The δ - sensitivity and its application to stochastic optimal control of nonlinear diffusions | IEEE Conference Publication | IEEE Xplore

The δ - sensitivity and its application to stochastic optimal control of nonlinear diffusions


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 More

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.
Date of Conference: 17-19 June 2013
Date Added to IEEE Xplore: 15 August 2013
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Conference Location: Washington, DC, USA

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