Synthesis of suboptimal control of single-class stochastic systems

MaRDI QIDQ1913853zbMATH OpenFDO

Authors M. V. Trigub

Publication date 9 June 1996

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

zbMATH Keywords

convergent sequencefinite-time horizonMarkov processesnearly optimal controls

Mathematics Subject Classification ID

Synthesis problems (93B50) Optimal stochastic control (93E20)

Review text

The author considers a family of controlled continuous-time Markov processes. Being interested in finding a control which minimizes the expected total cost over a finite-time horizon he presents a (convergent) sequence of nearly optimal controls.

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