{"title":"The LQG homing problem for a Wiener process with random infinitesimal parameters","authors":"M. Lefebvre, Abderrazak Moutassim","doi":"10.24425/acs.2019.130198","DOIUrl":null,"url":null,"abstract":"The problem of optimally controlling a Wiener process until it leaves an interval (a, b) for the first time is considered in the case when the infinitesimal parameters of the process are random. When a = −∞, the exact optimal control is derived by solving the appropriate system of differential equations, whereas a very precise approximate solution in the form of a polynomial is obtained in the two-barrier case.","PeriodicalId":48654,"journal":{"name":"Archives of Control Sciences","volume":"56 1","pages":""},"PeriodicalIF":1.1000,"publicationDate":"2023-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Archives of Control Sciences","FirstCategoryId":"94","ListUrlMain":"https://doi.org/10.24425/acs.2019.130198","RegionNum":4,"RegionCategory":"计算机科学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"AUTOMATION & CONTROL SYSTEMS","Score":null,"Total":0}
引用次数: 2
Abstract
The problem of optimally controlling a Wiener process until it leaves an interval (a, b) for the first time is considered in the case when the infinitesimal parameters of the process are random. When a = −∞, the exact optimal control is derived by solving the appropriate system of differential equations, whereas a very precise approximate solution in the form of a polynomial is obtained in the two-barrier case.
期刊介绍：
Archives of Control Sciences welcomes for consideration papers on topics of significance in broadly understood control science and related areas, including: basic control theory, optimal control, optimization methods, control of complex systems, mathematical modeling of dynamic and control systems, expert and decision support systems and diverse methods of knowledge modelling and representing uncertainty (by stochastic, set-valued, fuzzy or rough set methods, etc.), robotics and flexible manufacturing systems. Related areas that are covered include information technology, parallel and distributed computations, neural networks and mathematical biomedicine, mathematical economics, applied game theory, financial engineering, business informatics and other similar fields.
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