Numerical method of design of stochastic optimal control systems

MaRDI QIDQ1103582zbMATH OpenFDO

Authors G. E. Kolosov, M. M. Sharov

Publication date 1987

Published in Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

Bellman's equationboundary conditions for the loss functionfinite-difference schemenumerical solutionoptimal damping of random oscillations

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Diffusion processes (60J60) Finite difference methods for boundary value problems involving PDEs (65N06) Linear programming (90C05) Optimal stochastic control (93E20)

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