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A Monte Carlo method for stochastic time-optimal control

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2 Author(s)
Robinson, P. ; The Johns Hopkins University, Silver Spring, MD, USA ; Yurtseven, H.

An analog computer is used to apply a Monte Carlo method of solution to the parabolic partial differential equations that arise in stochastic time-optimal control theory. Using this method, an iterative technique called approximation-in-policy-space is applied to find the optimum switching curve. An example of a second-order inertial plant is considered, and the results are found to agree with those found by a perturbation given by Dorato et al. [1].

Published in:

Automatic Control, IEEE Transactions on  (Volume:14 ,  Issue: 5 )