Accession Number : AD0654537

Title :   A DESCENT ALGORITHM FOR CONSTRAINED STOCHASTIC EXTREMA.

Descriptive Note : Technical rept.,

Corporate Author : HARVARD UNIV CAMBRIDGE MASS DIV OF ENGINEERING AND APPLIED PHYSICS

Personal Author(s) : Ho,Y. C. ; Newbold,P. M.

Report Date : MAY 1967

Pagination or Media Count : 27

Abstract : In situations where it is not feasible to find an optimal feedback control law for a stochastic system, an open-loop law can often be derived by optimization. The report presents a method of finding the extremum of certain stochastic functionals analogous to the steepest descent method. Necessary conditions for the convergence of the algorithm are given. Two examples illustrate the use of the algorithm. (Author)

Descriptors :   (*CONTROL, OPTIMIZATION), (*STOCHASTIC PROCESSES, ALGORITHMS), DYNAMICS, RANDOM VARIABLES, SEQUENCES(MATHEMATICS), MATHEMATICAL ANALYSIS, PARTIAL DIFFERENTIAL EQUATIONS, CALCULUS OF VARIATIONS

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE