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- W1551180987 abstract "Optimal control problems involve the difficult task of determining time-varying profiles through dynamic optimization. Such problems become even more complex in practical situations where handling time dependent uncertainties becomes an important issue. This work presents a new approach based on real option theory to the solution of optimal control problems under uncertainty. First, using the fundamentals provided by real option theory, time-dependent uncertainties in some model parameters are modeled as Ito Processes. Then, after applying the dynamic programming optimality conditions for stochastic problems, the resulting formulation is converted into a maximum principle formulation without the conventional two-point boundary value problem. A coupled maximum principle-nonlinear programming numerical optimization algorithm can later be used to solve this computationally intensive problem. In order to show the scope of this approach, the classical isoperimetric problem is solved and a chemical engineering application is described" @default.
- W1551180987 created "2016-06-24" @default.
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- W1551180987 date "2004-01-01" @default.
- W1551180987 modified "2023-09-24" @default.
- W1551180987 title "Time Dependent Uncertainties and Optimal Control" @default.
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- W1551180987 doi "https://doi.org/10.1016/s1570-7946(04)80193-7" @default.
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