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http://hdl.handle.net/2445/181323
Title: | Control òptim estocàstic |
Author: | Karimi González, Armak |
Director/Tutor: | Vives i Santa Eulàlia, Josep, 1963- |
Keywords: | Teoria de control Treballs de fi de grau Optimització matemàtica Processos estocàstics Control theory Bachelor's theses Mathematical optimization Stochastic processes |
Issue Date: | 24-Jan-2021 |
Abstract: | [en] The main goal of this project is to study the relationship between two classic methods that are used in solving optimal control problems: Pontryagin’s maximum principle and Bellman’s dynamic programming. Throughout the project, two different cases are always laid out at the same time: the deterministic case and the stochastic case. Beginning with a stochastic calculus introduction and an exhaustive description of the optimal control problem, the two solving methods are studied separately in order to conclude with a comparison between both of them. |
Note: | Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2020, Director: Josep Vives i Santa Eulàlia |
URI: | http://hdl.handle.net/2445/181323 |
Appears in Collections: | Treballs Finals de Grau (TFG) - Matemàtiques |
Files in This Item:
File | Description | Size | Format | |
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tfg_armak_karimi.pdf | Memòria | 621.11 kB | Adobe PDF | View/Open |
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