对于路径空间上的随机控制问题,非对称扩张和弱近似
Masaya Kannari1, Riu Naito2, Toshihiro Yamada3
1Aflac Life Insurance Japan Ltd., Tokyo 163-0456, Japan.
Entropy (Basel, Switzerland)
|February 23, 2024
概括
这项研究为使用非对称扩张的随机控制问题提供了精确的误差估计. 数字模拟证实,拟议的弱近似方案实现了理论上的收率.
科学领域:
- 随机控制理论 随机控制理论
- 数学优化的数学优化
- 数字分析 数字分析
背景情况:
- 随机控制问题是不确定性下决策的核心.
- 非对称扩展为复杂系统提供近似值.
- 相对最小化是信息理论和控制中的一个关键目标.
研究的目的:
- 在随机控制中为非对称扩张提供精确的误差估计.
- 分析扩张误差对路径空间中的函数规律性的依赖.
- 实施和验证一个高效的数值方案,用于多维问题.
主要方法:
- 对非对称扩张的误差估计的推导.
- 在路径空间上的功能规律性的分析.
- 使用蒙特卡洛模拟开发一个弱近似方案.
- 在多维随机控制设置中的实现.
主要成果:
- 确立了一个精确的误差,与非对称扩张相结合.
- 证明错误取决于路径空间函数的规律性.
- 数字方案在多维情况下证明了效率.
- 实验结果证实该方案的近似误差与理论的收率相匹配.
结论:
- 拟议的非对称扩张为随机控制问题提供了准确的近似.
- 数字方案是有效的实际实施,特别是在高维度.
- 了解功能正规性对于这些扩展中的错误控制至关重要.
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