• DocumentCode
    850963
  • Title

    The optimum stochastic control for a problem with random cost incursion times

  • Author

    Wenk, Carl J.

  • Author_Institution
    Analysis and Technology, Incorporated, North Stonington, CT, USA
  • Volume
    31
  • Issue
    10
  • fYear
    1986
  • fDate
    10/1/1986 12:00:00 AM
  • Firstpage
    978
  • Lastpage
    980
  • Abstract
    A sequential stochastic control problem is considered in which the performance criterion cost is incremented periodically at random times. Although these cost incursion times are unknown, they are governed by a known prior probability density function. The optimum Bayesian control decision strategy is obtained by solving the stochastic dynamic programming equation. As anticipated, the solution exhibits a type of separation principle.
  • Keywords
    Bayes procedures; Discrete-time systems; Dynamic programming; Stochastic optimal control, linear systems; Bayesian methods; Cost function; Data mining; Dynamic programming; Equations; Monitoring; Observers; Probability density function; Stochastic processes; Vectors;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1986.1104135
  • Filename
    1104135
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=850963