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1 results on '"stochastic optimal control"'

1. Optimal Retention of the Trajectories of a Discrete-Time Stochastic System in a Tube: One Problem Statement.

Author

Tarasov, A. N., Azanov, V. M., and Kibzun, A. I.

Subjects
*STOCHASTIC systems, *DISCRETE-time systems, *DYNAMIC programming, *DISCRETE systems, *LINEAR systems, *STOCHASTIC control theory
Abstract

This paper considers an optimal control problem for a time-invariant linear stochastic system with discrete time, scalar unbounded control, additive noise, and a probabilistic criterion for retaining its trajectories in a given neighborhood of zero. We use dynamic programming and two-sided Bellman function estimates to derive analytical expressions for the optimal control at two time steps and a suboptimal control on any control horizon. The effectiveness of these controls is illustrated on a numerical example. [ABSTRACT FROM AUTHOR]

Published
2023
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