On the Application of Deterministic Optimization Methods to Stochastic Control Problems,

Abstract

A technique is presented by which one can apply the Minimum Principle of Pontryagin to stochastic optimal control problems formulated around linear systems with Gaussian noises and general cost criteria. Using this technique, the stochastic nature of the problem is suppressed but for two expectation operations, the optimization being essentially deterministic. The technique is applied to systems with quadratic and non-quadratic costs to illustrate its use. (Author)

Document Details

Document Type
Technical Report
Publication Date
Dec 01, 1971
Accession Number
AD0738310

Entities

People

  • Leslie C. Kramer
  • Michael Athans

Organizations

  • Massachusetts Institute of Technology

Tags

DTIC Thesaurus Topics

  • Cooperation
  • Gaussian Noise
  • Linear Systems
  • Massachusetts
  • Noise
  • Optimization
  • Stochastic Control

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.