Title :
Stochastic Optimal Control of Linear Time Varying Systems via General Orthogonal Polynomials (GOP)
Author :
Mahayana, Dimitri ; Yuliar, Sonn ; Widodo, R.J.
Author_Institution :
Department of Electrical Engineering, Bandung Institute of Technology, Jl. Ganesa 10, Bandung 40132, INDONESIA
Abstract :
In this paper, two non linear time varying Riccati differential equations involved in the stochastic optimal control problem are converted into simple linear equations using GOP approximations.
Keywords :
Boundary conditions; Differential equations; Matrix converters; Optimal control; Polynomials; Riccati equations; Stochastic systems; Time varying systems; Tin; White noise;
Conference_Titel :
American Control Conference, 1991
Conference_Location :
Boston, MA, USA
Print_ISBN :
0-87942-565-2
