Listagem FGV EMAp - Dissertações, Mestrado em Modelagem Matemática por Assunto "Teoria do controle"

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On the shooting algorithm for partially affine control problems

Machado, João Miguel
2020-08-12

In this thesis we propose a shooting algorithm for partially affine optimal control problems, this is, systems in which the controls appear both linearly and nonlinearly in the dynamics. Since the shooting system generally ...
Optimal execution problem: a mean field game and fictitious play study

Birman, Bernardo
2020-06-26

In this work we present the main ideas of the optimal execution problem and a couple of different approaches for its modelling. We focus on the Mean-Field Game approach, and observe how restrictive it can be as we only can ...