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Optimal control of non-linear stochastic systems by approximation of the optimal cost functional

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1 Author(s)
Campion, G. ; Universit?? de Louvain, Louvain-la-Neuve, Belgium

Among the deterministic policies for the optimal control of stochastic systems the best one is of closed-loop type, because it presents the "dual effect" of control. The theoretical closed-loop solution structure is deduced from Bellman's principle but is very difficult to implement in the non-linear case. This communication presents a closed-loop solution by approximation of the minimum cost function by introduction of the gaussian sum method.

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Decision and Control including the 17th Symposium on Adaptive Processes, 1978 IEEE Conference on

Date of Conference:

10-12 Jan. 1979

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