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The Carleman Approximation Approach to Solve a Stochastic Nonlinear Control Problem.
- Source :
-
IEEE Transactions on Automatic Control . Apr2010, Vol. 55 Issue 4, p976-982. 7p. 2 Graphs. - Publication Year :
- 2010
-
Abstract
- This note investigates the optimal linear quadratic control problem in the discrete-time framework, for stochastic systems affected by disturbances generated by a nonlinear stochastic exosystem. The application of the maximum principle to nonlinear optimal control problems does not admit, in general, implementable solutions. Therefore, it is worthwhile to look for finite-dimensional approximation schemes. The approach followed in this note is based on the -degree Carleman approximation of a stochastic nonlinear system applied to the exosystem and provides a real-time algorithm to design an implementable control law. Simulations support theoretical results and show the improvements when the approximation index ν is increased. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00189286
- Volume :
- 55
- Issue :
- 4
- Database :
- Academic Search Index
- Journal :
- IEEE Transactions on Automatic Control
- Publication Type :
- Periodical
- Accession number :
- 49135991
- Full Text :
- https://doi.org/10.1109/TAC.2010.2041611