Optimal Control and Stochastic Parameter Estimation

DOI10.1515/156939606779329062zbMath1121.65077MaRDI QIDQ5757067

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Publication date: 24 August 2007

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

zbMATH Keywords

convergencestochastic optimal controlBurgers equationMonte Carlo methodcovariance matrixBayesian inferenceHessian matrix

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (1)

A systematic study of efficient sampling methods to quantify uncertainty in crack propagation and the Burgers equation

Cites Work

• Some numerical experiments with variable-storage quasi-Newton algorithms
• Hermite expansions in Monte-Carlo computation
• Unnamed Item

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