DocumentCode :
813637
Title :
On the application of deterministic optimization methods to stochastic control problems
Author :
Kramer, Leslie C. ; Athans, Michael
Author_Institution :
M.I.T., Lexington, MA, USA
Volume :
19
Issue :
1
fYear :
1974
fDate :
2/1/1974 12:00:00 AM
Firstpage :
22
Lastpage :
30
Abstract :
A technique is presented by which one can apply deterministic optimization techniques, for example, the maximum principle of Pontryagin, to stochastic optimal control problems formulated around linear systems with Gaussian noises and general cost criteria. Using this technique, the stochastic nature of the problem is suppressed but for two expectation operations, the optimization being deterministic. The use of the technique in treating problems with quadratic and nonquadratic costs is illustrated.
Keywords :
Linear systems, time-varying discrete-time; Optimal stochastic control; Stochastic optimal control; Electric variables measurement; Extraterrestrial measurements; Gaussian noise; Linear systems; Optimal control; Optimization methods; Space technology; Stochastic processes; Stochastic resonance; Stochastic systems;
fLanguage :
English
Journal_Title :
Automatic Control, IEEE Transactions on
Publisher :
ieee
ISSN :
0018-9286
Type :
jour
DOI :
10.1109/TAC.1974.1100458
Filename :
1100458
Link To Document :
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