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| Author(s): |
Andre du Pin Calmon
Total Authors: 1
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| Document type: | Master's Dissertation |
| Press: | Campinas, SP. |
| Institution: | Universidade Estadual de Campinas (UNICAMP). Faculdade de Engenharia Elétrica e de Computação |
| Defense date: | 2009-05-22 |
| Examining board members: |
João Bosco Ribeiro do Val;
Marcelo Dutra Fragoso;
Paulo Augusto Valente Ferreira
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| Advisor: | João Bosco Ribeiro do Val |
| Abstract | |
This dissertation presents a theoretical framework and the control strategy for discrete-time stochastic systems for which the control variations increase state uncertainty (CVIU systems). This type of system model can be useful in many practical situations, such as in monetary policy problems, medicine and biology, and, in general, in problems for which a complete dynamic model is too complex to be feasible. The optimal control strategy for a multidimensional CVIU system associated with a convex cost functional is devised using dynamic programming and tools from nonsmooth analysis. Furthermore, this strategy points to a region in the state space in which the optimal action is of no variation (the region of no variation), as expected from the cautionary nature of controlling underdetermined systems. Numerical strategies for obtaining the optimal policy in CVIU systems were developed, with focus on the single-input input case evaluated through a quadratic cost functional. These results are illustrated through a numerical example in economics. (AU) | |