Title :
A Monte Carlo method for stochastic time-optimal control
Author :
Robinson, Peter ; Yurtseven, H.
Author_Institution :
The Johns Hopkins University, Silver Spring, MD, USA
fDate :
10/1/1969 12:00:00 AM
Abstract :
An analog computer is used to apply a Monte Carlo method of solution to the parabolic partial differential equations that arise in stochastic time-optimal control theory. Using this method, an iterative technique called approximation-in-policy-space is applied to find the optimum switching curve. An example of a second-order inertial plant is considered, and the results are found to agree with those found by a perturbation given by Dorato et al. [1].
Keywords :
Monte Carlo methods; Optimal stochastic control; Stochastic optimal control; Time-optimal control; Analog computers; Control theory; Differential equations; Iterative methods; Nonlinear equations; Optimal control; Partial differential equations; Performance analysis; Stochastic processes; Time measurement;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1969.1099260
