Accession Number : AD0467504
Title : STOCHASTIC TIME-OPTIMAL CONTROL.
Descriptive Note : Research rept.,
Corporate Author : POLYTECHNIC INST OF BROOKLYN NY MICROWAVE RESEARCH INST
Personal Author(s) : Robinson, Prentiss N.
Report Date : JUN 1965
Pagination or Media Count : 48
Abstract : The problem under study is the stochastic time-optimal control problem. Basically the object is to determine a control input which causes the output of a stochastic system to reach some region R of the origin in such a way that the expected value of the time required to reach R is minimized. The system is assumed to satisfy a stochastic differential equation. This problem has already been considered by a few authors, however in most cases serious errors were made in their analysis and problem statement. In this study a careful problem statement is made, appropriate optimization equations derived, and an iterative method of solution technique (approximation in policy space) is applied to solve certain specific problems. (Author)
Descriptors : , (*STOCHASTIC PROCESSES, CONTROL SYSTEMS), (*CONTROL SYSTEMS, STOCHASTIC PROCESSES), DYNAMIC PROGRAMMING, OPTIMIZATION, STATISTICAL PROCESSES, ITERATIONS, TIME, PARTIAL DIFFERENTIAL EQUATIONS.
Distribution Statement : APPROVED FOR PUBLIC RELEASE