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

被引:0
作者
Theodorou, Evangelos A. [1 ]
Todorov, Emo [1 ]
机构
[1] Univ Washington, Dept Comp Sci & Engn, Seattle, WA 98195 USA
来源
2013 AMERICAN CONTROL CONFERENCE (ACC) | 2013年
关键词
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中图分类号
TP [自动化技术、计算机技术];
学科分类号
0812 ;
摘要
We provide optimal control laws by using tools from stochastic calculus of variations and the mathematical concept of delta-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 delta-sensitivity of the logarithmic transformation of the value function for the case of nonlinear diffusion processes affine in control and noise.
引用
收藏
页码:4209 / 4214
页数:6
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