On the infinite time solution to state-constrained stochastic optimal control problems

被引：10
|
作者：
Rutquist, Per [1 ]
Breitholtz, Claes [2 ]
Wik, Torsten [2 ]
机构：
[1] Tomlab Optimizat AB, Vasteras, Sweden
[2] Chalmers, S-41296 Gothenburg, Sweden
来源：
AUTOMATICA | 2008年 / 44卷 / 07期
关键词：
stochastic optimal control; dynamic programming; Hamilton-Jacobi-Bellman equation;
D O I：
10.1016/j.automatica.2007.10.018
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
A method is presented for solving the infinite time Hamilton-Jacobi-Bellman (HJB) equation for certain state-constrained stochastic problems. The HJB equation is reformulated as an eigenvalue problem, such that the principal eigenvalue corresponds to the expected cost per unit time, and the corresponding eigenfunction gives the value function (up to an additive constant) for the optimal control policy. The eigenvalue problem is linear and hence there are fast numerical methods available for finding the solution. (c) 2008 Elsevier Ltd. All rights reserved.
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页码：1800 / 1805
页数：6
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