Title :
An extension of a stochastic control theorem due to Whittle
Author_Institution :
Dept. of Math. Appl., Ecole Polytech., Montreal, Que., Canada
fDate :
5/1/1989 12:00:00 AM
Abstract :
P. Whittle (1982) has obtained a theorem that gives the optimal control in terms of a mathematical expectation for the uncontrolled process for a certain class of processes. The type of cost function that he considered involves the state variable only at termination. Here, his result is extended to the case when the cost function involves the state variable both at termination and along the way. An example is given
Keywords :
optimal control; stochastic systems; Whittle theorem; cost function; optimal control; state variable; stochastic control theorem; Boundary conditions; Control systems; Cost function; Councils; Equations; Noise measurement; Optimal control; Stochastic processes; Symmetric matrices; White noise;
Journal_Title :
Automatic Control, IEEE Transactions on
