An Explicit Solution to a Discrete-time Stochastic Optimal Control Problem

Q3 Mathematics

WSEAS Transactions on Systems and Control Pub Date : 2023-04-26 DOI:10.37394/23202.2023.22.40

M. Lefebvre

引用次数: 2

Abstract

The problem of controlling a one-dimensional Markov chain until is leaves a given set C is considered. The optimizer tries to minimize the time spent by the Markov chain inside C. The control variable can take two different values. An exact formula is obtained for the value function, from which the optimal control is deduced.

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离散时间随机最优控制问题的显式解

研究了控制一维马尔可夫链直到它离开给定集合C的问题。优化器试图最小化c中的马尔可夫链所花费的时间。控制变量可以取两个不同的值。得到了值函数的精确表达式，并由此导出了最优控制。

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

WSEAS Transactions on Systems and Control Mathematics-Control and Optimization

CiteScore

1.80

自引率

0.00%

发文量

期刊介绍： WSEAS Transactions on Systems and Control publishes original research papers relating to systems theory and automatic control. We aim to bring important work to a wide international audience and therefore only publish papers of exceptional scientific value that advance our understanding of these particular areas. The research presented must transcend the limits of case studies, while both experimental and theoretical studies are accepted. It is a multi-disciplinary journal and therefore its content mirrors the diverse interests and approaches of scholars involved with systems theory, dynamical systems, linear and non-linear control, intelligent control, robotics and related areas. We also welcome scholarly contributions from officials with government agencies, international agencies, and non-governmental organizations.