The LQG homing problem for a Wiener process with random infinitesimal parameters

被引：2
|
作者：
Lefebvre, Mario [1 ]
Moutassim, Abderrazak [1 ]
机构：
[1] Polytech Montreal, Dept Math & Ind Engn, CP 6079,Succursale Ctr Ville, Montreal, PQ H3C 3A7, Canada
来源：
ARCHIVES OF CONTROL SCIENCES | 2019年 / 29卷 / 03期
基金：
加拿大自然科学与工程研究理事会;
关键词：
stochastic optimal control; first-passage time; dynamic programming; Brownian motion;
D O I：
10.24425/acs.2019.130198
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
The problem of optimally controlling a Wiener process until it leaves an interval (a, b) for the first time is considered in the case when the infinitesimal parameters of the process are random. When a = -infinity, the exact optimal control is derived by solving the appropriate system of differential equations, whereas a very precise approximate solution in the form of a polynomial is obtained in the two-barrier case.
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页码：413 / 422
页数：10
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