Title :
Stochastic optimal control in the perspective of the Wiener chaos
Author :
Huschto, Tony ; Sager, Sebastian
Author_Institution :
Interdiscipl. Center for Sci. Comput., Ruprecht-Karls Univ. of Heidelberg, Heidelberg, Germany
Abstract :
We propose a novel and generic methodology for solving continuous finite-horizon stochastic optimal control problems. We develop innovative ideas for approximating controlled stochastic differential equations within the Wiener chaos framework and expand them to reformulate stochastic optimal control problems directly into deterministic ones. Within our approach we present how to preserve the feedback character of the optimal Markov decision rules.
Keywords :
differential equations; optimal control; stochastic processes; stochastic systems; Wiener chaos; computational savings; continuous finite-horizon stochastic optimal control problems; controlled stochastic differential equations; deterministic optimal control problems; feedback character; numerical example; optimal Markov decision rules; Chaos; Markov processes; Optimal control; Polynomials; Process control; Random variables;
Conference_Titel :
Control Conference (ECC), 2013 European
Conference_Location :
Zurich