• DocumentCode
    646023
  • 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
  • fYear
    2013
  • fDate
    17-19 July 2013
  • Firstpage
    3059
  • Lastpage
    3064
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Control Conference (ECC), 2013 European
  • Conference_Location
    Zurich
  • Type

    conf

  • Filename
    6669220