384 citations
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Showing 2022 · math.OCShow all
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math.OC2022★ 15 cited
Stochastic optimization of a mixed moving average process for controlling non-Markovian streamflow environments
Hidekazu Yoshioka, Tomohiro Tanaka, Yumi Yoshioka +1
We investigated a cost-constrained static ergodic control problem of the variance of measure-valued affine processes and its application in streamflow management. The controlled sy…
math.OC2022★ 5 cited
Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge
Hidekazu Yoshioka, Motoh Tsujimura, Tomohiro Tanaka +2
We propose a linear-quadratic (LQ) control problem of streamflow discharge by optimizing an infinite-dimensional jump-driven stochastic differential equation (SDE). Our SDE is a su…