Title :
A note on the survival time of a dynamic system in an interval
Author_Institution :
Dept. de Math. Appliquees, Ecole Polytech., Montreal, Que., Canada
fDate :
5/1/1992 12:00:00 AM
Abstract :
The one-dimensional system dx(t=bu(t)dt+(ct 2)1/2dW(t), where b (≠0) and c (⩾0) are real constants and W(t ) is a standard Brownian motion, is considered. The aim is to obtain the control u* that minimizes the expected value of a cost function with terminal cost equal to 0 or +∞ depending on whether the survival time in a given region is at least equal to or less than a fixed time
Keywords :
Brownian motion; minimisation; optimal control; time-varying systems; cost function; dynamic system; expected value; minimisation; one-dimensional system; optimal control; standard Brownian motion; survival time; time-varying systems; Control systems; Cost function; Differential equations; Gaussian processes; Minimax techniques; Motion control; Polynomials; Robustness; Stability; Symmetric matrices;
Journal_Title :
Automatic Control, IEEE Transactions on
