Optimal and Suboptimal Control of a Standard Brownian Motion

• Autorzy: Lefebvre M.

Identyfikatory

DOI

10.1515/acsc-2016-0021

• Języki publikacji: EN

Abstrakty

EN

The problem of optimally controlling a standard Brownian motion until a fixed final time is considered in the case when the final cost function is an even function. Two particular problems are solved explicitly. Moreover, the best constant control as well as the best linear control are also obtained in these two particular cases.

Słowa kluczowe

EN

stochastic control; Wiener process; best linear control

• Wydawca: Polish Academy of Sciences, Committee of Automatic Control and Robotics
• Czasopismo: Archives of Control Sciences
• Rocznik: 2016
• Tom: Vol. 26, no. 3
• Strony: 383--394
• Opis fizyczny: Bibliogr. 5 poz., wzory

Twórcy

autor

Lefebvre M.

• Department of Mathematics and Industrial Engineering, Polytechnique Montréal, C.P. 6079, Succursale Centre-ville, Montréal, Québec H3C 3A7, Canada

Bibliografia

• [1] D. R. Cox and H. D. Miller: The Theory of Stochastic Processes. Methuen: London; 1965.
• [2] M. Lefebvre and F. Zitouni: General LQG homing problems in one dimension. Int. J. Stoch. Anal., Article ID 803724, (2012), doi:10.1155/2012/803724.
• [3] M. Lefebvre and F. Zitouni: Analytical solutions to LQG homing problems in one dimension. Systems Science and Control Engineering, An Open Access Journal, 2 (2014), 41-47.
• [4] C. Makasu: Explicit solution for a vector-valued LQG homing problem. Optim. Lett., 7 (2013), 607-612.
• [5] P. Whittle: Optimization over Time, Vol. I. Chichester: Wiley; 1982.

Uwagi

PL

Opracowanie ze środków MNiSW w ramach umowy 812/P-DUN/2016 na działalność upowszechniającą naukę