全球智库信息集成服务系统(G2TT): Small Noise Analysis for Piecewise Linear Stochastic Control Problems.

G2TT

来源类型	Monograph (IIASA Working Paper)
规范类型	论文
	Small Noise Analysis for Piecewise Linear Stochastic Control Problems.
	Di Masi GB; Runggaldier WJ
发表日期	1987
出版者	IIASA, Laxenburg, Austria: WP-87-124
出版年	1987
语种	英语
摘要	A discrete-time stochastic control problem is considered for a dynamical model with piecewise linear coefficients and not necessarily Gaussian disturbances. The cost criteria and the class of admissible controls include piecewise polynomial costs and piecewise linear controls respectively. It is shown that relevant asymptotic (for vanishing noise) properties of this problem coincide with the corresponding properties of a suitably chosen adaptive control problem with linear dynamics. In particular, it turns out that the optimal values of the two problems tend to coincide and that almost optimal controls for one problem are almost optimal also for the other.
主题	Adaption and Optimization (ADO)
URL	http://pure.iiasa.ac.at/id/eprint/2928/
来源智库	International Institute for Applied Systems Analysis (Austria)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/123383
推荐引用方式 GB/T 7714	Di Masi GB,Runggaldier WJ. Small Noise Analysis for Piecewise Linear Stochastic Control Problems.. 1987.