Title :
On stochastic optimal control
Author_Institution :
University of Denver, Denver, CO, USA
fDate :
4/1/1969 12:00:00 AM
Abstract :
It is shown that, for a class of stochastic systems, i.e., those in which the cost increases as the distance between the stochastic and the deterministic controls increases, the optimal stochastic control is the conditional expectation of the deterministic control, given the measurement history.
Keywords :
Optimal stochastic control; Stochastic optimal control; Control systems; Cost function; History; Optimal control; Random variables; Stochastic processes; Stochastic systems; Strain control; Time measurement; Uncertainty;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1969.1099154
