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BLS Working Papers: Higher Moments in Perturbation... - a book by Chen, Baoline

BLS Working Papers: Higher Moments in Perturbation Solution of the Linear-Quadratic Exponential Gaussian Optimal Control Problem

BLS Working Papers: Higher Moments in Perturbation Solution of the Linear-Quadratic Exponential Gaussian Optimal Control Problem( )
Author: Chen, Baoline
ISBN:978-1-4912-5783-8
Publication Date:Aug 2013
Publisher:CreateSpace Independent Publishing Platform
Book Format:Paperback
List Price:USD $15.99
Book Description:

The paper obtains two principal results. First, using a new definition of higher-order (>2) matrix derivatives, the paper derives a recursion for computing any Gaussian multivariate moment. Second, the paper uses this result in a perturbation method to derive equations for computing the 4th-order Taylor- series approximation of the objective function of the linear-quadratic exponential Gaussian (LQEG) optimal control problem. Previously, Karp (1985) formulated the 4th multivariate...
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Book Details
Pages:30
Physical Dimensions (W X L X H):8.5 x 11 x 0.07 Inches
Book Weight:0.29 Pounds

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