About: Stochastic maximum principle

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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 optima 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. It was probably the reason that the maximum principle is not in favor this time. 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. The Pontrjagin maximum principle solves the problem of optimal control of a continuous deterministic system. The discrete maximum principle solves the problem of optima 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. It was probably the reason that the maximum principle is not in favor this time. 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. (en)
Title	Stochastic maximum principle Stochastic maximum principle (en)
skos:prefLabel	Stochastic maximum principle Stochastic maximum principle (en)
skos:notation	RIV/68407700:21230/11:00182340!RIV12-MSM-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	2012
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	232419
http://linked.open...ai/riv/idVysledku	RIV/68407700:21230/11:00182340
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Optimal control theory; Stochastic optimal control problems; Maximum principle; LQG control; ARX model; Lyapunov and Riccati equations (en)
http://linked.open.../riv/klicoveSlovo	LQG control Lyapunov and Riccati equations Maximum principle Optimal control theory Stochastic optimal control problems ARX model
http://linked.open...ontrolniKodProRIV	[589F33CDC22E]
http://linked.open...v/mistoKonaniAkce	Milano
http://linked.open...i/riv/mistoVydani	Bologna
http://linked.open...i/riv/nazevZdroje	Proceedings of the 18th IFAC World Congress, 2011
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	2011
http://linked.open...iv/tvurceVysledku	Rathouský, Jan Štecha, Jan
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2011-08-28 (xsd:date)
number of pages	7 (xsd:int)
http://purl.org/ne...btex#hasPublisher	IFAC
https://schema.org/isbn	978-3-902661-93-7
http://localhost/t...ganizacniJednotka	21230

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