Optimal Correction Problem of a Multidimensional Stochastic System,

Abstract

We consider a stochastic dynamic system which is governed by a multidimensional diffusion process with constant drift and diffusion coefficients. The correction corresponds to an additive input which is under control. There is no limit on the rate of input into the system. The objective is to minimize the expected cumulative cost associated with the position of the system and the amount of control exerted. It is proved that Hamilton-Jacobi-Bellman's equation of the problem has a solution, which corresponds to the optimal cost of the problem. An existence of optimal policy is proved.

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Document Details

Document Type
Technical Report
Publication Date
Sep 01, 1987
Accession Number
ADA186727

Entities

People

  • J. L. Menaldi
  • M. I. Taksar

Organizations

  • Wayne State University

Tags

Communities of Interest

  • C4I
  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Additives (Chemicals)
  • Air Force
  • Availability
  • Brownian Motion
  • Classification
  • Diffusion
  • Equations
  • Inequalities
  • Mathematics
  • Optimization
  • Probability
  • Security
  • Statistics
  • Stochastic Control
  • Theorems
  • Trajectories
  • Universities

Fields of Study

  • Mathematics

Readers

  • Control Systems Engineering.
  • Operations Research