Title :
Infinite horizon nonstationary stochastic optimal control problem: A planning horizon result
Author :
Lasserre, J.B. ; Bes, C.
Author_Institution :
Laboratoire d´´Automatique et d´´Analyse des Systèmes, CNRS, Toulouse Cédex, France
fDate :
9/1/1984 12:00:00 AM
Abstract :
We show the existence of a planning horizon for the infinite horizon nonstationary stochastic optimal control problem. Hence, the original problem, generally untractable, reduces to solve a sequence of finite horizon problems which is computationally attractive.
Keywords :
Stochastic optimal control, nonlinear systems; Cost function; Dynamic programming; Infinite horizon; Inventory control; Optimal control; Process planning; Production planning; Stochastic processes;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1984.1103671
