.png){kind=icon}
返回
An Iterative Method for Nonlinear Stochastic Optimal Control Based on Path Integrals
.png){kind=icon}
OA
AI
DOI：10.1109/TAC.2016.2547979.png)
.png){kind=icon}
.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
This paper proposes a new iterative solution method for nonlinear stochastic optimal control problems based on path integral analysis. First, we provide an iteration law for solving a stochastic Hamilton-Jacobi-Bellman (SHJB) equation associated to this problem, which is a nonlinear partial differential equation (PDE) of second order. Each iteration procedure of the proposed method is represented by a Cauchy problem for a linear parabolic PDE, and its explicit solution is given by the Feynman-Kac formula. Second, we derive a suboptimal feedback controller at each iteration by using the path integral analysis. Third, the convergence property of the proposed method is investigated. Here, some conditions are provided so that the sequence of solutions for the proposed iteration converges, and the SHJB equation is satisfied. Finally, numerical simulations demonstrate the effectiveness of the proposed method.
Keyword:
Nonlinear control
path integral
stochastic optimal control
stochastic systems
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
7
论文数:
1.3W
被引数:
6.7W
机构
引用论文
Trends in the Spatial Organization of Terminal Pleistocene Hunter-Gatherer Occupations as viewed from the Negev and Sinai.png)
Paléorient
PaléorientIF0
PREAI
分享收藏Analytical Approximation Methods for the Stabilizing Solution of the Hamilton-Jacobi EquationHamilton-jacobi方程稳定解的解析逼近方法
PREAI
分享收藏分享收藏
查看更多内容