Stochastic maximum principle
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21230%2F11%3A00182340" target="_blank" >RIV/68407700:21230/11:00182340 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—
Alternative languages
Result language
angličtina
Original language name
Stochastic maximum principle
Original language 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.
Czech name
—
Czech description
—
Classification
Type
D - Article in proceedings
CEP classification
BC - Theory and management systems
OECD FORD branch
—
Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 18th IFAC World Congress, 2011
ISBN
978-3-902661-93-7
ISSN
—
e-ISSN
—
Number of pages
7
Pages from-to
4714-4720
Publisher name
IFAC
Place of publication
Bologna
Event location
Milano
Event date
Aug 28, 2011
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
—