Continuous-Time Stochastic Policy Iteration of Adaptive Dynamic Programming | IEEE Journals & Magazine | IEEE Xplore

Continuous-Time Stochastic Policy Iteration of Adaptive Dynamic Programming


Abstract:

In this article, we study the optimal control problem of continuous-time (CT) time-invariant nonlinear systems with stochastic nonlinear disturbances. A new stochastic ad...Show More

Abstract:

In this article, we study the optimal control problem of continuous-time (CT) time-invariant nonlinear systems with stochastic nonlinear disturbances. A new stochastic adaptive dynamic programming (ADP) method is developed to solve the Hamilton–Jacobi–Bellman equation (HJBE). Under the conditional expectation, the value function and the control law are successively approximated simultaneously. The asymptotic stability of the closed-loop stochastic system in probability is analyzed by the stochastic Lyapunov direct method, and the convergence of the developed ADP method is given. Finally, four simulations illustrate the effectiveness of the developed method.
Page(s): 6375 - 6387
Date of Publication: 30 June 2023

ISSN Information:

Funding Agency:


References

References is not available for this document.