Accession Number : AD0467504

Title :   STOCHASTIC TIME-OPTIMAL CONTROL.

Descriptive Note : Research rept.,

Corporate Author : POLYTECHNIC INST OF BROOKLYN NY MICROWAVE RESEARCH INST

Personal Author(s) : Robinson, Prentiss N.

Report Date : JUN 1965

Pagination or Media Count : 48

Abstract : The problem under study is the stochastic time-optimal control problem. Basically the object is to determine a control input which causes the output of a stochastic system to reach some region R of the origin in such a way that the expected value of the time required to reach R is minimized. The system is assumed to satisfy a stochastic differential equation. This problem has already been considered by a few authors, however in most cases serious errors were made in their analysis and problem statement. In this study a careful problem statement is made, appropriate optimization equations derived, and an iterative method of solution technique (approximation in policy space) is applied to solve certain specific problems. (Author)

Descriptors :   (*STOCHASTIC PROCESSES, CONTROL SYSTEMS), (*CONTROL SYSTEMS, STOCHASTIC PROCESSES), DYNAMIC PROGRAMMING, OPTIMIZATION, STATISTICAL PROCESSES, ITERATIONS, TIME, PARTIAL DIFFERENTIAL EQUATIONS.

Distribution Statement : APPROVED FOR PUBLIC RELEASE