.labIds60
hal.person.labIds


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record