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Statements

Subject Item
n2:RIV%2F68407700%3A21230%2F11%3A00182340%21RIV12-MSM-21230___
rdf:type
skos:Concept n14:Vysledek
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 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.
dcterms:title
Stochastic maximum principle Stochastic maximum principle
skos:prefLabel
Stochastic maximum principle Stochastic maximum principle
skos:notation
RIV/68407700:21230/11:00182340!RIV12-MSM-21230___
n14:predkladatel
n15:orjk%3A21230
n3:aktivita
n13:S n13:P
n3:aktivity
P(GA102/08/0442), P(LA09012), S
n3:dodaniDat
n12:2012
n3:domaciTvurceVysledku
n20:3021580 n20:5771692
n3:druhVysledku
n19:D
n3:duvernostUdaju
n9:S
n3:entitaPredkladatele
n5:predkladatel
n3:idSjednocenehoVysledku
232419
n3:idVysledku
RIV/68407700:21230/11:00182340
n3:jazykVysledku
n17:eng
n3:klicovaSlova
Optimal control theory; Stochastic optimal control problems; Maximum principle; LQG control; ARX model; Lyapunov and Riccati equations
n3:klicoveSlovo
n4:Optimal%20control%20theory n4:ARX%20model n4:Lyapunov%20and%20Riccati%20equations n4:Stochastic%20optimal%20control%20problems n4:LQG%20control n4:Maximum%20principle
n3:kontrolniKodProRIV
[589F33CDC22E]
n3:mistoKonaniAkce
Milano
n3:mistoVydani
Bologna
n3:nazevZdroje
Proceedings of the 18th IFAC World Congress, 2011
n3:obor
n11:BC
n3:pocetDomacichTvurcuVysledku
2
n3:pocetTvurcuVysledku
2
n3:projekt
n7:LA09012 n7:GA102%2F08%2F0442
n3:rokUplatneniVysledku
n12:2011
n3:tvurceVysledku
Štecha, Jan Rathouský, Jan
n3:typAkce
n21:WRD
n3:zahajeniAkce
2011-08-28+02:00
s:numberOfPages
7
n16:hasPublisher
IFAC
n22:isbn
978-3-902661-93-7
n8:organizacniJednotka
21230