Title :
Finite chain approximation for a continuous stochastic control problem
Author :
Borkar, Vivek ; Varaiya, Pravin
Author_Institution :
University of California, Berkeley, CA, USA
fDate :
4/1/1981 12:00:00 AM
Abstract :
A class of feedback policies called finitely switched (FS) policies is introduced. When a one-dimensional nonlinear stochastic system is controlled by FS policies there is a finite state Markov system which is equivalent to the original problem. The finite state problem can be solved by known Markov programming methods.
Keywords :
Markov processes; Nonlinear systems, stochastic; Stochastic systems, nonlinear; Switched systems, nonlinear; Contracts; Control systems; Cost function; Motion control; Optimal control; Partial differential equations; State feedback; Stochastic processes; Stochastic systems;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1981.1102608
