Stochastic optimal control of nonlinear systems via short-time Gaussian approximation and cell mapping (Q1851039): Difference between revisions

Global solutions of stochastic optimal control problems with fixed state terminal conditions and control bounds are obtained. Global means that the solutions for all the initial conditions a region of the state space are considered. The method uses Belman's principle of optimality, the cumulant neglect closure method and the short-time Gaussian approximation. A Markov chain with a control dependent transition probability matrix is built using the generalized cell mapping method. This allows the authors to evaluate the transient and steady state response of the controlled system. Several examples with linear and nonlinear systems are also considered.