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tfg_armak_karimi.pdf (621.11 KB)

Document type

Bachelor thesis

Publication date

2021-01-24

Publication license

cc-by-nc-nd (c) Armak Karimi González, 2021
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/181323

Control òptim estocàstic

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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.

Description

Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2020, Director: Josep Vives i Santa Eulàlia

Subject

Teoria de control, Treballs de fi de grau, Optimització matemàtica, Processos estocàstics

Subject (English)

Control theory, Bachelor's theses, Mathematical optimization, Stochastic processes

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Treballs Finals de Grau (TFG) - Matemàtiques

Citation

KARIMI GONZÁLEZ, Armak. Control òptim estocàstic. [consulted: 12 of August of 2026]. Available at: https://hdl.handle.net/2445/181323

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