Stochastic Optimal Control Based on Monte Carlo Simulation and Least-Squares Regressiond

In the financial engineering field, many problems can be formulated as stochastic control problems. A unique feature of the stochastic control problem is that uncertain factors are involved in the evolution of the controlled system and thus the objective function in the stochastic control is typically formed by an expectation operator. There are...

Efficient optimization methods for freeway management and control

Due to the rapid growth of human population, and jobs being distributed unevenly in different locations, daily commuting is required more than ever, which in its turn is creating a huge socio-economic issue: traffic congestion. In order to prevent, or at least to alleviate this problem, trafficmanagement and control is urgently required. This...