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: | Sie, Long Kek, Kok, Lay Teo, Abd. Aziz, Mohd. Ismail |
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Format: | Article |
Published: |
The American Institute of Mathematical Sciences
2012
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Online Access: | http://eprints.utm.my/id/eprint/32689/ http://www.aimsciences.org/journals/displayArticlesnew.jsp?paperID=7189 |
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