Results 231 to 240 of about 66,511 (264)
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IEEE Transactions on Automatic Control, 1969
It is shown that, for a class of stochastic systems, i.e., those in which the cost increases as the distance between the stochastic and the deterministic controls increases, the optimal stochastic control is the conditional expectation of the deterministic control, given the measurement history.
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It is shown that, for a class of stochastic systems, i.e., those in which the cost increases as the distance between the stochastic and the deterministic controls increases, the optimal stochastic control is the conditional expectation of the deterministic control, given the measurement history.
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An Approximation Method in Optimal Stochastic Control
SIAM Journal on Control and Optimization, 1978The purpose of this paper is to prove that an approximation scheme can be defined for the general problems of optimal stochastic control which we have solved in Theorie probabiliste du controle des diffusions, Mem. Amer. Math. Soc., 1976 [2].
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2011
This chapter deals with the optimal control of a noisy linear system, the state of which is not entirely available, i.e., which requires a state reconstructor in the control loop. Since the system is submitted to random influences, a filter, e.g. an optimal filter such as the Kalman filter, will be used.
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This chapter deals with the optimal control of a noisy linear system, the state of which is not entirely available, i.e., which requires a state reconstructor in the control loop. Since the system is submitted to random influences, a filter, e.g. an optimal filter such as the Kalman filter, will be used.
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Sufficient Conditions for the Optimality of a Stochastic Control
Journal of the Society for Industrial and Applied Mathematics Series A Control, 1965Sufficient conditions for optimal stochastic control of diffusion processes governed by vector equations satisfying local Lipschitz ...
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1998
Abstract This chapter gives a self‐contained introduction to optimal control of stochastic differential equations. We derive the Hamilton‐Jacobi‐Bellman equation as well as a verification theorem. The general theory is then applied to optimal consumption and investment problems.
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Abstract This chapter gives a self‐contained introduction to optimal control of stochastic differential equations. We derive the Hamilton‐Jacobi‐Bellman equation as well as a verification theorem. The general theory is then applied to optimal consumption and investment problems.
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On optimal stochastic control with smoothed information
Information Sciences, 1968Abstract This paper presents a generalization of the Separation Theorem of stochastic control. The generalization consists in assuming observations ahead of running time. We consider the following problem of optimal pursuit: Given noisy incomplete observations of a linear stochastic system, control another linear stochastic system so that a quadratic
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On the Existence of Optimal Stochastic Controls
Journal of the Society for Industrial and Applied Mathematics Series A Control, 1965openaire +2 more sources
Maximum principle for the stochastic optimal control problem with delay and application
Automatica, 2010Zhen Wu
exaly
A General Stochastic Maximum Principle for Optimal Control Problems
SIAM Journal on Control and Optimization, 1990Shige Peng
exaly