Title :
Optimal control of a class of nonlinear stochastic systems
Author :
Mohler, Ronald R. ; Kolodziej, Wojciech J.
Author_Institution :
Oregon State University, Corvallis, OR, USA
fDate :
10/1/1981 12:00:00 AM
Abstract :
Bellman´s principle of optimality and dynamic programming are shown to be the basis for solution of a physically significant class of nonlinear stochastic control problems. Various previous results are integrated into a survey here, and a new result which extends the separation principle is presented. Certain bilinear and linear-in-control systems are included in the analysis.
Keywords :
Bilinear systems, stochastic; Stochastic bilinear systems; Stochastic optimal control, nonlinear systems; Books; Control systems; Dynamic programming; Equations; Information systems; Nonlinear control systems; Nonlinear systems; Optimal control; Stochastic processes; Stochastic systems;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1981.1102778