Invention Grant
- Patent Title: Stochastic control system and method for multi-period consumption
- Patent Title (中): 多周期消费随机控制系统及方法
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Application No.: US12419209Application Date: 2009-04-06
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Publication No.: US07925565B2Publication Date: 2011-04-12
- Inventor: Nicolo G. Torre , Andrew T. Rudd
- Applicant: Nicolo G. Torre , Andrew T. Rudd
- Applicant Address: US CA Lafayette
- Assignee: Advisor Software Inc.
- Current Assignee: Advisor Software Inc.
- Current Assignee Address: US CA Lafayette
- Agency: Haynes Beggel & Wolfeld LLP
- Agent Ernest J. Beffel, Jr.
- Main IPC: G06Q40/00
- IPC: G06Q40/00

Abstract:
The present invention relates to dynamic optimization of system control over time. The need for dynamic optimization arises in many settings, as diverse as solar car power consumption during a multi-day race and retirement portfolio management. We disclose a reformulation of the control problem that overcomes the so-called “curse of dimensionality” and allows formulation of optimal control policies multiple period planning horizons. One optimal control policy is for power consumption by a solar car during a race, which involves many course segments, as course conditions vary through a day. Another is for risk in and consumption from a portfolio intended to support retirement. Both multi-period control policies take into account future uncertainty. Particular aspects of the present invention are described in the claims, specification and drawings.
Public/Granted literature
- US20090254491A1 STOCHASTIC CONTROL SYSTEM AND METHOD FOR MULTI-PERIOD CONSUMPTION Public/Granted day:2009-10-08
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