Title :
Dynamic optimization: a grand unification
Author_Institution :
Centre for Process Syst. Eng., Imperial Coll., London, UK
Abstract :
It is commonly thought that deterministic control is in principle a special case of stochastic control. It is argued that actually the inclusion is the reverse: without the characteristic nonanticipativity requirement a stochastic problem is equivalent to a family of deterministic problems (one for each ω), and nonanticipativity can be enforced by bringing in a suitable Lagrange multiplier
Keywords :
optimal control; optimisation; stochastic systems; Lagrange multiplier; deterministic control; deterministic problems; stochastic control; stochastic problem; Control systems; Educational institutions; Lagrangian functions; Process control; Regulators; Stochastic processes; Stochastic resonance; Stochastic systems; Systems engineering and theory; White noise;
Conference_Titel :
Decision and Control, 1992., Proceedings of the 31st IEEE Conference on
Conference_Location :
Tucson, AZ
Print_ISBN :
0-7803-0872-7
DOI :
10.1109/CDC.1992.371439
