This paper is concerned with a Stackelberg stochastic differential game, where the systems are driven by equation (SDE for short), in which control enters randomly disturbed coefficients (drift and diffusion). The region postulated to be convex. By making use of first-order adjoint (backward equation, BSDE we able establish Pontryagin’s maximum principle leader’s global solution, within adapted...

We present a stochastic model predictive control (SMPC) framework for linear systems subject to possibly unbounded disturbances. State of the art SMPC approaches with closed-loop chance constraint satisfaction recursively initialize nominal state based on previously predicted or measured under some case distinction. improve these initialization strategies by allowing continuous optimization ove...

In this paper, we study two kinds of singular optimal controls (SOCs for short) problems where the systems governed by forward-backward stochastic differential equations (FBSDEs short), in which control has components: regular control, and one. Both drift diffusion terms may involve variable. The domain is postulated to be convex. Under certain assumptions, framework Malliavin calculus, derive ...

Development of every society is incumbent upon energy sector’s technological and economic effectiveness. The electricity industry is a growing and needs to have a better performance to effectively cover the demand. The industry requires a balance between cost and efficiency through careful design and planning. In this paper, a two-stage stochastic programming model is presented for the design o...

We propose an improved restart strategy for randomized backtrack search, and evaluate its performance by comparing to other heuristic and stochastic search techniques for solving random problems and a tight real-world resource allocation problem. The restart strategy proposed by Gomes et al. [1] requires the specification of a cutoff value determined from an overall profile of the cost of searc...

The performance of human resources is affected by various factors such as mental and physical fatigue, skill, and available time in the production systems. Generally, these mentioned factors have effects on human reliability and consequently change the reliability of production systems. Fatigue is a stochastic factor that changes according to other factors such as environmental conditions, work...

In this paper we propose a systematic approach to construct mathematical models describing populations of cancer-cells at different stages of disease development. The methodology we propose is based on stochastic Concurrent Constraint Programming, a flexible stochastic modelling language. The methodology is tested on (and partially motivated by) the study of prostate cancer. In particular, we p...