A Non-autonomous Stochastic Discrete Time System with Uniform Disturbances

Abstract : The main objective of this article is to present Bayesian optimal control over a class of non-autonomous linear stochastic discrete time systems with disturbances belonging to a family of the one parameter uniform distributions. It is proved that the Bayes control for the Pareto priors is the solution of a linear system of algebraic equations. For the case that this linear system is singular, we apply optimization techniques to gain the Bayesian optimal control. These results are extended to generalized linear stochastic systems of difference equations and provide the Bayesian optimal control for the case where the coefficients of these type of systems are non-square matrices. The paper extends the results of the authors developed for system with disturbances belonging to the exponential family.
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Ioannis Dassios, Krzysztof Szajowski. A Non-autonomous Stochastic Discrete Time System with Uniform Disturbances. 27th IFIP Conference on System Modeling and Optimization (CSMO), Jun 2015, Sophia Antipolis, France. pp.220-229, ⟨10.1007/978-3-319-55795-3_20⟩. ⟨hal-01626897⟩

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