S.O.C.R.A.t.E.S. Simultaneous Optimal Control by Recursive and Adaptive Estimation System: Problem Formulation and Computational Results

  • Giacomo Patrizi
Conference paper


The algorithm to be presented determines at the same time an accurate estimation and the optimal control policy for a dynamic process, by solving one optimization problem. For general dynamic nonlinear systems, the traditional two stage approach may entail severe suboptimization and the application of inefficient controls. This is avoided in the approach suggested. All the statistical conditions that the estimates must fulfill are formulated as inequality constraints, as well as the general specification conditions of the dynamic system. Thus a single optimization problem is solved in the identification parameters and in the control variables, which is highly nonlinear and non convex in all its parts. This will determine a sufficiently precise optimal control, as desired, if one exists.


Period Forecast Mib30 Index Optimal Control Policy Single Optimization Problem Optimal Dynamic Portfolio 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Springer-Verlag Berlin Heidelberg 2001

Authors and Affiliations

  • Giacomo Patrizi
    • 1
  1. 1.Dipartimento di Statistica, Probabilità e Statistiche ApplicateUniversità di Roma “La Sapienza”Italy

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