Optimization of stochastic diffusion systems with constraints on control- observation process. I: Sufficient conditions of optimality (Q1185648): Difference between revisions
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| English | Optimization of stochastic diffusion systems with constraints on control- observation process. I: Sufficient conditions of optimality |
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Optimization of stochastic diffusion systems with constraints on control- observation process. I: Sufficient conditions of optimality (English)
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28 June 1992
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Instead of a stochastic differential equation with a Markovian policy the authors consider the dynamics of its probability density. Hence, the stochastic control turns out to be a deterministic one. Employing functional analysis methods they derive optimality conditions under some constraints on the control-observation process.
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dynamics of probability
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optimality conditions
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control-observation process
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