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Optimal Control of a Discrete-Time Stochastic System with a Probabilistic Criterion and a Non-fixed Terminal Time.
- Source :
-
Automation & Remote Control . Dec2020, Vol. 81 Issue 12, p2143-2159. 17p. - Publication Year :
- 2020
-
Abstract
- This paper considers an optimal control problem for a discrete-time stochastic system with the probability of first reaching the boundaries of a given domain as the optimality criterion. Dynamic programming-based sufficient conditions of optimality are formulated and proved. The isobells of levels 1 and 0 of the Bellman function are used for obtaining two-sided estimates of the right-hand side of the dynamic programming equation, two-sided estimates of the Bellman function, and two-sided estimates of the optimal-value function of the probabilistic criterion. A suboptimal control design method is proposed. The conditions of equivalence to an optimal control problem with a probabilistic terminal criterion are established. An illustrative example is given. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00051179
- Volume :
- 81
- Issue :
- 12
- Database :
- Academic Search Index
- Journal :
- Automation & Remote Control
- Publication Type :
- Academic Journal
- Accession number :
- 148629622
- Full Text :
- https://doi.org/10.1134/S0005117920120012