On the infinite time solution to state-constrained stochastic optimal control problems |
| |
Authors: | Per Rutquist [Author Vitae] Claes Breitholtz [Author Vitae] [Author Vitae] |
| |
Affiliation: | a Tomlab Optimization AB, Västerås, Sweden b Chalmers University of Technology, Göteborg, Sweden |
| |
Abstract: | 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. |
| |
Keywords: | Stochastic optimal control Dynamic programming Hamilton-Jacobi-Bellman equation |
本文献已被 ScienceDirect 等数据库收录! |