Stochastic bang-bang controls that maximize the expectation of first passage time†
作者:
TOHRU KATAYAMA,
期刊:
International Journal of Control
(Taylor Available online 1971)
卷期:
Volume 14,
issue 1
页码: 83-96
ISSN:0020-7179
年代: 1971
DOI:10.1080/00207177108932018
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
The stochastic bang-bang control problem of maximizing the expectation of the first passage time of the state to the boundary of a certain safe region is considered. It is assumed that the dynamics of the system is described by a linear stochastic differential equation. By use of dynamic programming, the problem is reduced to a boundary-value problem of Dirichlet type for the Bellman equation. A difference scheme is applied in order to obtain the numerical solution of the boundary-value problem. It is found that for first-order systems the difference scheme gives excellent numerical results. Some switching curves are also obtained for a second-order plant l/s2with additive Gaussian white noises.
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