STOCHASTIC TIME-OPTIMAL CONTROL.
Abstract
The problem under study is the stochastic time-optimal control problem. Basically the object is to determine a control input which causes the output of a stochastic system to reach some region R of the origin in such a way that the expected value of the time required to reach R is minimized. The system is assumed to satisfy a stochastic differential equation. This problem has already been considered by a few authors, however in most cases serious errors were made in their analysis and problem statement. In this study a careful problem statement is made, appropriate optimization equations derived, and an iterative method of solution technique (approximation in policy space) is applied to solve certain specific problems. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Jun 01, 1965
- Accession Number
- AD0467504
Entities
People
- Prentiss N. Robinson
Organizations
- New York University Tandon School of Engineering