Filtering solution of nonlinear stochastic optimal control problem in discrete-time with model reality differences
In this paper, we propose an efficient algorithm for solving a nonlinear stochastic optimal control problem in discrete-time, where the true filtered solution of the original optimal control problem is obtained through solving a linear model-based optimal control problem with adjustable parameters i...
Main Authors: | , , |
---|---|
Format: | Article |
Published: |
The American Institute of Mathematical Sciences
2012
|
Subjects: |