I - Stochastic Control Theory
نویسنده
چکیده
(1.1) x(i+ 1) = g(x(i),u(i), i) , with initial condition x(i1) = x at time i1. Here g(x(i),u(i), i) is a random variable with known probability distribution determined by the values of (x(i),u(i), i). Thus we have a set of random variables g(x,u, i) for all possible values of the variables x ∈ R, u ∈ R, i ∈ Z. The process determined by (1.1) is clearly Markovian. For the cost function we take the expected value of the classical cost function,
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