Numerical method of design of stochastic optimal control systems

zbMATH Open0645.93068MaRDI QIDQ1103582FDOQ1103582

Authors: G. E. Kolosov, M. M. Sharov 

Publication date: 1987

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

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zbMATH Keywords

numerical solutionfinite-difference schemeBellman's equationboundary conditions for the loss functionoptimal damping of random oscillations

Mathematics Subject Classification ID

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

Cited In (7)

• Numerical methods for optimum experimental design in DAE systems
• On the Numerical Approximation of an Optimal Correction Problem
• Title not available (Why is that?)
• Stochastic optimal control via Bellman's principle.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Numerical solutions for optimal control of stochastic Kolmogorov systems

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