• DocumentCode
    811957
  • Title

    A computational algorithm for the optimal control of continuous-time stochastic systems

  • Author

    Tacker, E.C. ; Sanders, C.W. ; Linton, T.D.

  • Author_Institution
    Louisiana State University, Baton Rouge, LA, USA
  • Volume
    18
  • Issue
    3
  • fYear
    1973
  • fDate
    6/1/1973 12:00:00 AM
  • Firstpage
    310
  • Lastpage
    311
  • Abstract
    An algorithm for computing optimal controls for a class of continuous-time stochastic systems is presented. For a linear example, it is shown that the generated control is precisely the optimal control. Numerical results for a nonlinear example suggest that the generated control is at least locally optimal.
  • Keywords
    Nonlinear systems, stochastic continuous-time; Optimal stochastic control; Stochastic optimal control; Algorithm design and analysis; Chemical engineering; Contracts; Cost function; Differential equations; Motion control; Open loop systems; Optimal control; Stochastic processes; Stochastic systems;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1973.1100301
  • Filename
    1100301
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=811957