Abstract
A new approach for finding an exact analytical solution to the modified HamiltonJacobiBellman equation is proposed. Together with the recently developed hybrid solution method, the proposed strategy allows to find a solution to a whole class of stochastic optimal control problems with bounded in magnitude control force.
Original language | English |
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Pages (from-to) | 1439-1442 |
Number of pages | 4 |
Journal | Automatica |
Volume | 45 |
Issue number | 6 |
DOIs | |
Publication status | Published - Jun 2009 |
Keywords
- Stochastic optimal control
- LQ problem
- Hamilton-Jacobi-Bellman equation
- Bounded control