Accession Number : AD0738310

Title :   On the Application of Deterministic Optimization Methods to Stochastic Control Problems,

Corporate Author : MASSACHUSETTS INST OF TECH CAMBRIDGE ELECTRONIC SYSTEMS LAB

Personal Author(s) : Athans,Michael ; Kramer,Leslie C.

Report Date : DEC 1971

Pagination or Media Count : 35

Abstract : A technique is presented by which one can apply the Minimum Principle of Pontryagin to stochastic optimal control problems formulated around linear systems with Gaussian noises and general cost criteria. Using this technique, the stochastic nature of the problem is suppressed but for two expectation operations, the optimization being essentially deterministic. The technique is applied to systems with quadratic and non-quadratic costs to illustrate its use. (Author)

Descriptors :   (*ADAPTIVE CONTROL SYSTEMS, MATHEMATICAL MODELS), STOCHASTIC PROCESSES, LINEAR SYSTEMS, DYNAMIC PROGRAMMING, WHITE NOISE, FEEDBACK, OPTIMIZATION

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE