• DocumentCode
    800533
  • Title

    A minimum principle for a class of discrete-time stochastic systems

  • Author

    Bryant, G.F. ; Mayne, D.Q.

  • Author_Institution
    Centre for Computing and Atuomation, Imperial College, London, England
  • Volume
    14
  • Issue
    4
  • fYear
    1969
  • fDate
    8/1/1969 12:00:00 AM
  • Firstpage
    401
  • Lastpage
    403
  • Abstract
    A minimum principle is obtained for discrete-time stochastic systems described by the stochastic difference equation x_{k+1} = A_{k}x_{k} + \\phi_{k}(u_{k})+w_{k} where {w_{k}, k = 0, ... ,N - } is la sequence of independent random vector variables. The control action ukis constrained to belong to a compact set Uk, and the set \\phi_{k}(U_{k}), k = 0,..., N - 1 is convex. The system is open-loop.
  • Keywords
    Linear systems, stochastic discrete-time; Optimal stochastic control; Stochastic optimal control; Automation; Costs; Equations; Open loop systems; Random variables; Stochastic processes; Stochastic systems;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1969.1099199
  • Filename
    1099199
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=800533