Title :
Class of stochastic optimal-control problems under conflict of interest
Author :
Kuo, M.C.Y. ; Burbank, H.M.
Author_Institution :
New Jersey Institute of Technology, Department of Electrical Engineering, Newark, USA
fDate :
5/1/1976 12:00:00 AM
Abstract :
Necessary and sufficient conditions are derived for a class of differential games which are a deterministic representation of a stochastic optimal-control problem. The stochastic disturbance is assumed to be a 2nd-order process. The degrading effects due to the stochastic disturbance are approximated using its first two moments. An example is included
Keywords :
game theory; optimal control; stochastic processes; stochastic systems; conditions; deterministic representation; differential games; probability density function; stochastic disturbance; stochastic optimal control;
Journal_Title :
Electrical Engineers, Proceedings of the Institution of
DOI :
10.1049/piee.1976.0101
