Title :
Maximum cost trajectories in optimally controlled stochastic systems
Author_Institution :
University of Southern California
Abstract :
An optimal control in a stochastic system is often one which minimizes the mean value of a specified performance index. Exclusive concern with this single parameter of dynamic response may mask anomalous behavior which occurs with small probability. Before utilizing an optimal controller further study of its properties is warranted. This paper provides an algorithm for finding an approximation to the least favorable trajectory for the system.
Keywords :
Approximation algorithms; Control systems; Cost function; Differential equations; Optimal control; Performance analysis; Production control; Random variables; Stochastic processes; Stochastic systems;
Conference_Titel :
Decision and Control including the 12th Symposium on Adaptive Processes, 1973 IEEE Conference on
Conference_Location :
San Diego, CA, USA
DOI :
10.1109/CDC.1973.269247
