Stochastic optimal control theory and its computational methods
作者:
K. L. TEO,
D. W. REID,
I. E. BOYD,
期刊:
International Journal of Systems Science
(Taylor Available online 1980)
卷期:
Volume 11,
issue 1
页码: 77-95
ISSN:0020-7721
年代: 1980
DOI:10.1080/00207728008966998
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
In this paper, we consider an optimal control problem of a diffusion process governed by an Ito differential equation. The problem is first converted into a distributed parameter optimal control problem. A theoretical method for improving a control, if it is not an extrernal control, is presented, from which a necessary condition for optimality is deduced. A computer algorithm to search for an optimal control is discussed. This algorithm is modified from the theoretical method. For illustration, the method is applied to the problem of an optimal control of a stochastic non-linear regulator.
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