Accession Number : ADA187818

Title :   Deterministic Equivalent for a Continuous Linear-Convex Stochastic Control Problem.

Descriptive Note : Technical rept.,

Corporate Author : FLORIDA STATE UNIV TALLAHASSEE DEPT OF STATISTICS

Personal Author(s) : Sethi, S ; Taksar, M I

PDF Url : ADA187818

Report Date : 01 Sep 1987

Pagination or Media Count : 18

Abstract : The authors consider a finite horizon control model with additive input. There are two convex functions which describe the running and the terminal costs within the system. The cost of input is proportional to input and can take both positive and negative values. It is shown that there exists a deterministic control problem whose optimal cost is the same as the one in the stochastic control problem. The optimal policy in the stochastic problem consists of keeping the process as close to the optimal deterministic trajectory as possible. Keywords: Stochastic linear systems; Additive noise; Optimization.

Descriptors :   *LINEAR SYSTEMS, *STOCHASTIC CONTROL, *MATHEMATICAL MODELS, COSTS, DETERMINANTS(MATHEMATICS), DETERMINATION, FUNCTIONS(MATHEMATICS), HORIZON, INPUT, OPTIMIZATION, POLICIES, TRAJECTORIES

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE