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An Approximation technique for small noise open-loop control problems

✍ Scribed by Charles J. Holland


Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
315 KB
Volume
2
Category
Article
ISSN
0143-2087

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✦ Synopsis


Abstract

For a class of non‐linear open‐loop stochastic control problems with small additive white noise, an approximation technique to compute an optimal control of fixed structure related to the noise intensity is presented. The method developed here leads to a generalized deterministic linear regulator problem. It has the advantage that approximate optimal controls are obtained simultaneously for all sufficiently small noise levels. A numerical example is presented to illustrate the method.


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