On the optimal control of stochastic linear systems with contaminated partial observations

On the optimal control of stochastic linear systems with contaminated partial observations

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Article ID: iaor2002864
Country: Spain
Volume: 6
Issue: 1
Start Page Number: 1
End Page Number: 18
Publication Date: Jan 1998
Journal: TOP
Authors: , ,
Abstract:

The development of efficient algorithms that provide all the local minima of a function is crucial to solve certain subproblems in many optimization methods. A ‘multi-local’ optimization procedure using inexact line searches is presented, and numerical experiments are also reported. An application of the method to a semi-infinite programming procedure is included.

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