Numerical methods of synthesis of an optimal control for stochastic dynamical systems of diffusion type
From MaRDI portal
Publication:465294
DOI10.1134/S1064230707030033zbMath1297.93189MaRDI QIDQ465294
J. Herrera, D. Rodríguez-Gómez
Publication date: 31 October 2014
Published in: Journal of Computer and Systems Sciences International (Search for Journal in Brave)
numerical methods; linear and quasilinear systems with quadratic cost function; stochastic dynamic system of diffusion type; synthesis of optimal trajectories; systems with complete information on the state; systems with information constraints
93E20: Optimal stochastic control
93C15: Control/observation systems governed by ordinary differential equations
49K45: Optimality conditions for problems involving randomness