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)

Review text

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.

Recommendations

• scientific article; zbMATH DE number 1314880
• scientific article; zbMATH DE number 17901
• Numerical solution of some optimal control problems
• Stochastic optimal control via Bellman's principle.
• scientific article; zbMATH DE number 703401

Cited in

(8)

• Stochastic optimal control via Bellman's principle.
• Numerical methods for optimum experimental design in DAE systems
• Numerical solutions for optimal control of stochastic Kolmogorov systems
• scientific article; zbMATH DE number 4003580 (Why is no real title available?)
• scientific article; zbMATH DE number 4045283 (Why is no real title available?)
• On the Numerical Approximation of an Optimal Correction Problem
• scientific article; zbMATH DE number 17901 (Why is no real title available?)
• scientific article; zbMATH DE number 1314880 (Why is no real title available?)

This page was built for publication: Numerical method of design of stochastic optimal control systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1103582)