On “predicted miss” stochastic control problems
作者:
M. H. A. Davis,
J. M. C. Clark,
期刊:
Stochastics
(Taylor Available online 1979)
卷期:
Volume 2,
issue 1-4
页码: 197-209
ISSN:0090-9491
年代: 1979
DOI:10.1080/17442507908833126
出版商: Gordon and Breach Science Publishers, Ltd
数据来源: Taylor
摘要:
For steering a linear stochastic system with bounded controls so as to be as close as possible to a given hyperplane at the terminal time, Benes proved that the controller that predicts which side of the hyperplane the state would be on with no further control, and then applies full “bang” in the appropriate direction, optimal, a result conjectured y Hilborn. In this paper a different proof of this result is presented, using martingale-based optimality criteria.
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