Finite-time state-constrained optimal control for input-affine systems with actuator noise

Paper in proceeding, 2011

Abstract: We show that a linearizing transformation of the Hamilton-Jacobi-Bellman (HJB) equation can be applied to certain finite-time problem such that the time dependence can be separated and also has a simple analytical solution. The remaining state dependence is the solution to a linear eigenvalue problem that may have an analytical solution or is readily solved numerically. The efficiency of the method is illustrated by an inventory control problem.