Conversion of Certain Stochastic Control Problems into Deterministic Control Problems

Autor:	William M. McEneaney, Peter M. Dower
Rok vydání:	2020
Předmět:	Stochastic control Nonlinear system Partial differential equation Control and Systems Engineering Fundamental solution Applied mathematics Nonlinear control Optimal control Constant (mathematics) Hamilton–Jacobi equation Mathematics
Zdroj:	IFAC-PapersOnLine. 53:2208-2213
ISSN:	2405-8963
DOI:	10.1016/j.ifacol.2020.12.005
Popis:	A class of nonlinear, stochastic staticization control problems (including minimization problems with smooth, convex, coercive payoffs) driven by diffusion dynamics with constant diffusion coefficient is considered. A fundamental solution form is obtained where the same solution can be used for a limited variety of terminal costs without re-solution of the problem. One may convert this fundamental solution form from a stochastic control problem form to a deterministic control problem form. This yields an equivalence between certain second-order (in space) Hamilton-Jacobi partial differential equations (HJ PDEs) and associated first-order HJ PDEs. This reformulation has substantial numerical implications.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::6c96a213533d44828184e3cbd7e6302f https://doi.org/10.1016/j.ifacol.2020.12.005 Zobrazit plný text záznamu