Abstract:
We provide optimal control laws by using tools from stochastic calculus of variations and the mathematical concept of δ-sensitivity. The analysis relies on logarithmic tr...Show MoreMetadata
Abstract:
We provide optimal control laws by using tools from stochastic calculus of variations and the mathematical concept of δ-sensitivity. The analysis relies on logarithmic transformations of the value functions and the use of linearly solvable Partial Differential Equations(PDEs). We derive the corresponding optimal control as a function of the δ-sensitivity of the logarithmic transformation of the value function for the case of nonlinear diffusion processes affine in control and noise.
Published in: 2013 American Control Conference
Date of Conference: 17-19 June 2013
Date Added to IEEE Xplore: 15 August 2013
ISBN Information: