Title :
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
Abstract :
The author considers the Ito-type system dxt= b(xt,ut)dt +σ(xt)dwt, where xt∈Rn is the state, u t∈Rm 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;
Conference_Titel :
Decision and Control, 1991., Proceedings of the 30th IEEE Conference on
Conference_Location :
Brighton
Print_ISBN :
0-7803-0450-0
DOI :
10.1109/CDC.1991.261458
