Ebook: Stochastic Optimization: Proceedings of the International Conference, Kiev, 1984

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Content:
Front Matter....Pages -
A martingale approach to partially observable controlled stochastic systems....Pages 1-16
On the limiting distribution of extremum points for certain stochastic optimization models....Pages 17-21
The structure of persistently nearly-optimal strategies in stochastic dynamic programming problems....Pages 22-31
On the derivation of a filtering equation for a non-observable semimartingale....Pages 32-36
On the representation of functionals of a wiener sheet by stochastic integrals....Pages 37-49
The maximum principle for optimal control of diffusions with partial information....Pages 50-58
Explicit solution of a consumption/investment problem....Pages 59-69
On the asymptotic behavior of some optimal estimates of parameters of nonlinear regression functions....Pages 70-78
On the ?-optimal control of a stochastic integral equation with an unknown parameter....Pages 79-87
Some properties of value functions for controlled diffusion processes....Pages 88-95
Stochastic control with state constraints and non-linear elliptic equations with infinite boundary conditions....Pages 96-106
On the weak convergence of controlled semi-martingales....Pages 107-117
Estimation of parameters and control of systems with unknown parameters....Pages 118-126
On recursive approximations with error bounds in nonlinear filtering....Pages 127-135
On approximations to discrete-time stochastic control problems....Pages 136-147
On lexicographical optimality criteria in controlled markov chains....Pages 148-156
Canonical correlations, hankel operatiors and markovian representations of multivariate stationary Gaussian processes....Pages 157-168
The maximum principle in stochastic problems with non-fixed random control time....Pages 169-177
Optimal control of stochastic integral equations....Pages 178-187
Some direct methods for computing optimal estimators for forecasting and filtering problems involving stochastic processes....Pages 188-200
On functional equations of discrete dynamic programming....Pages 201-212
Risk-sensitive and Hamiltonian formulations in optimal control....Pages 213-219
Martingales in survival analysis....Pages 220-233
Markov decision processes with both continuous and impulsive control....Pages 234-246
Stochastic programming methods: Convergence and non-asymptotic estimation of the convergence rate....Pages 247-257
Solution of a stochastic programming problem concerning the distribution of water resources....Pages 258-264
Limit theorems for processes generated by stochastic optimization algorithms....Pages 265-274
On the structure of optimality criteria in stochastic optimization models....Pages 275-286
Strong laws for a class of path-dependent stochastic processes with applications....Pages 287-300
The generalized extremum in the class of discontinuous functions and finitely additive integration....Pages 301-308
Convex multivalued mappings and stochastic models of the dynamics of economic systems....Pages 309-313
Stability in stochastic programming — Probabilistic constraints....Pages 314-325
Duality in improper mathematical programming problems under uncertainty....Pages 326-333
Equilibrium states of monotonic operators and equilibrium trajectories in stochastic economic models....Pages 334-338
Finite horizon approximates of infinite horizon stochastic programs....Pages 339-350
Stochastic optimization techniques for finding optimal submeasures....Pages 351-363
Strong consistency theorems related to stochastic quasi-Newton methods....Pages 364-372
Stochastic gradient methods for optimizing electrical transportation networks....Pages 373-387
On the functional dependence between the available information and the chosen optimality principle....Pages 388-392
Uncertainty in stochastic programming....Pages 393-401
Stochastic programming models for safety stock allocation....Pages 402-411
Direct averaging and perturbed test function methods for weak convergence....Pages 412-426
On the approximation of stochastic convex programming problems....Pages 427-434
Extremal problems with probability measures, functionally closed preorders and strong stochastic dominance....Pages 435-447
Expected value versus probability of ruin strategies....Pages 448-456
Controlled random search procedures for global optimization....Pages 457-474
On Bayesian methods in nondifferential and stochastic programming....Pages 475-486
On stochastic programming in hilbert space....Pages 487-495
Reduction of risk using a differentiated approach....Pages 496-500
A stochastic lake eutrophication management model....Pages 501-512
A dynamic model of market behavior....Pages 513-521
Recursive stochastic gradient procedures in the presence of dependent noise....Pages 522-533
Random search as a method for optimization and adaptation....Pages 534-544
Linear-quadratic programming problems with stochastic penalties: The finite generation algorithm....Pages 545-560
Convergence of stochastic infima: Equi-semicontinuity....Pages 561-575
Growth rates and optimal paths in stochastic models of expanding economies....Pages 576-584
Extremum problems depending on a random parameter....Pages 585-590
Adaptive control of parameters in gradient algorithms for stochastic optimization....Pages 591-601
Stochastic models and methods of optimal planning....Pages 602-607
Differential inclusions and controlled systems: Properties of solutions....Pages 609-618
Guaranteed estimation of reachable sets for controlled systems....Pages 619-631
Methods of group pursuit....Pages 632-640
An averaging principle for optimal control problems with singular perturbations....Pages 641-649
On a certain class of inverse problems in control system dynamics....Pages 650-656
Simultaneous estimation of states and parameters in control systems with incomplete data....Pages 657-668
Approximate solutions of differential games using mixed strategies....Pages 669-674
On the solution sets for uncertain systems with phase constraints....Pages 675-687
Existence of a value for a general zero-sum mixt game....Pages 688-695
Positional modeling of stochastic control in dynamical systems....Pages 696-704
Use of the h-convex set method in differential games....Pages 705-711
A linear differential pursuit game....Pages 712-718
Methods of constructing guaranteed estimates of parameters of linear systems and their statistical properties....Pages 719-727
Stochastic and deterministic control: Differential inequalities....Pages 728-737
The search for singular extremals....Pages 738-746
On the smoothness of the bellman function in optimal control problems with incomplete data....Pages 747-754

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Content:
Front Matter....Pages -
A martingale approach to partially observable controlled stochastic systems....Pages 1-16
On the limiting distribution of extremum points for certain stochastic optimization models....Pages 17-21
The structure of persistently nearly-optimal strategies in stochastic dynamic programming problems....Pages 22-31
On the derivation of a filtering equation for a non-observable semimartingale....Pages 32-36
On the representation of functionals of a wiener sheet by stochastic integrals....Pages 37-49
The maximum principle for optimal control of diffusions with partial information....Pages 50-58
Explicit solution of a consumption/investment problem....Pages 59-69
On the asymptotic behavior of some optimal estimates of parameters of nonlinear regression functions....Pages 70-78
On the ?-optimal control of a stochastic integral equation with an unknown parameter....Pages 79-87
Some properties of value functions for controlled diffusion processes....Pages 88-95
Stochastic control with state constraints and non-linear elliptic equations with infinite boundary conditions....Pages 96-106
On the weak convergence of controlled semi-martingales....Pages 107-117
Estimation of parameters and control of systems with unknown parameters....Pages 118-126
On recursive approximations with error bounds in nonlinear filtering....Pages 127-135
On approximations to discrete-time stochastic control problems....Pages 136-147
On lexicographical optimality criteria in controlled markov chains....Pages 148-156
Canonical correlations, hankel operatiors and markovian representations of multivariate stationary Gaussian processes....Pages 157-168
The maximum principle in stochastic problems with non-fixed random control time....Pages 169-177
Optimal control of stochastic integral equations....Pages 178-187
Some direct methods for computing optimal estimators for forecasting and filtering problems involving stochastic processes....Pages 188-200
On functional equations of discrete dynamic programming....Pages 201-212
Risk-sensitive and Hamiltonian formulations in optimal control....Pages 213-219
Martingales in survival analysis....Pages 220-233
Markov decision processes with both continuous and impulsive control....Pages 234-246
Stochastic programming methods: Convergence and non-asymptotic estimation of the convergence rate....Pages 247-257
Solution of a stochastic programming problem concerning the distribution of water resources....Pages 258-264
Limit theorems for processes generated by stochastic optimization algorithms....Pages 265-274
On the structure of optimality criteria in stochastic optimization models....Pages 275-286
Strong laws for a class of path-dependent stochastic processes with applications....Pages 287-300
The generalized extremum in the class of discontinuous functions and finitely additive integration....Pages 301-308
Convex multivalued mappings and stochastic models of the dynamics of economic systems....Pages 309-313
Stability in stochastic programming — Probabilistic constraints....Pages 314-325
Duality in improper mathematical programming problems under uncertainty....Pages 326-333
Equilibrium states of monotonic operators and equilibrium trajectories in stochastic economic models....Pages 334-338
Finite horizon approximates of infinite horizon stochastic programs....Pages 339-350
Stochastic optimization techniques for finding optimal submeasures....Pages 351-363
Strong consistency theorems related to stochastic quasi-Newton methods....Pages 364-372
Stochastic gradient methods for optimizing electrical transportation networks....Pages 373-387
On the functional dependence between the available information and the chosen optimality principle....Pages 388-392
Uncertainty in stochastic programming....Pages 393-401
Stochastic programming models for safety stock allocation....Pages 402-411
Direct averaging and perturbed test function methods for weak convergence....Pages 412-426
On the approximation of stochastic convex programming problems....Pages 427-434
Extremal problems with probability measures, functionally closed preorders and strong stochastic dominance....Pages 435-447
Expected value versus probability of ruin strategies....Pages 448-456
Controlled random search procedures for global optimization....Pages 457-474
On Bayesian methods in nondifferential and stochastic programming....Pages 475-486
On stochastic programming in hilbert space....Pages 487-495
Reduction of risk using a differentiated approach....Pages 496-500
A stochastic lake eutrophication management model....Pages 501-512
A dynamic model of market behavior....Pages 513-521
Recursive stochastic gradient procedures in the presence of dependent noise....Pages 522-533
Random search as a method for optimization and adaptation....Pages 534-544
Linear-quadratic programming problems with stochastic penalties: The finite generation algorithm....Pages 545-560
Convergence of stochastic infima: Equi-semicontinuity....Pages 561-575
Growth rates and optimal paths in stochastic models of expanding economies....Pages 576-584
Extremum problems depending on a random parameter....Pages 585-590
Adaptive control of parameters in gradient algorithms for stochastic optimization....Pages 591-601
Stochastic models and methods of optimal planning....Pages 602-607
Differential inclusions and controlled systems: Properties of solutions....Pages 609-618
Guaranteed estimation of reachable sets for controlled systems....Pages 619-631
Methods of group pursuit....Pages 632-640
An averaging principle for optimal control problems with singular perturbations....Pages 641-649
On a certain class of inverse problems in control system dynamics....Pages 650-656
Simultaneous estimation of states and parameters in control systems with incomplete data....Pages 657-668
Approximate solutions of differential games using mixed strategies....Pages 669-674
On the solution sets for uncertain systems with phase constraints....Pages 675-687
Existence of a value for a general zero-sum mixt game....Pages 688-695
Positional modeling of stochastic control in dynamical systems....Pages 696-704
Use of the h-convex set method in differential games....Pages 705-711
A linear differential pursuit game....Pages 712-718
Methods of constructing guaranteed estimates of parameters of linear systems and their statistical properties....Pages 719-727
Stochastic and deterministic control: Differential inequalities....Pages 728-737
The search for singular extremals....Pages 738-746
On the smoothness of the bellman function in optimal control problems with incomplete data....Pages 747-754
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