Filtering solution of nonlinear stochastic optimal control problem in discrete-time with model-reality differences

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Filtering solution of nonlinear stochastic optimal control problem in discrete-time with model-reality differences

In this paper, we propose an efficient algorithm for solving a non-linear stochastic optimal control problem in discrete-time, where the true filtered solution of the original optimal control problem is obtained through solving a linear model-based optimal control problem with adjustable parameters...

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Bibliographic Details
Main Authors:	Kek, S., Teo, Kok Lay, Mohd Ismail, A.
Format:	Journal Article
Published:	2012
Online Access:	http://hdl.handle.net/20.500.11937/21845

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