STOCHASTIC CONTROL SYSTEM AND METHOD FOR MULTI-PERIOD CONSUMPTION
摘要
The present invention relates to dynamic optimization of system control over time. The need for dynamic optimization arises in many settings, as diverse as solar car power consumption during a multi-day race and retirement portfolio management. We disclose a reformulation of the control problem that overcomes the so-called 'curse of dimensionality' and allows formulation of optimal control policies multiple period planning horizons. One optimal control policy is for power consumption by a solar car during a race, which involves many course segments, as course conditions vary through a day. Another is for risk in and consumption from a portfolio intended to support retirement. Both multi-period control policies take into account future uncertainty. Particular aspects of the present invention are described in the claims, specification and drawings.
申请公布号
WO2009049294(A9)
申请公布日期
2010.07.22
申请号
WO2008US79734
申请日期
2008.10.13
申请人
ADVISOR SOFTWARE, INC.;TORRE, NICOLO, G.;RUDD, ANDREW, T.