Optimal Control with Noisy Time
Optimization and Control
2014-01-03 v1 Systems and Control
Abstract
This paper examines stochastic optimal control problems in which the state is perfectly known, but the controller's measure of time is a stochastic process derived from a strictly increasing L\'evy process. We provide dynamic programming results for continuous-time finite-horizon control and specialize these results to solve a noisy-time variant of the linear quadratic regulator problem and a portfolio optimization problem with random trade activity rates. For the linear quadratic case, the optimal controller is linear and can be computed from a generalization of the classical Riccati differential equation.
Cite
@article{arxiv.1401.0202,
title = {Optimal Control with Noisy Time},
author = {Andrew Lamperski and Noah J. Cowan},
journal= {arXiv preprint arXiv:1401.0202},
year = {2014}
}
Comments
Submitted to IEEE TAC