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Optimal control of ultimately bounded stochastic processes

Published online by Cambridge University Press:  22 January 2016

Yoshio Miyahara
Yoshio Miyahara*
Affiliation:
Shizuoka University
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We shall consider the optimal control for a system governed by a stochastic differential equation

where u(t, x) is an admissible control and W(t) is a standard Wiener process. By an optimal control we mean a control which minimizes the cost and in addition makes the corresponding Markov process stable.

Type
Research Article
Information
Nagoya Mathematical Journal , Volume 53 , May 1974 , pp. 157 - 170
Copyright
Copyright © Editorial Board of Nagoya Mathematical Journal 1974

References

[1] Haussmann, U. G.; Optimal Stationary Control with State and Control Dependent Noise, SIAM J. Control, Vol. 9 No. 2 (1971) pp. 184–198.CrossRefGoogle Scholar
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[3] Miyahara, Y.; Invariant Measures of Ultimately Bounded Stochastic Process, Nagoya Math. J. Vol. 49 (1973) pp. 149–153.CrossRefGoogle Scholar
[4] Wonham, W. M.; Optimal Stationary Control of a Linear System with State-dependent Noise, SIAM J. Control, Vol. 5, No. 3 (1967).CrossRefGoogle Scholar
[5] Wonham, W. M.; On Pole assignment in Multi-input Controllable linear systems, IEEE Trans. Automatic Control, AC-12 (1967), pp. 660–665.Google Scholar