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On Some Special Classes of Stochastic Optimal Control Problems

In: Applied and Computational Optimal Control

Author

Listed:
  • Kok Lay Teo

    (Sunway University)

  • Bin Li

    (Sichuan University)

  • Changjun Yu

    (Shanghai University)

  • Volker Rehbock

    (Curtin University)

Abstract

In this chapter, we consider two classes of stochastic optimal control problems. More specifically, in Section 12.2 we consider a class of combined optimal parameter selection and optimal control problems in which the dynamical system is governed by linear Ito stochastic differential equation involving a Wiener process. Both the control and system parameter vectors may, however, appear nonlinearly in the system dynamics.

Suggested Citation

  • Kok Lay Teo & Bin Li & Changjun Yu & Volker Rehbock, 2021. "On Some Special Classes of Stochastic Optimal Control Problems," Springer Optimization and Its Applications, in: Applied and Computational Optimal Control, chapter 0, pages 471-499, Springer.
    • Handle: RePEc:spr:spochp:978-3-030-69913-0_12
    DOI: 10.1007/978-3-030-69913-0_12
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