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Solution to a class of stochastic LQ problems with bounded control

✍ Scribed by D.V. Iourtchenko

Publisher: Elsevier Science
Year: 2009
Tongue: English
Weight: 824 KB
Volume: 45
Category: Article
ISSN: 0005-1098
DOI: 10.1016/j.automatica.2009.01.019

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✦ Synopsis

A new approach for finding an exact analytical solution to the modified Hamilton-Jacobi-Bellman equation is proposed. Together with the recently developed hybrid solution method, the proposed strategy allows to find a solution to a whole class of stochastic optimal control problems with bounded in magnitude control force.

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