A computational algorithm for the optimal control of continuous-time stochastic systems

IEEE Transactions on Automatic Control ◽

10.1109/tac.1973.1100301 ◽

1973 ◽

Vol 18 (3) ◽

pp. 310-311 ◽

Author(s):

E. Tacker ◽

C. Sanders ◽

T. Linton

Keyword(s):

Optimal Control ◽

Continuous Time ◽

Stochastic Systems ◽

Computational Algorithm

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Open-loop optimal control of a class of continuous-time stochastic systems—A simulation study†

International Journal of Control ◽

10.1080/00207177408932708 ◽

1974 ◽

Vol 19 (6) ◽

pp. 1165-1175 ◽

Author(s):

EDGAR C. TACKER ◽

THOMAS D. LINTON ◽

CHARLES W. SANDERS

Keyword(s):

Optimal Control ◽

Simulation Study ◽

Continuous Time ◽

Stochastic Systems ◽

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Data-driven policy iteration algorithm for optimal control of continuous-time Itô stochastic systems with Markovian jumps

IET Control Theory and Applications ◽

10.1049/iet-cta.2015.0973 ◽

2016 ◽

Vol 10 (12) ◽

pp. 1431-1439 ◽

Author(s):

Jun Song ◽

Zhengtao Ding ◽

Shuping He ◽

Yugang Niu ◽

Fei Liu

Keyword(s):

Optimal Control ◽

Continuous Time ◽

Stochastic Systems ◽

Policy Iteration ◽

Data Driven ◽

Iteration Algorithm ◽

Policy Iteration Algorithm

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Martingale conditions for the optimal control of continuous time stochastic systems

Stochastic Processes and their Applications ◽

10.1016/0304-4149(84)90304-1 ◽

1984 ◽

Vol 18 (2) ◽

pp. 329-347 ◽

Author(s):

Charlotte Striebel

Keyword(s):

Optimal Control ◽

Continuous Time ◽

Stochastic Systems

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Time Discretisation and Rate of Convergence for the Optimal Control of Continuous-Time Stochastic Systems with Delay

Applied Mathematics & Optimization ◽

10.1007/s00245-007-9019-4 ◽

2007 ◽

Vol 57 (2) ◽

pp. 177-206 ◽

Author(s):

Markus Fischer ◽

Giovanna Nappo

Keyword(s):

Optimal Control ◽

Rate Of Convergence ◽

Continuous Time ◽

Stochastic Systems ◽

Time Discretisation

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Linear quadratic optimal control for continuous-time stochastic systems with single input-delay

2012 24th Chinese Control and Decision Conference (CCDC) ◽

10.1109/ccdc.2012.6244450 ◽

2012 ◽

Author(s):

Hongxia Wang ◽

Huanshui Zhang ◽

Xuan Wang

Keyword(s):

Optimal Control ◽

Continuous Time ◽

Stochastic Systems ◽

Input Delay ◽

Linear Quadratic ◽

Linear Quadratic Optimal Control ◽

Single Input ◽

Quadratic Optimal Control

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Optimal Control of Continuous Time, Markov, Stochastic Systems†

Journal of Electronics and Control ◽

10.1080/00207216108937350 ◽

1961 ◽

Vol 10 (6) ◽

pp. 473-488 ◽

Author(s):

J. J. FLORENTIN

Keyword(s):

Optimal Control ◽

Continuous Time ◽

Stochastic Systems

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A PrioriOpen Loop Optimal Control of Continuous Time Stochastic Systems†

International Journal of Control ◽

10.1080/00207176608921372 ◽

1966 ◽

Vol 3 (2) ◽

pp. 113-127 ◽

Author(s):

R. E. MORTENSEN

Keyword(s):

Optimal Control ◽

Continuous Time ◽

Stochastic Systems

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On the synthesis of optimal control for the continuous-time linear stochastic systems with singular mean-square performance index

Mathematics and Computers in Simulation ◽

10.1016/0378-4754(87)90136-4 ◽

1987 ◽

Vol 29 (3-4) ◽

pp. 261-273

Author(s):

A.P. Serebrovski

Keyword(s):

Optimal Control ◽

Continuous Time ◽

Performance Index ◽

Stochastic Systems ◽

Mean Square ◽

Linear Stochastic Systems ◽

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Function space derived algorithms for the optimal control of continuous time nonlinear stochastic systems

10.1109/cdc.1971.271079 ◽

1971 ◽

Author(s):

Edgar Tacker ◽

Charles Sanders ◽

Thomas Linton

Keyword(s):

Optimal Control ◽

Function Space ◽

Continuous Time ◽

Stochastic Systems ◽

Nonlinear Stochastic Systems

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Optimal Control of Stochastic Systems Driven by Fractional Brownian Motions

10.21236/ada614716 ◽

2014 ◽

Author(s):

Tyrone E. Duncan ◽

Bozenna Pasik-Duncan

Keyword(s):

Optimal Control ◽

Stochastic Systems ◽

Brownian Motions ◽

Fractional Brownian Motions

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