Optimal Control and Stochastic Simulation of Large Nonlinear Models with Rational Expectations

Optimal Control and Stochastic Simulation of Large Nonlinear Models with Rational Expectations
Author: Ray C. Fair
Publisher:
Total Pages: 22
Release: 2001
Genre:
ISBN:

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This paper presents a computationally feasible procedure for the optimal control and stochastic simulation of large nonlinear models with rational expectations under the assumption of certainty equivalence.

Stochastic Optimal Control

Stochastic Optimal Control
Author: Robert F. Stengel
Publisher: Wiley-Interscience
Total Pages: 662
Release: 1986-09-08
Genre: Mathematics
ISBN:

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Presents techniques for optimizing problems in dynamic systems with terminal and path constraints. Includes optimal feedback control, feedback control for linear systems, and regulator synthesis. Offers iterative methods for solving nonlinear control problems. Demonstrates how to apply optimal control in a practical fashion. Serves as a text for graduate controls courses as offered in aerospace, mechanical and chemical engineering departments.

Nonlinear Industrial Control Systems

Nonlinear Industrial Control Systems
Author: Michael J. Grimble
Publisher: Springer Nature
Total Pages: 778
Release: 2020-05-19
Genre: Technology & Engineering
ISBN: 1447174577

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Nonlinear Industrial Control Systems presents a range of mostly optimisation-based methods for severely nonlinear systems; it discusses feedforward and feedback control and tracking control systems design. The plant models and design algorithms are provided in a MATLAB® toolbox that enable both academic examples and industrial application studies to be repeated and evaluated, taking into account practical application and implementation problems. The text makes nonlinear control theory accessible to readers having only a background in linear systems, and concentrates on real applications of nonlinear control. It covers: different ways of modelling nonlinear systems including state space, polynomial-based, linear parameter varying, state-dependent and hybrid; design techniques for nonlinear optimal control including generalised-minimum-variance, model predictive control, quadratic-Gaussian, factorised and H∞ design methods; design philosophies that are suitable for aerospace, automotive, marine, process-control, energy systems, robotics, servo systems and manufacturing; steps in design procedures that are illustrated in design studies to define cost-functions and cope with problems such as disturbance rejection, uncertainties and integral wind-up; and baseline non-optimal control techniques such as nonlinear Smith predictors, feedback linearization, sliding mode control and nonlinear PID. Nonlinear Industrial Control Systems is valuable to engineers in industry dealing with actual nonlinear systems. It provides students with a comprehensive range of techniques and examples for solving real nonlinear control design problems.

Optimal Policies for Nonlinear Economic Models

Optimal Policies for Nonlinear Economic Models
Author: Dmitri Blueschke
Publisher: Sudwestdeutscher Verlag Fur Hochschulschriften AG
Total Pages: 184
Release: 2014-01
Genre:
ISBN: 9783838138039

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Many interesting economic models cannot be solved analytically using the standard mathematical techniques. Nonlinear stochastic optimal control problems and nonlinear dynamic tracking games are two research areas where this problem occurs frequently and which are discussed in this work. This book gives some insight into these frameworks, both on the theoretical basis and giving application examples. From the theoretical point of view, this book describes both frameworks and presents two numerical methods designed to solve such problems. The algorithm OPTCON2 is designed for solving nonlinear stochastic optimal control problems. The algorithm OPTGAME3 is designed for solving nonlinear dynamic tracking games. The application part of the book gives several examples of using these frameworks for economic problems. The present work is oriented at readers which are mainly interested in research. As such the book is aimed at graduate students and researchers mainly, but not only in economics.

Smoothing Solution for Discrete-Time Nonlinear Stochastic Optimal Control Problem with Model-Reality Differences

Smoothing Solution for Discrete-Time Nonlinear Stochastic Optimal Control Problem with Model-Reality Differences
Author: Sie Long Kek
Publisher:
Total Pages:
Release: 2016
Genre: Mathematics
ISBN:

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In this chapter, the performance of the integrated optimal control and parameter estimation (IOCPE) algorithm is improved using a modified fixed-interval smoothing scheme in order to solve the discrete-time nonlinear stochastic optimal control problem. In our approach, a linear model-based optimal control problem with adding the adjustable parameters into the model used is solved iteratively. The aim is to obtain the optimal solution of the original optimal control problem. In the presence of the random noise sequences in process plant and measurement channel, the state dynamics, which is estimated using Kalman filtering theory, is smoothed in a fixed interval. With such smoothed state estimate sequence that reduces the output residual, the feedback optimal control law is then designed. During the computation procedure, the optimal solution of the modified model-based optimal control problem can be updated at each iteration step. When convergence is achieved, the iterative solution approaches to the correct optimal solution of the original optimal control problem, in spite of model-reality differences. Moreover, the convergence of the resulting algorithm is also given. For illustration, optimal control of a continuous stirred-tank reactor problem is studied and the result obtained shows the efficiency of the approach proposed.