Numerical solution of an optimal control problem with a probability criterion

DOI10.1109/TAC.1972.1100039MaRDI QIDQ5680022zbMATH OpenFDO

Authors Leo J. van Mellaert, Peter Dorato

Publication date 1972

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TAC.1972.1100039

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cited in

(6)

• Finite-time stability and stabilization of nonlinear stochastic hybrid systems
• Optimal exit probabilities and differential games
• Finite-time \(H_\infty\) control for time-delayed stochastic systems with Markovian switching
• On constrained stochastic optimal parameter selection problems
• Optimal arbitrage under model uncertainty
• New conditions for finite-time stability of impulsive dynamical systems via piecewise quadratic functions

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