Title :
Stochastic bang-bang control
Author :
Ahmed, N.U. ; Teo, K.L.
Author_Institution :
University of Ottawa, Ottawa, Ontario, Canada
fDate :
2/1/1974 12:00:00 AM
Abstract :
In this correspondence, a class of nonlinear stochastic systems with controls using only partial information about the current state is considered. It is shown that the time optimal control law is of bang-bang type and that it can be computed by solving a two-point boundary value problem (TPBVP) involving systems of nonlinear integro-partial differential equations.
Keywords :
Bang-bang control; Nonlinear systems, stochastic continuous-time; Optimal stochastic control; Stochastic optimal control; Time-optimal control; Bang-bang control; Boundary value problems; Control systems; Differential equations; Nonlinear control systems; Optimal control; Q measurement; Stochastic processes; Stochastic systems; Time measurement;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1974.1100467
