WO2009049294A9 - Stochastic control system and method for multi-period consumption - Google Patents

Stochastic control system and method for multi-period consumption Download PDF

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Publication number
WO2009049294A9
WO2009049294A9 PCT/US2008/079734 US2008079734W WO2009049294A9 WO 2009049294 A9 WO2009049294 A9 WO 2009049294A9 US 2008079734 W US2008079734 W US 2008079734W WO 2009049294 A9 WO2009049294 A9 WO 2009049294A9
Authority
WO
WIPO (PCT)
Prior art keywords
race
day
power consumption
retirement
dynamic optimization
Prior art date
Application number
PCT/US2008/079734
Other languages
French (fr)
Other versions
WO2009049294A3 (en
WO2009049294A2 (en
WO2009049294A4 (en
Inventor
Nicolo G. Torre
Andrew T. Rudd
Original Assignee
Advisor Software, Inc.
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by Advisor Software, Inc. filed Critical Advisor Software, Inc.
Publication of WO2009049294A2 publication Critical patent/WO2009049294A2/en
Publication of WO2009049294A3 publication Critical patent/WO2009049294A3/en
Publication of WO2009049294A4 publication Critical patent/WO2009049294A4/en
Publication of WO2009049294A9 publication Critical patent/WO2009049294A9/en

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Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q10/00—Administration; Management
    • G06Q10/10—Office automation; Time management
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/08—Insurance

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.
PCT/US2008/079734 2007-10-12 2008-10-13 Stochastic control system and method for multi-period consumption WO2009049294A2 (en)

Applications Claiming Priority (4)

Application Number Priority Date Filing Date Title
US97976507P 2007-10-12 2007-10-12
US60/979,765 2007-10-12
US12/038,712 2008-02-27
US12/038,712 US7516095B1 (en) 2007-10-12 2008-02-27 Stochastic control system and method for multi-period consumption

Publications (4)

Publication Number Publication Date
WO2009049294A2 WO2009049294A2 (en) 2009-04-16
WO2009049294A3 WO2009049294A3 (en) 2009-08-06
WO2009049294A4 WO2009049294A4 (en) 2009-10-08
WO2009049294A9 true WO2009049294A9 (en) 2010-07-22

Family

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Family Applications (1)

Application Number Title Priority Date Filing Date
PCT/US2008/079734 WO2009049294A2 (en) 2007-10-12 2008-10-13 Stochastic control system and method for multi-period consumption

Country Status (2)

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US (4) US7516095B1 (en)
WO (1) WO2009049294A2 (en)

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Also Published As

Publication number Publication date
WO2009049294A3 (en) 2009-08-06
WO2009049294A2 (en) 2009-04-16
US8185462B2 (en) 2012-05-22
US20110191263A1 (en) 2011-08-04
US7925565B2 (en) 2011-04-12
US7516095B1 (en) 2009-04-07
US8732050B2 (en) 2014-05-20
US20090099975A1 (en) 2009-04-16
WO2009049294A4 (en) 2009-10-08
US20090254491A1 (en) 2009-10-08
US20120271781A1 (en) 2012-10-25

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