Filtering solution of nonlinear stochastic optimal control problem in discrete-time with model reality differences
In this paper, we propose an efficient algorithm for solving a nonlinear stochastic optimal control problem in discrete-time, where the true filtered solution of the original optimal control problem is obtained through solving a linear model-based optimal control problem with adjustable parameters i...
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| Main Authors: | , , |
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| Format: | Article |
| Published: |
The American Institute of Mathematical Sciences
2012
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| Subjects: | |
| Online Access: | http://eprints.utm.my/id/eprint/32689/ http://www.aimsciences.org/journals/displayArticlesnew.jsp?paperID=7189 |
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| Institution: | Universiti Teknologi Malaysia |