RISK AND DEVIATION MEASURES FOR A CLASS OF OPTIMAL CONTROL PROBLEMS WITH RANDOM TIME HORIZON

Ekaterina Gromova, Anastasia Malakhova, Dmitry Gromov

Результат исследований: Публикации в книгах, отчётах, сборниках, трудах конференцийстатья в сборнике материалов конференции

Выдержка

This paper reports on an ongoing research project devoted to the investigation of different risk and deviation measures for a class of optimal control problems with random time horizon. Three optimal control problems related to the optimization of the expected value, the variance, and the second moment of the cost functional are described in detail. The results are illustrated by a numerical example.

Язык оригиналаАнглийский
Название основной публикацииPROCEEDINGS OF 2016 SICE INTERNATIONAL SYMPOSIUM ON CONTROL SYSTEMS (ISCS 2016)
ИздательIEEE Canada
Страницы77-82
Число страниц6
DOI
СостояниеОпубликовано - 2016
Событие2nd SICE International Symposium on Control Systems (ISCS) - Nagoya, Япония
Продолжительность: 7 мар 201610 мар 2016

Конференция

Конференция2nd SICE International Symposium on Control Systems (ISCS)
СтранаЯпония
ГородNagoya
Период7/03/1610/03/16

Отпечаток

Optimal Control Problem
Horizon
Deviation
Expected Value
Moment
Numerical Examples
Optimization
Costs
Class

Цитировать

Gromova, E., Malakhova, A., & Gromov, D. (2016). RISK AND DEVIATION MEASURES FOR A CLASS OF OPTIMAL CONTROL PROBLEMS WITH RANDOM TIME HORIZON. В PROCEEDINGS OF 2016 SICE INTERNATIONAL SYMPOSIUM ON CONTROL SYSTEMS (ISCS 2016) (стр. 77-82). IEEE Canada. https://doi.org/10.1109/SICEISCS.2016.7470165
Gromova, Ekaterina ; Malakhova, Anastasia ; Gromov, Dmitry. / RISK AND DEVIATION MEASURES FOR A CLASS OF OPTIMAL CONTROL PROBLEMS WITH RANDOM TIME HORIZON. PROCEEDINGS OF 2016 SICE INTERNATIONAL SYMPOSIUM ON CONTROL SYSTEMS (ISCS 2016). IEEE Canada, 2016. стр. 77-82
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title = "RISK AND DEVIATION MEASURES FOR A CLASS OF OPTIMAL CONTROL PROBLEMS WITH RANDOM TIME HORIZON",
abstract = "This paper reports on an ongoing research project devoted to the investigation of different risk and deviation measures for a class of optimal control problems with random time horizon. Three optimal control problems related to the optimization of the expected value, the variance, and the second moment of the cost functional are described in detail. The results are illustrated by a numerical example.",
keywords = "Optimal control, Random time horizon, Risk measure, Deviation measure, UNCERTAIN LIFETIME, INSURANCE",
author = "Ekaterina Gromova and Anastasia Malakhova and Dmitry Gromov",
year = "2016",
doi = "10.1109/SICEISCS.2016.7470165",
language = "Английский",
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Gromova, E, Malakhova, A & Gromov, D 2016, RISK AND DEVIATION MEASURES FOR A CLASS OF OPTIMAL CONTROL PROBLEMS WITH RANDOM TIME HORIZON. в PROCEEDINGS OF 2016 SICE INTERNATIONAL SYMPOSIUM ON CONTROL SYSTEMS (ISCS 2016). IEEE Canada, стр. 77-82, Nagoya, Япония, 7/03/16. https://doi.org/10.1109/SICEISCS.2016.7470165

RISK AND DEVIATION MEASURES FOR A CLASS OF OPTIMAL CONTROL PROBLEMS WITH RANDOM TIME HORIZON. / Gromova, Ekaterina; Malakhova, Anastasia; Gromov, Dmitry.

PROCEEDINGS OF 2016 SICE INTERNATIONAL SYMPOSIUM ON CONTROL SYSTEMS (ISCS 2016). IEEE Canada, 2016. стр. 77-82.

Результат исследований: Публикации в книгах, отчётах, сборниках, трудах конференцийстатья в сборнике материалов конференции

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T1 - RISK AND DEVIATION MEASURES FOR A CLASS OF OPTIMAL CONTROL PROBLEMS WITH RANDOM TIME HORIZON

AU - Gromova, Ekaterina

AU - Malakhova, Anastasia

AU - Gromov, Dmitry

PY - 2016

Y1 - 2016

N2 - This paper reports on an ongoing research project devoted to the investigation of different risk and deviation measures for a class of optimal control problems with random time horizon. Three optimal control problems related to the optimization of the expected value, the variance, and the second moment of the cost functional are described in detail. The results are illustrated by a numerical example.

AB - This paper reports on an ongoing research project devoted to the investigation of different risk and deviation measures for a class of optimal control problems with random time horizon. Three optimal control problems related to the optimization of the expected value, the variance, and the second moment of the cost functional are described in detail. The results are illustrated by a numerical example.

KW - Optimal control

KW - Random time horizon

KW - Risk measure

KW - Deviation measure

KW - UNCERTAIN LIFETIME

KW - INSURANCE

U2 - 10.1109/SICEISCS.2016.7470165

DO - 10.1109/SICEISCS.2016.7470165

M3 - статья в сборнике материалов конференции

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BT - PROCEEDINGS OF 2016 SICE INTERNATIONAL SYMPOSIUM ON CONTROL SYSTEMS (ISCS 2016)

PB - IEEE Canada

ER -

Gromova E, Malakhova A, Gromov D. RISK AND DEVIATION MEASURES FOR A CLASS OF OPTIMAL CONTROL PROBLEMS WITH RANDOM TIME HORIZON. В PROCEEDINGS OF 2016 SICE INTERNATIONAL SYMPOSIUM ON CONTROL SYSTEMS (ISCS 2016). IEEE Canada. 2016. стр. 77-82 https://doi.org/10.1109/SICEISCS.2016.7470165