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Finite chain approximation for a continuous stochastic control problem

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2 Author(s)
Borkar, V. ; University of California, Berkeley, CA, USA ; Varaiya, P.

A class of feedback policies called finitely switched (FS) policies is introduced. When a one-dimensional nonlinear stochastic system is controlled by FS policies there is a finite state Markov system which is equivalent to the original problem. The finite state problem can be solved by known Markov programming methods.

Published in:

Automatic Control, IEEE Transactions on  (Volume:26 ,  Issue: 2 )