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zbMATH Open
Article . 2016
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SIAM Journal on Control and Optimization
Article . 2016 . Peer-reviewed
Data sources: Crossref
DBLP
Article . 2020
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Optimal Control of Uncertain Systems Using Sample Average Approximations

Optimal control of uncertain systems using sample average approximations
Authors: Phelps, Chris; Royset, Johannes O.; Gong, Qi;

Optimal Control of Uncertain Systems Using Sample Average Approximations

Abstract

The authors consider the practical determination of an optimal control random system in which both the dynamics and the cost function involve a random parameter defined by its probability space. This is basically an applied paper and the purpose is to develop a computational framework as well as necessary conditions for validation and verification of the solutions. The key of the approch is that in order to achieve these objectives, one follows a statistical technique based on a sample average scheme: the cost function is replaced by the mean value of a sample. The authors introduce the uncertainty control problem, define the averaging approximate optimal control problem, derive optimality conditions for the approximate problem, and then they check the consistency of the approximation. They conclude the paper with some numerical examples.

Keywords

optimal control, Other numerical methods in calculus of variations, numerical methods, parameter uncertainty, Optimality conditions for problems involving randomness, random system

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
46
Top 10%
Top 10%
Top 10%
Green