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.

Stochastic optimal control

Hamilton-Jacobi-Bellman equation

Dynamic programming


Per Rutquist

Tomlab Optimization AB

Claes Breitholtz

Chalmers, Signals and Systems, Systems and control

Torsten Wik

Chalmers, Signals and Systems, Systems and control

IFAC Proceedings Volumes (IFAC-PapersOnline)

14746670 (ISSN)

Vol. 18 PART 1 5915-5919
978-390266193-7 (ISBN)

Areas of Advance

Information and Communication Technology

Subject Categories

Other Engineering and Technologies not elsewhere specified





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