Optimal control of non-linear stochastic systems by approximation of the optimal cost functional

Campion, Guy
(1979) Proceedings of the 1978 IEEE Conference on Decision and Control Including the 17th Symposium on Adaptive Processes — Location: San Diego, CA, USA (10.January.1979)

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  • Campion, GuyUCLouvain
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Abstract
Among the deterministic policies for the optimal control of stochastic systems the best one is of closed-loop type, because it presents the `dual effect' of control. The theoretical closed-loop solution structure is deduced from Bellman's principle but is very difficult to implement in the non-linear case. This article presents a closed-loop solution by approximation of the minimum cost function by introduction of the Gaussian sum method.
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Campion, G. (1979). Optimal control of non-linear stochastic systems by approximation of the optimal cost functional. Proceedings of the 1978 IEEE Conference on Decision and ControlIncluding the 17th Symposium on Adaptive Processes, p. 828-827. https://hdl.handle.net/2078.5/228866