DocumentCode
801173
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
Volume
14
Issue
5
fYear
1969
fDate
10/1/1969 12:00:00 AM
Firstpage
574
Lastpage
575
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;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1969.1099260
Filename
1099260
Link To Document