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On-line iterative optimization of stochastic control systems

โœ Scribed by H. Kwakernaak

Publisher
Elsevier Science
Year
1965
Tongue
English
Weight
741 KB
Volume
2
Category
Article
ISSN
0005-1098

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โœฆ Synopsis

The concept of the gradient of a performance criterion for a stochastic control system m connection with feedback-type con.trollers is developed. It is suggested that the inherent difficulty of dimensionality which is encountered in making optimal designs of feedback-type controllers can be overcome by performing the calculations on-line; in this way one only has to cope with that situation that one is actually faced with at any instant. A gradient technique is proposed to improve on any given controller; for certain computations the Monte Carlo method is recommended and found to be promising. A numerical example is included.

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