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Statements

Subject Item
n2:RIV%2F68407700%3A21230%2F10%3A00172801%21RIV11-GA0-21230___
rdf:type
n10:Vysledek skos:Concept
dcterms: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.
dcterms:title
Simulation of Optimal Stochastic Control Strategies by Maximum Principle Simulation of Optimal Stochastic Control Strategies by Maximum Principle
skos:prefLabel
Simulation of Optimal Stochastic Control Strategies by Maximum Principle Simulation of Optimal Stochastic Control Strategies by Maximum Principle
skos:notation
RIV/68407700:21230/10:00172801!RIV11-GA0-21230___
n3:aktivita
n17:S n17:P
n3:aktivity
P(GA102/08/0442), P(LA09012), S
n3:dodaniDat
n6:2011
n3:domaciTvurceVysledku
n4:5771692 n4:3021580
n3:druhVysledku
n9:D
n3:duvernostUdaju
n19:S
n3:entitaPredkladatele
n15:predkladatel
n3:idSjednocenehoVysledku
287467
n3:idVysledku
RIV/68407700:21230/10:00172801
n3:jazykVysledku
n8:eng
n3:klicovaSlova
Maximum principle; stochastic systems; LQG control; ARX model; Lyapunov and Riccati equations
n3:klicoveSlovo
n7:Maximum%20principle n7:ARX%20model n7:LQG%20control n7:Lyapunov%20and%20Riccati%20equations n7:stochastic%20systems
n3:kontrolniKodProRIV
[71BB9429A575]
n3:mistoKonaniAkce
Gaborone
n3:mistoVydani
Anaheim
n3:nazevZdroje
Proceedings of the Third IASTED African Conference on Modelling and Simulation
n3:obor
n16:BC
n3:pocetDomacichTvurcuVysledku
2
n3:pocetTvurcuVysledku
2
n3:projekt
n11:LA09012 n11:GA102%2F08%2F0442
n3:rokUplatneniVysledku
n6:2010
n3:tvurceVysledku
Rathouský, Jan Štecha, Jan
n3:typAkce
n5:WRD
n3:zahajeniAkce
2010-09-06+02:00
s:issn
1922-8058
s:numberOfPages
8
n12:hasPublisher
ACTA Press
n20:isbn
978-0-88986-848-9
n21:organizacniJednotka
21230