Accession Number : AD0756224

Title :   Optimal Controllers for Stochastic Jump Processes.

Descriptive Note : Technical rept.,

Corporate Author : CALIFORNIA UNIV LOS ANGELES SCHOOL OF ENGINEERING AND APPLIED SCIENCE

Personal Author(s) : Rubin,Izhak

Report Date : DEC 1972

Pagination or Media Count : 47

Abstract : The report discusses the optimal feedback Bayes control, with memory, of a dynamic system governed by the statistics of any stochastic regular jump process. The latter is characterized in terms of the associated regular point process and the embedded state sequence. An optimality theorem, which gives a sufficient condition for an admissible control function to be optimal, is derived. A separation property, concerning the control and filtering operations, is established for the Bayes controller. The results are applied to derive optimal controllers for linear systems with random failures and renewals, assuming the latter to follow an alternating renewal point process model, or to be governed by a binary Markov process with unknown transition intensities. (Author)

Descriptors :   (*ADAPTIVE CONTROL SYSTEMS, MATHEMATICAL MODELS), STOCHASTIC PROCESSES, LINEAR SYSTEMS, RANDOM VARIABLES, SAMPLING, FEEDBACK, OPTIMIZATION, THEOREMS

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE