DocumentCode :
800533
Title :
A minimum principle for a class of discrete-time stochastic systems
Author :
Bryant, G.F. ; Mayne, D.Q.
Author_Institution :
Centre for Computing and Atuomation, Imperial College, London, England
Volume :
14
Issue :
4
fYear :
1969
fDate :
8/1/1969 12:00:00 AM
Firstpage :
401
Lastpage :
403
Abstract :
A minimum principle is obtained for discrete-time stochastic systems described by the stochastic difference equation x_{k+1} = A_{k}x_{k} + \\phi_{k}(u_{k})+w_{k} where {w_{k}, k = 0, ... ,N - } is la sequence of independent random vector variables. The control action ukis constrained to belong to a compact set Uk, and the set \\phi_{k}(U_{k}), k = 0,..., N - 1 is convex. The system is open-loop.
Keywords :
Linear systems, stochastic discrete-time; Optimal stochastic control; Stochastic optimal control; Automation; Costs; Equations; Open loop systems; Random variables; Stochastic processes; Stochastic systems;
fLanguage :
English
Journal_Title :
Automatic Control, IEEE Transactions on
Publisher :
ieee
ISSN :
0018-9286
Type :
jour
DOI :
10.1109/TAC.1969.1099199
Filename :
1099199
Link To Document :
https://search.ricest.ac.ir/dl/search/defaultta.aspx?DTC=49&DC=800533
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