A forward method for optimal stochastic nonlinear and adaptive controlA computational approach is taken to solve the optimal nonlinear stochastic control problem. The approach is to systematically solve the stochastic dynamic programming equations forward in time, using a nested stochastic approximation technique. Although computationally intensive, this provides a straightforward numerical solution for this class of problems and provides an alternative to the usual dimensionality problem associated with solving the dynamic programming equations backward in time. It is shown that the cost degrades monotonically as the complexity of the algorithm is reduced. This provides a strategy for suboptimal control with clear performance/computation tradeoffs. A numerical study focusing on a generic optimal stochastic adaptive control example is included to demonstrate the feasibility of the method.
Document ID
19890041146
Acquisition Source
Legacy CDMS
Document Type
Conference Paper
Authors
Bayard, David S. (California Institute of Technology Jet Propulsion Laboratory, Pasadena, United States)