Myopic optimal strategies for a class of continuous-time deterministic and stochastic control problems

IF 2.1 3区计算机科学 Q3 AUTOMATION & CONTROL SYSTEMS

Systems & Control Letters Pub Date : 2025-02-01 DOI:10.1016/j.sysconle.2024.106016

José E. Márquez-Prado , Onésimo Hernández-Lerma , Héctor Jasso-Fuentes

引用次数: 0

Abstract

We give conditions for a class of continuous-time deterministic and stochastic optimal control problems to have myopic optimal strategies, that is, optimal controls obtained by solving optimization problems independent of the state trajectory. We show how these sufficient conditions are the same for the deterministic and stochastic cases, which means that the certainty equivalence principle is satisfied. Moreover, for the infinite-horizon time-homogeneous case, myopic optimal strategies are obtained by solving a single optimization problem; hence, optimal controls are constant functions.

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我们给出了一类连续时间确定性和随机最优控制问题具有近视最优策略的条件，即通过求解与状态轨迹无关的优化问题获得最优控制。我们展示了这些充分条件在确定性和随机性情况下是如何相同的，这意味着确定性等价原理得到了满足。此外，对于无限视距时间同构情况，近视最优策略是通过求解单一优化问题获得的；因此，最优控制是常数函数。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Systems & Control Letters 工程技术-运筹学与管理科学

CiteScore

4.60

自引率

3.80%

发文量

144

审稿时长

6 months

期刊介绍： Founded in 1981 by two of the pre-eminent control theorists, Roger Brockett and Jan Willems, Systems & Control Letters is one of the leading journals in the field of control theory. The aim of the journal is to allow dissemination of relatively concise but highly original contributions whose high initial quality enables a relatively rapid review process. All aspects of the fields of systems and control are covered, especially mathematically-oriented and theoretical papers that have a clear relevance to engineering, physical and biological sciences, and even economics. Application-oriented papers with sophisticated and rigorous mathematical elements are also welcome.