Stochastic optimization theory in Hilbert spaces. I

DOI10.1007/BF01449026zbMath0306.90056OpenAlexW2020801156MaRDI QIDQ1217662

A. V. Balakrishnan

Publication date: 1974

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01449026

Mathematics Subject Classification ID

Nonlinear programming (90C30) Stochastic programming (90C15) Estimation and detection in stochastic control theory (93E10) Numerical methods in optimal control (49M99)

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White noise in atmospheric optics, The stochastic linear quadratic optimal control problem on Hilbert spaces: the case of non-analytic systems, Chandrasekhar algorithms for linear time varying distributed systems, The Stochastic Linear Quadratic Control Problem with Singular Estimates, A reduced basis Kalman filter for parametrized partial differential equations, Stochastic evolution equations, Stochastic evolution equations with general white noise disturbance, Optimal Control and Observation Locations for Time-Varying Systems on a Finite-Time Horizon, Distributed parameter filtering: boundary noise and discrete observations

Cites Work

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• Infinite-dimensional filtering: The Kalman\3-Bucy filter in Hilbert space
• On the Optimal Control of a System Governed by a Linear Parabolic Equation with White Noise Inputs
• Stochastic Control: A Function Space Approach
• Harmonic analysis on Hilbert space
• Defect subspaces and generalized resolvents of an Hermitian operator in the space \(\Pi_\kappa\)