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：

D O I：

暂无

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

页码：4209 / 4214

页数：6

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