Solving stochastic optimal control using 4 step scheme

Author

Abdel-Naby, Ahmed ; Bahnasawi, Ahmed A. ; El-Tawil, Magdy A.

Author_Institution

Fac. of Eng., Cairo Univ., Giza, Egypt

fYear

2002

fDate

2002

Firstpage

75

Lastpage

79

Abstract

In this paper, the authors solve the stochastic optimal control problem using the four step scheme, which is a systematic method to solve the forward backward stochastic differential equations (FBSDE). The stochastic optimal control problem linear quadratic (stochastic LQ) problem is studied using the Pontryagin´s type maximum principle(MP), which results FBSDE from which we could retrieve the famous stochastic Riccati equation. Finally, they reveal the strong relation between the Hamilton-Jacobi-Bellman partial differential equation (HJB PDE) driven from the dynamic programming method (DP), and the partial differential equation driven from the 4-step scheme.

Keywords

Riccati equations; control system analysis; control system synthesis; differential equations; dynamic programming; linear quadratic control; stochastic processes; Hamilton-Jacobi-Bellman partial differential equation; Pontryagin´s type maximum principle; control simulation; forward backward stochastic differential equations; four step scheme; linear quadratic problem; stochastic Riccati equation; stochastic optimal control design; Differential equations; Dynamic programming; Indium tin oxide; Jacobian matrices; Mathematics; Optimal control; Partial differential equations; Riccati equations; Stochastic processes; Stochastic systems;

fLanguage

English

Publisher

ieee

Conference_Titel

Electrotechnical Conference, 2002. MELECON 2002. 11th Mediterranean

Print_ISBN

0-7803-7527-0

Type

conf

DOI

10.1109/MELECON.2002.1014533

Filename

1014533