On the stationary control of a controlled diffusion with an exponential-of-integral performance criterion

Author

Runolfsson, Thordur

Author_Institution

Dept. of Electr. & Comput. Eng., Johns Hopkins Univ., Baltimore, MD, USA

fYear

1991

fDate

11-13 Dec 1991

Firstpage

935

Abstract

The author considers the Ito-type system dx_t= b(x_t,u_t)dt +σ(x_t)dw_t, where x_t∈Rⁿ is the state, u _t∈R^m is the control, and w _t is an r-dimensional standard Brownian motion. The cost functional to be minimized is an infinite time exponential-of-integral performance criterion. The general problem is studied. The basics of the approach are outlined. Conditions for the existence of admissible controls and optimality conditions are presented

Keywords

diffusion; integral equations; Ito-type system; admissible controls; controlled diffusion; cost functional; infinite time exponential-of-integral performance criterion; optimality conditions; r-dimensional standard Brownian motion; stationary control; Closed loop systems; Control systems; Cost function; Discrete wavelet transforms; Eigenvalues and eigenfunctions; Entropy; Indium tin oxide; Missiles; Motion control; Optimal control;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1991., Proceedings of the 30th IEEE Conference on

Conference_Location

Brighton

Print_ISBN

0-7803-0450-0

Type

conf

DOI

10.1109/CDC.1991.261458

Filename

261458

Link To Document

https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3472821