Accession Number : AD0692479

Title :   OPTIMAL OPEN-LOOP CONTROL OF STOCHASTIC SYSTEMS.

Descriptive Note : Final rept. Oct 67-Jan 69,

Corporate Author : AIR FORCE FLIGHT DYNAMICS LAB WRIGHT-PATTERSON AFB OHIO

Personal Author(s) : Dillow,James D.

Report Date : JUL 1969

Pagination or Media Count : 118

Abstract : The problem of optimal open-loop control of stochastic systems is treated. The system is assumed to be modeled by a stochastic differential equation and the admissible controls are taken to be deterministic functions of time. The optimal control is the control which minimizes the expected value of a quadratic cost function. For the case where the stochastic differential equation is nonlinear, sufficient conditions are described for the existence of an optimal control. Under certain conditions on the problem, the optimal control is shown to satisfy a necessary condition. A computational algorithm is suggested for computing the optimal control. For the case where the stochastic differential equation is linear, sufficient conditions are described for the existence of a unique optimal control. Under certain conditions on the problem, a necessary and sufficient condition for the optimal control is demonstrated. Two computational algorithms for computing the optimal control are described and conditions for convergence are given. (Author)

Descriptors :   (*CONTROL SYSTEMS, STOCHASTIC PROCESSES), NONLINEAR DIFFERENTIAL EQUATIONS, MEASURE THEORY, HILBERT SPACE, NUMERICAL INTEGRATION, ALGORITHMS, SENSITIVITY, THEOREMS, THESES

Subject Categories : Statistics and Probability
      Test Facilities, Equipment and Methods

Distribution Statement : APPROVED FOR PUBLIC RELEASE