Accession Number : ADA186727

Title :   Optimal Correction Problem of a Multidimensional Stochastic System,

Corporate Author : WAYNE STATE UNIV DETROIT MI

Personal Author(s) : Menaldi, J L ; Taksar, M I

PDF Url : ADA186727

Report Date : Sep 1987

Pagination or Media Count : 29

Abstract : We consider a stochastic dynamic system which is governed by a multidimensional diffusion process with constant drift and diffusion coefficients. The correction corresponds to an additive input which is under control. There is no limit on the rate of input into the system. The objective is to minimize the expected cumulative cost associated with the position of the system and the amount of control exerted. It is proved that Hamilton-Jacobi-Bellman's equation of the problem has a solution, which corresponds to the optimal cost of the problem. An existence of optimal policy is proved.

Descriptors :   *OPTIMIZATION, *STOCHASTIC PROCESSES, *CONTROL SYSTEMS, *DYNAMIC PROGRAMMING, ADDITIVES, INPUT, COSTS, DIFFUSION, CORRECTIONS, POLICIES, RATES, DRIFT, DIFFUSION COEFFICIENT, POSITION(LOCATION), DYNAMICS, BROWNIAN MOTION

Subject Categories : Statistics and Probability
      Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE