On optimization of non-linear stochastic systems†
作者:
B. V. RAJARAO,
A. K. MAHALANABIS,
期刊:
International Journal of Control
(Taylor Available online 1970)
卷期:
Volume 11,
issue 4
页码: 561-570
ISSN:0020-7179
年代: 1970
DOI:10.1080/00207177008905938
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
Results of application of the perturbation approach along with stochastic approximations to the problem of optimizing non-linear stochastic systems subject to quadratic index are discussed. The perturbation approach is first introduced with the help of linear regulator systems. This is combined subsequently with statistical linearization in order to derive sub-optimal solutions for the problem of optimizing a non-linear system. Finally, a new stochastic approximation technique, that permits more accuracy than the linearization, is suggested for the non-linear problem. Numerical examples are presented to compare the results of the various approximation methods and also to illustrate the possible advantages of non-linearization.
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