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A numerical technique for small-noise stochastic control problems

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Abstract

A numerical technique is described for solving approximately certain small-noise stochastic control problems. The method uses quantities computable from the optimal solution to the corresponding deterministic control problem. Numerical results are given for a two-dimensional linear regular problem with saturation and a time-optimal problem.

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References

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Author notes

  1. C. J. Holland (Assistant Professor)

    Present address: Division of Applied Mathematics, Brown University, Providence, Rhode Island

Authors and Affiliations

  1. Department of Mathematics, Purdue University, Lafayette, Indiana

    C. J. Holland (Assistant Professor)

Authors
  1. C. J. Holland
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Additional information

Communicated by W. H. Fleming

This research was supported in part by the National Science Foundation under Grant No. CP-20868.

The author was supported by a NSF Fellowship from 1969–1971.

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Holland, C.J. A numerical technique for small-noise stochastic control problems. J Optim Theory Appl 13, 74–93 (1974). https://doi.org/10.1007/BF00935610

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  • DOI: https://doi.org/10.1007/BF00935610

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