DocumentCode :
697158
Title :
Existence of the optimal generalized solutions in nonlinear stochastic control problems
Author :
Dufour, F. ; Miller, B.
Author_Institution :
LaBRI, Univ. Bordeaux I, Talence, France
fYear :
2001
fDate :
4-7 Sept. 2001
Firstpage :
934
Lastpage :
938
Abstract :
An optimal stochastic control problem is considered for systems with unbounded controls satisfying an integral constraint. It is shown that there exists an optimal control within the class of generalized controls leading to impulse actions. Applying an approach of time transformation, developed recently for deterministic systems, the original control problem is shown to be equivalent to an optimal stopping problem. Moreover, the description of generalized solutions is given in terms of stochastic differential equations governed by a measure.
Keywords :
differential equations; nonlinear control systems; optimal control; stochastic systems; deterministic systems; generalized control; impulse actions; integral constraint; nonlinear stochastic control problems; optimal generalized solutions; optimal stochastic control problem; optimal stopping problem; stochastic differential equations; time transformation; unbounded control; Aerospace electronics; Differential equations; Europe; Optimal control; Optimization; Process control; discontinuous time change; generalized solutions; impulse control; nonlinear stochastic systems;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Control Conference (ECC), 2001 European
Conference_Location :
Porto
Print_ISBN :
978-3-9524173-6-2
Type :
conf
Filename :
7076032
Link To Document :
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