Stochastic Control Theory

Jan H. van Schuppen

doi:10.1007/978-3-030-66952-2_16

Stochastic Control Theory

Jan H. van Schuppen^*

^*Corresponding author for this work

Mathematical Physics

Research output: Chapter in Book/Conference proceedings/Edited volume › Chapter › Scientific

Abstract

Stochastic control issues of a general character are presented. Problems of control theory are mentioned which require research interest the coming years. A general method for sufficient and necessary conditions for the existence of an optimal control law is discussed. The framework covers arbitrary cost functions, including additive and multiplicative functions. In addition, the approach of a measure transformation is formulated and illustrated for stochastic control of a partially observed stochastic control system.

Original language	English
Title of host publication	Control and System Theory of Discrete-Time Stochastic Systems
Editors	J.H. van Schuppen
Publisher	Springer
Chapter	16
Pages	617-624
Number of pages	8
ISBN (Electronic)	978-0-030-66952-2
DOIs	https://doi.org/10.1007/978-3-030-66952-2_16
Publication status	Published - 2021

Publication series

Name	Communications and Control Engineering
ISSN (Print)	0178-5354
ISSN (Electronic)	2197-7119

Keywords

Measure transformation approach
Optimality conditions
Problems

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10.1007/978-3-030-66952-2_16

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title = "Stochastic Control Theory",

abstract = "Stochastic control issues of a general character are presented. Problems of control theory are mentioned which require research interest the coming years. A general method for sufficient and necessary conditions for the existence of an optimal control law is discussed. The framework covers arbitrary cost functions, including additive and multiplicative functions. In addition, the approach of a measure transformation is formulated and illustrated for stochastic control of a partially observed stochastic control system.",

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AB - Stochastic control issues of a general character are presented. Problems of control theory are mentioned which require research interest the coming years. A general method for sufficient and necessary conditions for the existence of an optimal control law is discussed. The framework covers arbitrary cost functions, including additive and multiplicative functions. In addition, the approach of a measure transformation is formulated and illustrated for stochastic control of a partially observed stochastic control system.

KW - Measure transformation approach

KW - Optimality conditions

KW - Problems

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Stochastic Control Theory

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