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

Författare

Per Rutquist

Tomlab Optimization AB

Claes Breitholtz

Chalmers, Signaler och system, System- och reglerteknik, Reglerteknik

Torsten Wik

Chalmers, Signaler och system, System- och reglerteknik, Reglerteknik

IFAC Proceedings Volumes (IFAC-PapersOnline)

14746670 (ISSN)

Vol. 18 PART 1 5915-5919

Styrkeområden

Informations- och kommunikationsteknik

Ämneskategorier

Övrig annan teknik

DOI

10.3182/20110828-6-IT-1002.02924

ISBN

978-390266193-7