This paper studies the properties of discrete time stochastic optimal control problems associated with portfolio selection. We investigate if optimal continuous time strategies can be used effectively for a discrete time market after a straightforward discretization. We found that Merton’s strategy approximates the performance of the optimal strategy in a discrete time model with the sufficient...

In this article, we propose a new paradigm of control, called a maximum-hands-off control. A hands-off control is defined as a control that has a much shorter support than the horizon length. The maximum-hands-off control is the minimum-support (or sparsest) control among all admissible controls. We first prove that a solution to an L-optimal control problem gives a maximum-handsoff control, an...

Modelling of the motion of a helicopter with a suspended load is described. The mathematical model takes into account stochastic disturbances acting on the load suspension point. The proposed approach allows solution of the problem of optimal control with minimization of oscillation and control power expenditure. The evolution of the system solution with time is investigated for various disturb...

We study synchronization of nonlinear systems that satisfy an incremental passivity property. We consider the case where the control input is subject to a class of disturbances, including constant and sinusoidal disturbances with unknown phases and magnitudes and known frequencies. We design a distributed control law that recovers the synchronization of the nonlinear systems in the presence of ...