On the application of deterministic optimization methods to stochastic control problems.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.
Document ID
19720054568
Acquisition Source
Legacy CDMS
Document Type
Conference Proceedings
Authors
Kramer, L. C. (MIT Lexington, Mass., United States)