Stochastic optimal control theory and its computational methods

In this paper, we consider an optimal control problem of a diffusion process governed by an Ito differential equation. The problem is first converted into a distributed parameter optimal control problem. A theoretical method for improving a control, if it is not an extrernal control, is presented, f...

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Bibliographic Details
Published in:International journal of systems science 1980-01, Vol.11 (1), p.77-95
Main Authors: TEO, K. L., REID, D. W., BOYD, I. E.
Format: Article
Language:English
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Summary:In this paper, we consider an optimal control problem of a diffusion process governed by an Ito differential equation. The problem is first converted into a distributed parameter optimal control problem. A theoretical method for improving a control, if it is not an extrernal control, is presented, from which a necessary condition for optimality is deduced. A computer algorithm to search for an optimal control is discussed. This algorithm is modified from the theoretical method. For illustration, the method is applied to the problem of an optimal control of a stochastic non-linear regulator.
ISSN:0020-7721
1464-5319
DOI:10.1080/00207728008966998