Abstract
Dynamic sampling utilizes the option of varying the sampling rates according to the situation of the systems, thus obtaining procedures with improved efficiencies. In this paper, the technique is applied to a typical problem in optimal control theory, that of tracking and controlling the position of an object. It is shown that the dynamic sampling results in a significantly improved procedure for this case, even when applying a suboptimal policy which can be analyzed in closed form.
Similar content being viewed by others
References
GIKHMAN, I. I., and SKOROHOD, A. V., Controlled Stochastic Processes, Springer Verlag, New York, New York, 1979.
KRYLOV, N. V., Controlled Diffusion Processes, Springer Verlag, New York, New York, 1980.
BENEŠ, V. E., and KARATZAS, I., Optimal Stationary Linear Control of the Wiener Process, Journal of Optimization Theory and Applications, Vol. 35, pp. 611–633, 1981.
BAR SHALOM, Y., and FORTMAN, T. E., Tracking and Data Association, Academic Press, London, England, 1988.
BENSOUSSAN, A., Stochastic Control by Functional Analysis Methods, North-Holland, Amsterdam, Netherlands, 1982.
MENALDI, J. L., Separation Principle for Impulse Control Problems, Proceedings of the American Mathematic Society, Vol. 82, pp. 439–445, 1981.
BENSOUSSAN, A., and TAPIERO, C. S., Impulsive Control in Management: Prospects and Applications, Journal of Optimization Theory and Applications, Vol. 37, pp. 419–442, 1982.
ROSS, S. M., Stochastic Processes, Wiley, New York, New York, 1983.
KARLIN, S., and TAYLOR, H. M., A First Course in Stochastic Processes, 2nd Edition, Academic Press, New York, New York, 1975.
KARLIN, S., and TAYLOR, H. M., A Second Course in Stochastic Processes$ Academic Press, New York, New York, 1981.
Author information
Authors and Affiliations
Rights and permissions
About this article
Cite this article
Assaf, D., Ritov, Y. Dynamic Sampling Applied to Problems in Optimal Control. Journal of Optimization Theory and Applications 95, 565–580 (1997). https://doi.org/10.1023/A:1022669821575
Issue Date:
DOI: https://doi.org/10.1023/A:1022669821575