DocumentCode :
3008910
Title :
Existence of an optimal control for systems with jump Markov disturbances
Author :
Goor, R.M.
Author_Institution :
University of Delaware, Newark, Delaware
fYear :
1975
fDate :
10-12 Dec. 1975
Firstpage :
157
Lastpage :
160
Abstract :
We consider stochastic optimal control problems of Mayer type with dynamics in the form of a system of ordinary differential equations perturbed by a countable state Markov process, and we prove the existence of an optimal control in the class of non-anticipative functions. The proof takes the same approach as the "direct" method of the calculus of variations, used extensively in deterministic problems, but substitutes probabilistic concepts where necessary.
Keywords :
Calculus; Differential equations; Extraterrestrial measurements; Markov processes; Mathematics; Optimal control; Stability; Stochastic processes; Stochastic systems; Topology;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Decision and Control including the 14th Symposium on Adaptive Processes, 1975 IEEE Conference on
Conference_Location :
Houston, TX, USA
Type :
conf
DOI :
10.1109/CDC.1975.270668
Filename :
4045395
Link To Document :
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