A DESCENT ALGORITHM FOR CONSTRAINED STOCHASTIC EXTREMA.

Abstract

In situations where it is not feasible to find an optimal feedback control law for a stochastic system, an open-loop law can often be derived by optimization. The report presents a method of finding the extremum of certain stochastic functionals analogous to the steepest descent method. Necessary conditions for the convergence of the algorithm are given. Two examples illustrate the use of the algorithm. (Author)

Document Details

Document Type
Technical Report
Publication Date
May 01, 1967
Accession Number
AD0654537

Entities

People

  • P. M. Newbold
  • Y. C. Ho

Organizations

  • Harvard University

Tags

DTIC Thesaurus Topics

  • Algorithms
  • Convergence
  • Feedback
  • Heuristic Methods
  • Mathematics
  • Optimization
  • Steepest Descent Method

Readers

  • Control Systems Engineering.
  • Operations Research