Title :
A simplified algorithm for computing stationary cost variances for a class of optimally controlled jump parameter systems
Author_Institution :
University of Southern California, Los Angeles, CA, USA
fDate :
4/1/1977 12:00:00 AM
Abstract :
Although procedures exist for finding the cost variances of an optimally controlled, stochastic, jump parameter system, the computational complexity inherent in these procedures impedes their general use. An algorithm is provided here that will provide the stationary cost variance with significantly less effort. An example illustrating the mechanics of the algorithm is presented.
Keywords :
Jump parameter systems; Linear systems, stochastic continuous-time; Optimal stochastic control; Stochastic optimal control; Computational complexity; Control systems; Cost function; Differential equations; Distributed computing; Impedance; Optimal control; Performance analysis; Stochastic processes; Stochastic systems;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1977.1101476
