Title :
Optimal control for systems modeled by stochastic variational inequalities
Author :
Aihara, Shin ; Yoshifumi Sunahara
Author_Institution :
Kyoto Institute of Technology, Kyoto, Japan
Abstract :
We study the optimal control problem where the system is modeled by a stochastic variational in equality with obstacle for the quadratic cost functional with respect to the state and control variables. After showing the existence of a unique continuous solution of stochastic variational inequality, the explicit form of the so called adjoint equation is given.
Keywords :
Cost function; Design engineering; Differential equations; Erbium; Integral equations; Linear systems; Optimal control; Robustness; Stochastic processes; Stochastic systems;
Conference_Titel :
Decision and Control, 1987. 26th IEEE Conference on
Conference_Location :
Los Angeles, California, USA
DOI :
10.1109/CDC.1987.272497
