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Dr. MASHAEL ABDULMAIN M ALGOULITY

Assistant Professor

أستاذ مساعد

كلية العلوم
Building 5, third floor, office 52
المنشورات
ورقة مؤتمر
2023

Indefinite Risk-Sensitive Control for a Class of Nonlinear Systems Mashael Algoulity; Bujar Gashi 2023 9th International Conference on Control, Decision and Information Technologies (CoDIT) Year: 2023 | Conference Paper | Publisher: IEEE

We consider the optimal control problem with an indefinite generalised risk-sensitive criterion, and a class of stochastic control systems with multiplicative noise that have a quadratic type nonlinearity in the state and control variables. All solutions to such an optimal control problem are obtained in an explicit closed-form as affine state-feedback controls with possibly random gains. An application to the optimal investment problem is also given.

اسم الناشر
IEEE
مزيد من المنشورات
publications

We consider the problem of optimally tracking a financial benchmark in a market with random and possibly unbounded coefficients. This is an example of a stochastic linearquadratic control problem…

2023
تم النشر فى:
IEEE
publications

We consider the optimal control problem with an indefinite generalised risk-sensitive criterion, and a class of stochastic control systems with multiplicative noise that have a quadratic type…

2023
تم النشر فى:
IEEE