Optimal Control of a Brownian Motion.

Abstract

The potential function methods are applied to give a more analytic approach to a problem of stochastic control of Brownian motion. This approach is applied also to a generalization of the problem, an application of which involves deciding between two costly modes for reducing a queue length when there is a holding cost and a cost of switching from one mode to another. Some computational methods are indicated.

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Document Details

Document Type
Technical Report
Publication Date
Dec 13, 1976
Accession Number
ADA033881

Entities

People

  • Albert John Petkau
  • Herman Chernoff

Organizations

  • Massachusetts Institute of Technology

Tags

Communities of Interest

  • C4I

DTIC Thesaurus Topics

  • British Columbia
  • Brownian Motion
  • Classification
  • Computational Science
  • Computer Programming
  • Differential Equations
  • Diffusion
  • Equations
  • Intervals
  • Markov Processes
  • Massachusetts
  • Mathematics
  • Probability
  • Stochastic Control
  • Stochastic Processes
  • Switching
  • Time Intervals

Fields of Study

  • Mathematics

Readers

  • Control Systems Engineering.
  • Mathematical Modeling and Probability Theory.