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On the existence of stochastic optimal control of distributed state system

✍ Scribed by Rainer Buckdahn; Aurel Răşcanu

Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
277 KB
Volume
52
Category
Article
ISSN
0362-546X

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✦ Synopsis

An optimal control problem governed by a semilinear parabolic stochastic di erential equation with nonlinear di usion coe cient is studied and the existence of a quasi-optimal (nonrelaxed) control is proved without assuming convexity of the coe cients. The control state space is not compact and of inÿnite dimension, the stochastic equation is driven by a cylindrical Brownian motion.

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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