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Explicit solutions for multivariate, discrete-time control problems under uncertainty

✍ Scribed by P.Dai Pra; L. Meneghini; W.J. Runggaldier

Publisher: Elsevier Science
Year: 1998
Tongue: English
Weight: 110 KB
Volume: 34
Category: Article
ISSN: 0167-6911
DOI: 10.1016/s0167-6911(98)00002-4

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✦ Synopsis

We consider discrete time control problems, where only the support sets of the initial condition and of the disturbances are known. We study the applicability of the DP method and, as a counterpart of the LQ problem of the stochastic setting, we present a problem that admits an explicit analytic solution. In particular, we characterize a property of compatibility between the system dynamics and the norms of the spaces, that is crucial to obtain the analytic solution also in the general multidimensional case.

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✍ Wolfgang J. Runggaldier 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 845 KB

We present some concepts and solution methods for finite horizon control problems under uncertainty in discrete as well as continuous time. We discuss exact and approximate solution methods and mention possible applications. The uncertainty is mainly of a stochastic nature, but also other forms of u