About: Simulation of Optimal Stochastic Control Strategies by Maximum Principle

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	The Pontrjagin maximum principle solves the problem of optimal control of a continuous deterministic system. The discrete maximum principle solves the problem of optimal control of a discrete-time deterministic system. The maximum principle changes the problem of optimal control to a two point boundary value problem which can be completely solved only in special tasks. Optimal control of stochastic systems or even systems with probabilistic parameters is usually derived using stochastic dynamic programming. In the paper an alternative approach based on a stochastic modification of the maximum principle is presented, both for continuous and discrete-time systems. Cautious and certainty equivalent optimal control strategies are then derived using this method and the results are consistent with those achieved by stochastic dynamic programming. Finally, simulations of these optimal control strategies are presented and compared in terms of control quality. The Pontrjagin maximum principle solves the problem of optimal control of a continuous deterministic system. The discrete maximum principle solves the problem of optimal control of a discrete-time deterministic system. The maximum principle changes the problem of optimal control to a two point boundary value problem which can be completely solved only in special tasks. Optimal control of stochastic systems or even systems with probabilistic parameters is usually derived using stochastic dynamic programming. In the paper an alternative approach based on a stochastic modification of the maximum principle is presented, both for continuous and discrete-time systems. Cautious and certainty equivalent optimal control strategies are then derived using this method and the results are consistent with those achieved by stochastic dynamic programming. Finally, simulations of these optimal control strategies are presented and compared in terms of control quality. (en)
Title	Simulation of Optimal Stochastic Control Strategies by Maximum Principle Simulation of Optimal Stochastic Control Strategies by Maximum Principle (en)
skos:prefLabel	Simulation of Optimal Stochastic Control Strategies by Maximum Principle Simulation of Optimal Stochastic Control Strategies by Maximum Principle (en)
skos:notation	RIV/68407700:21230/10:00172801!RIV11-GA0-21230___
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(GA102/08/0442), P(LA09012), S
http://linked.open...vai/riv/dodaniDat	2011
http://linked.open...aciTvurceVysledku	Rathouský, Jan Štecha, Jan
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	České vysoké učení technické v Praze / Fakulta elektrotechnická
http://linked.open...dnocenehoVysledku	287467
http://linked.open...ai/riv/idVysledku	RIV/68407700:21230/10:00172801
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Maximum principle; stochastic systems; LQG control; ARX model; Lyapunov and Riccati equations (en)
http://linked.open.../riv/klicoveSlovo	stochastic systems LQG control Lyapunov and Riccati equations Maximum principle ARX model
http://linked.open...ontrolniKodProRIV	[71BB9429A575]
http://linked.open...v/mistoKonaniAkce	Gaborone
http://linked.open...i/riv/mistoVydani	Anaheim
http://linked.open...i/riv/nazevZdroje	Proceedings of the Third IASTED African Conference on Modelling and Simulation
http://linked.open...in/vavai/riv/obor	BC
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Work in IFAC Technical Committee on Optimal Control Feasible approximations of dual control strategies
http://linked.open...UplatneniVysledku	2010
http://linked.open...iv/tvurceVysledku	Rathouský, Jan Štecha, Jan
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2010-09-06 (xsd:date)
issn	1922-8058
number of pages	8 (xsd:int)
http://purl.org/ne...btex#hasPublisher	ACTA Press
https://schema.org/isbn	978-0-88986-848-9
http://localhost/t...ganizacniJednotka	21230

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