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An Approximation technique for small noise open‐loop control problems
Author(s) -
Holland Charles J.
Publication year - 1981
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.4660020109
Subject(s) - white noise , noise (video) , control theory (sociology) , mathematics , optimal control , open loop controller , loop (graph theory) , stochastic control , mathematical optimization , computer science , control (management) , closed loop , engineering , statistics , artificial intelligence , combinatorics , control engineering , image (mathematics)
For a class of non‐linear open‐loop stochastic control problems with small additive white noise, an approximation technique to compute an optimal control of fixed structure related to the noise intensity is presented. The method developed here leads to a generalized deterministic linear regulator problem. It has the advantage that approximate optimal controls are obtained simultaneously for all sufficiently small noise levels. A numerical example is presented to illustrate the method.