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Approximate infinite-horizon optimal control for stochastic systems
| File | Description | Size | Format | |
|---|---|---|---|---|
 cdc18-final-approximate (2).pdf | Accepted version | 331.9 kB | Adobe PDF | View/Open |
| Title: | Approximate infinite-horizon optimal control for stochastic systems |
| Authors: | Scarciotti, G Mylvaganam, T |
| Item Type: | Conference Paper |
| Abstract: | The policy of an optimal control problem for nonlinear stochastic systems can be characterized by a second- order partial differential equation for which solutions are not readily available. In this paper we provide a systematic method for obtaining approximate solutions for the infinite-horizon optimal control problem in the stochastic framework. The method is demonstrated on an illustrative numerical example in which the control effort is not weighted, showing that the technique is able to deal with one of the most striking features of stochastic optimal control. |
| Issue Date: | 21-Jan-2019 |
| Date of Acceptance: | 13-Jul-2018 |
| URI: | http://hdl.handle.net/10044/1/62583 |
| DOI: | 10.1109/CDC.2018.8619055 |
| Publisher: | IEEE |
| Copyright Statement: | © 2019 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works. |
| Conference Name: | 57th IEEE Conference on Decision and Control (CDC) |
| Keywords: | Science & Technology Technology Automation & Control Systems Engineering, Electrical & Electronic Engineering TIME |
| Publication Status: | Published |
| Start Date: | 2018-12-17 |
| Finish Date: | 2018-12-19 |
| Conference Place: | Fontainebleau, Miami Beach, FL, USA |
| Online Publication Date: | 2019-01-21 |
| Appears in Collections: | Electrical and Electronic Engineering Aeronautics Faculty of Engineering |