State Constrained Optimal Control via the Fokker-Planck Equation
نویسندگان
چکیده
منابع مشابه
The Fokker-Planck equation
In 1984, H. Risken authored a book (H. Risken, The Fokker-Planck Equation: Methods of Solution, Applications, Springer-Verlag, Berlin, New York) discussing the Fokker-Planck equation for one variable, several variables, methods of solution and its applications, especially dealing with laser statistics. There has been a considerable progress on the topic as well as the topic has received greater...
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For a large class of stochastic processes, the evolution of the underlying probability density function is prescribed by a forward Kolmogorov equation, also called FokkerPlanck equation, a second-order parabolic partial differential equation. In this manner, an optimal control problem subject to an Itô stochastic differential equation can be rendered deterministic by recasting it as an optimal ...
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The Langevin equation approach to the evolution of the velocity distribution for the Brownian particle might leave you uncomfortable. A more formal treatment of this type of problem is given by the Fokker-Planck equation. We can either formulate the question in terms of the evolution of a nonstationary probability distribution from a defined initial condition, or in terms of the evolution of th...
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ژورنال
عنوان ژورنال: IFAC-PapersOnLine
سال: 2017
ISSN: 2405-8963
DOI: 10.1016/j.ifacol.2017.08.893