Computational nonlinear stochastic control based on the Fokker-Planck-Kolmogorov equation
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The optimal control of nonlinear stochastic systems is considered in this paper. The central role played by the Fokker-Planck-Kolmogorov equation in the stochastic control problem is shown under the assumption of asymptotic stability. A computational approach for the problem is devised based on policy iteration/successive approximations, and a finite dimensional approximation of the control parametrized diffusion operator, i.e., the controlled Fokker-Planck operator. Several numerical examples are provided to show the efficacy of the proposed computational methodology. © 2008 by the American Institute of Aeronautics and Astronautics, Inc.
author list (cited authors)
Kumar, M., Chakravorty, S., & Junkins, J. L.