Computation of optimal controls for a nonlinear stochastic third-order system |
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| Authors: | M Friedman Y Yavin |
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| Institution: | (1) Nuclear Research Center, Beer-Sheva, Israel;(2) Department of Electrical Engineering, Ben Gurion University of the Negev, Beer-Sheva, Israel |
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| Abstract: | This paper deals with the computation of optimal feedback control laws for a nonlinear stochastic third-order system in which the nonlinear element is not completely specified. It is shown that, due to the structure of the system, the optimal feedback control law, whenever it exists, is not unique. Also, it is shown that, in order to implement an optimal feedback control law, a nonlinear partial differential equation has to be solved. A finite-difference algorithm for the solution of this equation is suggested, and its efficiency and applicability are demonstrated with examples. |
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| Keywords: | Optimal stochastic control optimal feedback control numerical methods |
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