DocumentCode
823783
Title
A simplified algorithm for computing stationary cost variances for a class of optimally controlled jump parameter systems
Author
Sworder, D.D.
Author_Institution
University of Southern California, Los Angeles, CA, USA
Volume
22
Issue
2
fYear
1977
fDate
4/1/1977 12:00:00 AM
Firstpage
236
Lastpage
239
Abstract
Although procedures exist for finding the cost variances of an optimally controlled, stochastic, jump parameter system, the computational complexity inherent in these procedures impedes their general use. An algorithm is provided here that will provide the stationary cost variance with significantly less effort. An example illustrating the mechanics of the algorithm is presented.
Keywords
Jump parameter systems; Linear systems, stochastic continuous-time; Optimal stochastic control; Stochastic optimal control; Computational complexity; Control systems; Cost function; Differential equations; Distributed computing; Impedance; Optimal control; Performance analysis; Stochastic processes; Stochastic systems;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1977.1101476
Filename
1101476
Link To Document