Premium
Exact and approximate solutions to LQG homing problems in one and two dimensions
Author(s) -
Lefebvre Mario,
Zitouni Foued
Publication year - 2014
Publication title -
optimal control applications and methods
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.458
H-Index - 44
eISSN - 1099-1514
pISSN - 0143-2087
DOI - 10.1002/oca.2157
Subject(s) - linear quadratic gaussian control , optimal control , symmetry (geometry) , exact solutions in general relativity , mathematics , set (abstract data type) , stochastic control , mathematical optimization , computer science , mathematical analysis , geometry , programming language
Summary Stochastic optimal control problems in which two‐dimensional diffusion processes are controlled until they enter a given set are solved explicitly. When symmetry can be used, exact solutions are obtained. The same arguments are valid for one‐dimensional processes. In the general case, it is shown how to obtain good approximate solutions. Various examples are presented.