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Stochastic time-optimal control problemsTwo types of stochastic time-optimal controls in a one-dimensional setting are considered. Multidimensional problems, in the case of complete state information available and the system modeled by stochastic differential equations, are studied under the formulation of minimizing the expected transient-response time. The necessary condition of optimality is the satisfaction for the value function of a parabolic partial differential equation with boundary conditions. The sufficient condition of optimality is also provided, based on Dynkin's formula. Finally, three examples are given.
Document ID
19890032281
Acquisition Source
Legacy CDMS
Document Type
Reprint (Version printed in journal)
Authors
Zhang, W.
(California, University Los Angeles, United States)
Elliot, D.
(Washington University Saint Louis, MO, United States)
Date Acquired
August 14, 2013
Publication Date
November 1, 1988
Publication Information
Publication: IEE Proceedings, Part D - Control Theory and Applications
Volume: 135
Issue: 6
ISSN: 0143-7054
Subject Category
Cybernetics
Accession Number
89A19652
Funding Number(s)
CONTRACT_GRANT: NSG-4015
Distribution Limits
Public
Copyright
Other

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