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Time-Inconsistent Stochastic Linear-Quadratic Control
A general time-inconsistent stochastic linear--quadratic control problem, and a mean-variance portfolio selection model in a complete financial market where the risk-free rate is a deterministic function of time but all the other market parameters are possibly stochastics processes. Expand
Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium
It is proved that the explicit equilibrium control constructed in HJZ is indeed unique and the equilibrium strategy is unique for a mean--variance portfolio selection model in a complete financial market where the risk-free rate is a deterministic function of time but all the other market parameters are possibly stochastic processes. Expand
Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
  • Y. Hu, X. Zhou
  • Computer Science, Mathematics
  • SIAM J. Control. Optim.
  • 1 August 2005
This paper is devoted to the study of a stochastic linear-quadratic (LQ) optimal control problem where the control variable is constrained in a cone, and all the coefficients of the problem areExpand
Ergodic BSDEs and Optimal Ergodic Control in Banach Spaces
A new kind of backward stochastic differential equations, called ergodic BSDEs, which arise naturally in the study of optimal Ergodic control, are introduced and the existence, uniqueness, and regularity of solution are studied. Expand
Feature selection algorithm based on bare bones particle swarm optimization
In this algorithm, a reinforced memory strategy is designed to update the local leaders of particles for avoiding the degradation of outstanding genes in the particles, and a uniform combination is proposed to balance the local exploitation and the global exploration of algorithm. Expand
Extended Kalman Filter for Real Time Indoor Localization by Fusing WiFi and Smartphone Inertial Sensors
Experimental results show that the proposed EKF based data fusion approach achieves significant localization accuracy improvement over using WiFi localization or PDR systems alone, while it incurs much less computational complexity. Expand
Heading Estimation for Indoor Pedestrian Navigation Using a Smartphone in the Pocket
This work proposes a novel heading estimation approach based on a rotation matrix and principal component analysis (PCA) that outperforms the traditional uDirect and PCA-based approaches in terms of accuracy and feasibility. Expand
Manipulation task simulation using ROS and Gazebo
This paper intends to create a simulation of manipulator and illustrates the methods of how to implement robot control in a short time using Gazebo virtual world and Robot Operating System. Expand
Indefinite Stochastic Riccati Equations
  • Y. Hu, X. Zhou
  • Mathematics, Computer Science
  • SIAM J. Control. Optim.
  • 2003
This paper is concerned with stochastic Riccati equations (SREs), which are a class of matrix-valued, nonlinear backward stochastic differential equations (BSDEs). The SREs under consideration are,Expand
Stochastic maximum principle for optimal control of SPDEs
In this note, we give the stochastic maximum principle for optimal control of stochastic PDEs in the general case (when the control domain need not be convex and the diffusion coefficient can containExpand