Filtering solution of nonlinear stochastic optimal control problem in discrete-time with model reality differences

• Main Authors: Sie, Long Kek, Kok, Lay Teo, Abd. Aziz, Mohd. Ismail
• 格式: Article
• 出版: The American Institute of Mathematical Sciences 2012
• 主题: QA Mathematics
• 在线阅读: http://eprints.utm.my/id/eprint/32689/; http://www.aimsciences.org/journals/displayArticlesnew.jsp?paperID=7189

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...