On “predicted miss” stochastic control problems
- 1 January 1979
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 2 (1-4) , 197-209
- https://doi.org/10.1080/17442507908833126
Abstract
For steering a linear stochastic system with bounded controls so as to be as close as possible to a given hyperplane at the terminal time, Benes proved that the controller that predicts which side of the hyperplane the state would be on with no further control, and then applies full “bang” in the appropriate direction, optimal, a result conjectured y Hilborn. In this paper a different proof of this result is presented, using martingale-based optimality criteria.Keywords
This publication has 2 references indexed in Scilit:
- The Optimal Control of a Stochastic SystemSIAM Journal on Control and Optimization, 1977
- Full “Bang” to Reduce Predicted Miss is OptimalSIAM Journal on Control and Optimization, 1976