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Accession Number:
AD0743127
Title:
Single and Multi-Person Controlled Diffusions
Corporate Author:
STANFORD UNIV CA DEPT OF OPERATIONS RESEARCH
Report Date:
1972-05-20
Abstract:
The paper is concerned with the optimal control of a one-dimensional stationary diffusion process on a compact interval. The drift and diffusion coefficients depend upon a stationary control assumed to be a piece-wise continuous function of the state. The costs generated by the process are functions of both the control and the sample path of the process. Mandls concept of a controlled diffusion process is generalized by allowing the controls to be vector-valued with the set of admissible control actions defined by a piecewise continuous set-valued function on the state space. Both single and multi-person problems are considered. The main results include necessary and sufficient conditions for a control to be optimal and conditions assuring the existence of a piecewise continuous optimal control. Applications are given to problems of controlling reservoirs, pollution, queues, investments, welfare, and warfare.
Descriptive Note:
Technical rept.
Pages:
0113
Contract Number:
N00014-67-A-0112-0050
Contract Number 2:
NSF-GK-18339
File Size:
3.39MB
