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A control reduced primal interior point method for a class control constrained optimal control problems
Weiser, Martin; Gänzler, Tobias; Schiela, Anton - In: Computational optimization and applications : an … 41 (2008) 1, pp. 127-145
Persistent link: https://www.econbiz.de/10003757136
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A stochastic receding horizon control approach to constrained index tracking
Primbs, James A.; Sung, Chang Hwan - In: Asia-Pacific financial markets 15 (2008) 1, pp. 3-24
Persistent link: https://www.econbiz.de/10003757432
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A regularization method for the numerical solution of elliptic boundary control problems with pointwise state constraints
Tröltzsch, Fredi; Yousept, I. - In: Computational optimization and applications : an … 42 (2009) 1, pp. 43-66
Persistent link: https://www.econbiz.de/10003810114
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Optimal information acquisition for a linear quadratic control problem
Lindset, Snorre; Lund, Arne-Christian; Matsen, Egil - In: European journal of operational research : EJOR 199 (2009) 2, pp. 435-441
Persistent link: https://www.econbiz.de/10003867273
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Algorithms for solving discrete optimal control problems with infinite time horizon and determining minimal mean cost cycles in a directed graph as decision support tool
Lozovanu, Dmitrii; Pickl, Stefan - In: Central European journal of operations research : CEJOR … 17 (2009) 3, pp. 255-264
Persistent link: https://www.econbiz.de/10003883452
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A virtual control concept for state constrained optimal control problems
Krumbiegel, Klaus; Rösch, Arnd - In: Computational optimization and applications : an … 43 (2009) 2, pp. 213-233
Persistent link: https://www.econbiz.de/10003888184
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Reducing the dimensionality of linear quadratic control problems
Balvers, Ronald J.; Mitchell, Douglas W. - In: Journal of economic dynamics & control 31 (2007) 1, pp. 141-159
Persistent link: https://www.econbiz.de/10003404855
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A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization
Andersson, Daniel; Djehiche, Boualem - In: Mathematical methods of operations research 72 (2010) 2, pp. 273-310
Persistent link: https://www.econbiz.de/10008696632
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Optimal securitization of credit portfolios via impulse control
Frey, Rüdiger; Seydel, Roland C. - In: Mathematics and financial economics 4 (2010) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10008807103
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A computational method for stochastic impulse control problems
Feng, Haolin; Muthuraman, Kumar - In: Mathematics of operations research 35 (2010) 4, pp. 830-850
Persistent link: https://www.econbiz.de/10008823135