A numerical technique for small-noise stochastic control problems |
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Authors: | C J Holland |
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Institution: | 1. Department of Mathematics, Purdue University, Lafayette, Indiana
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Abstract: | A numerical technique is described for solving approximately certain small-noise stochastic control problems. The method uses quantities computable from the optimal solution to the corresponding deterministic control problem. Numerical results are given for a two-dimensional linear regular problem with saturation and a time-optimal problem. |
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