Title :
Near-optimal controls: stochastic case
Author_Institution :
Dept. of Syst. Eng. & Eng. Manage., Chinese Univ. of Hong Kong, Shatin, Hong Kong
Abstract :
Near-optimization is as sensible and important as optimization for both theory and applications. In this paper, systems governed by the Ito stochastic differential equations are considered where both the drift and diffusion terms are allowed to depend on controls and the systems are allowed to be degenerate. Necessary and sufficient conditions for a control to be near-optimal are studied. Error estimates for the near-optimality are obtained based on some delicate estimates of the adjoint processes
Keywords :
differential equations; optimal control; stochastic systems; Ito stochastic differential equations; adjoint processes; diffusion term; drift term; error estimates; near-optimal controls; near-optimality; near-optimization; necessary and sufficient conditions; Computer aided software engineering; Control systems; Differential equations; Extraterrestrial measurements; Indium tin oxide; Optimal control; Stochastic processes; Stochastic systems; Sufficient conditions; Systems engineering and theory;
Conference_Titel :
Decision and Control, 1996., Proceedings of the 35th IEEE Conference on
Conference_Location :
Kobe
Print_ISBN :
0-7803-3590-2
DOI :
10.1109/CDC.1996.574399
