Title :
A computational algorithm for the optimal control of continuous-time stochastic systems
Author :
Tacker, E.C. ; Sanders, C.W. ; Linton, T.D.
Author_Institution :
Louisiana State University, Baton Rouge, LA, USA
fDate :
6/1/1973 12:00:00 AM
Abstract :
An algorithm for computing optimal controls for a class of continuous-time stochastic systems is presented. For a linear example, it is shown that the generated control is precisely the optimal control. Numerical results for a nonlinear example suggest that the generated control is at least locally optimal.
Keywords :
Nonlinear systems, stochastic continuous-time; Optimal stochastic control; Stochastic optimal control; Algorithm design and analysis; Chemical engineering; Contracts; Cost function; Differential equations; Motion control; Open loop systems; Optimal control; Stochastic processes; Stochastic systems;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1973.1100301
