Optimal control of nonlinear stochastic systems under constraints: an approximate determination method

DOI10.1023/A:1002854110800MaRDI QIDQ1778412zbMATH OpenOpenAlexFDO

Authors N. E. Rodnishchev

Publication date 17 June 2005

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

Full work available at URL https://doi.org/10.1023/a:1002854110800

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Numerical methods based on necessary conditions (49M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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• A non-stochastic control with admissible probabilities for SDDEs, application to linear reactors
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• Approximate propagation of normal distributions for stochastic optimal control of nonsmooth systems
• Approximate constrained stochastic optimal control via parameterized input inference
• Optimality conditions in variational form for non-linear constrained stochastic control problems

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