Numerical method of design of stochastic optimal control systems (Q1103582)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Numerical method of design of stochastic optimal control systems |
scientific article |
Statements
Numerical method of design of stochastic optimal control systems (English)
0 references
1987
0 references
Optimal controls are designed for dynamic systems with disturbances in the form of white Gaussian noise under constraints on the value of the allowed controls. A method of design of optimal systems is presented that is based on a numerical solution of Bellman's equation. A procedure is considered for assigning the boundary conditions for the loss function. A finite-difference scheme for the solution of the design problem and the corresponding results are presented for a specific system of optimal damping of random oscillations.
0 references
numerical solution
0 references
Bellman's equation
0 references
boundary conditions for the loss function
0 references
finite-difference scheme
0 references
optimal damping of random oscillations
0 references