DocumentCode
948431
Title
Stochastic time-optimal control problems
Author
Zhang, W. ; Elliott, D.
Author_Institution
University of California, School of Engineering & Applied Science, Electrical Engineering Department, Los Angeles, USA
Volume
135
Issue
6
fYear
1988
fDate
11/1/1988 12:00:00 AM
Firstpage
395
Lastpage
404
Abstract
Two types of stochastic time-optimal controls in a one-dimensional setting are considered. Multidimensional problems, in the case of complete state information available and the system modelled by stochastic differential equations, are studied under the formulation of minimising the expected transient-response time. The necessary condition of optimality is the satisfaction for the value function of a parabolic partial differential equation with boundary conditions. The sufficient condition of optimality is also provided, based on Dynkin´s formula. Finally, three examples are given
Keywords
differential equations; multidimensional systems; optimal control; stochastic systems; Dynkin´s formula; complete state information; multidimensional systems; necessary optimality condition; parabolic partial differential equation; stochastic differential equations; stochastic systems; sufficient optimality condition; time-optimal control; transient-response time;
fLanguage
English
Journal_Title
Control Theory and Applications, IEE Proceedings D
Publisher
iet
ISSN
0143-7054
Type
jour
DOI
10.1049/ip-d.1988.0059
Filename
4648568
Link To Document