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Determination of a controllable set for a class of non‐linear stochastic control systems
Author(s) -
Liu Yazeng,
Peng Shige
Publication year - 2003
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.723
Subject(s) - set (abstract data type) , bellman equation , class (philosophy) , mathematics , function (biology) , stochastic control , viscosity solution , hamilton–jacobi–bellman equation , optimal control , control theory (sociology) , value (mathematics) , linear control systems , control (management) , mathematical optimization , linear system , computer science , mathematical analysis , artificial intelligence , statistics , evolutionary biology , biology , programming language
A controllable set of a class of non‐linear stochastic control systems to a given set is defined. A value function associated with an optimal control problem is introduced. Under some reasonable conditions, the controllable set is characterized by a level set of the viscosity solution of a Hamilton–Jacobi–Bellman equation. Copyright © 2003 John Wiley & Sons, Ltd.