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
Link To Document