DocumentCode
966899
Title
An extension of a stochastic control theorem due to Whittle
Author
Lefebvre, M.
Author_Institution
Dept. of Math. Appl., Ecole Polytech., Montreal, Que., Canada
Volume
34
Issue
5
fYear
1989
fDate
5/1/1989 12:00:00 AM
Firstpage
567
Lastpage
568
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;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.24219
Filename
24219
Link To Document