Deterministic Equivalent for a Continuous Linear-Convex Stochastic Control Problem.

Abstract

The authors consider a finite horizon control model with additive input. There are two convex functions which describe the running and the terminal costs within the system. The cost of input is proportional to input and can take both positive and negative values. It is shown that there exists a deterministic control problem whose optimal cost is the same as the one in the stochastic control problem. The optimal policy in the stochastic problem consists of keeping the process as close to the optimal deterministic trajectory as possible. Keywords: Stochastic linear systems; Additive noise; Optimization.

Open PDF

Document Details

Document Type
Technical Report
Publication Date
Sep 01, 1987
Accession Number
ADA187818

Entities

People

  • M. I. Taksar
  • S. Sethi

Organizations

  • Florida State University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Abstracts
  • Additives (Chemicals)
  • Brownian Motion
  • Classification
  • Control Theory
  • Differential Equations
  • Dynamic Programming
  • Equations
  • Linear Systems
  • Mathematics
  • New York
  • Security
  • Stochastic Control
  • Terminals
  • Trajectories
  • Universities

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Mathematical Modeling and Probability Theory.