Stochastic Control and Nonlinear Estimation
Final technical rept. 1 Apr 1992-31 Mar 1994
BROWN UNIV PROVIDENCE RI DIV OF APPLIED MATHEMATICS
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W.H. Flemings work during this period concerned risk sensitive stochastic control, and related questions about differential games. This theory- provides a link between stochastic and deterministic robust control approaches to disturbance attenuation problems. H.J.Kushners work developed efficient, general stochastic approximation methods for improving the operation of continuous or discrete event dynamical systems over a long time period. Applications to communication problems include large controlled multiplexing systems, which are approximated by diffusion type processes. The method yields a very efficient way of approximation as well as good numerical methods.
- Statistics and Probability