In this paper we intend to examine the application of Kullback-Leibler, Hellinger and LINEX loss function in Dynamic Linear Model using the real price of oil for 106 years of data from 1913 to 2018 concerning the asymmetric problem in filtering and forecasting. We use DLM form of the basic Hoteling Model under Quadratic loss function, Kullback-Leibler, Hellinger and LINEX trying to address the ...

The paper provides extended methods for control linear positive discrete-time systems that are subject to parameter uncertainties, reflecting structural system constraints and properties when solving the problem of quadratic stability. By using an extension Lyapunov approach, stability is presented become apparent in pre-existing positivity design feedback control. approach prefers representati...

Abstract – In this paper we present a unified approach for optimal control and filtering of linear continuous-time singularly perturbed linear systems that facilitates complete and exact decomposition of optimal control and filtering tasks into pure-slow and pure-fast time scales. The presented methodology eliminates numerical ill-conditioning of the original singularly perturbed problems, intr...

We consider the solution of nonlinear optimal control problems subject to stochastic perturbations with incomplete observations. In particular , we generalize results obtained by Ito and Kunisch in [8] where they consider a receding horizon control (RHC) technique based on linearizing the problem on small intervals. The linear-quadratic optimal control problem for the resulting time-invariant (...