Title :
A simplified algorithm for computing stationary cost variances of optimally controlled stochastic systems
Author_Institution :
University of Southern California, Los Angeles, California
Abstract :
Although procedures exist for finding the cost variance of an optimally controlled stochastic, jump parameter system, the computational complexity inherent in these procedures impedes their general use. An algorithm is provided here that will provide the stationary cost variance with significantly less effort. An example illustrating the mechanics of the algorithm is presented.
Keywords :
Control systems; Cost function; Distributed computing; Optimal control; Stochastic systems;
Conference_Titel :
Decision and Control including the 15th Symposium on Adaptive Processes, 1976 IEEE Conference on
Conference_Location :
Clearwater, FL, USA
DOI :
10.1109/CDC.1976.267817
