Discrete-Time Nonlinear Stochastic Optimal Control Problem Based on Stochastic Approximation Approach

Sie Long Kek; Sy Yi Sim; Wah June Leong; Kok Lay Teo

doi:10.4236/apm.2018.83012

Discrete-Time Nonlinear Stochastic Optimal Control Problem Based on Stochastic Approximation Approach

Advances in Pure Mathematics ◽

10.4236/apm.2018.83012 ◽

2018 ◽

Vol 08 (03) ◽

pp. 232-244

Author(s):

Sie Long Kek ◽

Sy Yi Sim ◽

Wah June Leong ◽

Kok Lay Teo

Keyword(s):

Optimal Control ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Approximation ◽

Discrete Time ◽

Stochastic Optimal Control ◽

Approximation Approach ◽

Stochastic Optimal Control Problem

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Least Squares Solution for Discrete Time Nonlinear Stochastic Optimal Control Problem with Model-Reality Differences

Applied Mathematics ◽

10.4236/am.2017.81001 ◽

2017 ◽

Vol 08 (01) ◽

pp. 1-14 ◽

Cited By ~ 1

Author(s):

Sie Long Kek ◽

Jiao Li ◽

Kok Lay Teo

Keyword(s):

Optimal Control ◽

Optimal Control Problem ◽

Control Problem ◽

Least Squares ◽

Discrete Time ◽

Stochastic Optimal Control ◽

Least Squares Solution ◽

Stochastic Optimal Control Problem

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Smoothing Solution for Discrete-Time Nonlinear Stochastic Optimal Control Problem with Model-Reality Differences

Nonlinear Systems - Design, Analysis, Estimation and Control ◽

10.5772/64564 ◽

2016 ◽

Author(s):

Sie Long Kek ◽

Kok Lay Teo ◽

Mohd Ismail Abd Aziz

Keyword(s):

Optimal Control ◽

Optimal Control Problem ◽

Control Problem ◽

Discrete Time ◽

Stochastic Optimal Control ◽

Stochastic Optimal Control Problem

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Solution of the discrete-time stochastic optimal control problem in the 2-domain

International Journal of Systems Science ◽

10.1080/00207727908941666 ◽

1979 ◽

Vol 10 (12) ◽

pp. 1369-1390 ◽

Cited By ~ 21

Author(s):

M. J. GRIMBLE

Keyword(s):

Optimal Control ◽

Optimal Control Problem ◽

Control Problem ◽

Discrete Time ◽

Stochastic Optimal Control ◽

Stochastic Optimal Control Problem

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Filtering solution of nonlinear stochastic optimal control problem in discrete-time with model-reality differences

Numerical Algebra Control & Optimization ◽

10.3934/naco.2012.2.207 ◽

2012 ◽

Vol 2 (1) ◽

pp. 207-222 ◽

Cited By ~ 5

Author(s):

Sie Long Kek ◽

◽

Kok Lay Teo ◽

Mohd Ismail Abd Aziz ◽

◽

...

Keyword(s):

Optimal Control ◽

Optimal Control Problem ◽

Control Problem ◽

Discrete Time ◽

Stochastic Optimal Control ◽

Stochastic Optimal Control Problem

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Maximum principle for discrete-time stochastic optimal control problem and stochastic game

Mathematical Control & Related Fields ◽

10.3934/mcrf.2021031 ◽

2021 ◽

Vol 0 (0) ◽

pp. 0

Author(s):

Zhen Wu ◽

Feng Zhang

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problem ◽

Control Problem ◽

Discrete Time ◽

Stochastic Optimal Control ◽

Stochastic Game ◽

Stochastic Optimal Control Problem

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Proximal Point Algorithm for an Approximated Stochastic Optimal Control Problem

Monte Carlo Methods and Applications ◽

10.1515/mcma.2000.6.3.175 ◽

2000 ◽

Vol 6 (3) ◽

Cited By ~ 1

Author(s):

W. Grecksch ◽

F. Heyde ◽

Chr. Tammer

Keyword(s):

Optimal Control ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

Proximal Point Algorithm ◽

Proximal Point ◽

Stochastic Optimal Control Problem

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Efficient Output Solution for Nonlinear Stochastic Optimal Control Problem with Model-Reality Differences

Prime Archives in Applied Mathematics ◽

10.37247/paam.1.2019.1-10 ◽

2019 ◽

pp. 1-10

Author(s):

Sie Long Kek ◽

Kok Lay Teo ◽

Mohd Ismail Abdul Aziz

Keyword(s):

Optimal Control ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

Stochastic Optimal Control Problem

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Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lévy processes

Applied Mathematics-A Journal of Chinese Universities ◽

10.1007/s11766-014-3171-9 ◽

2014 ◽

Vol 29 (1) ◽

pp. 67-85 ◽

Cited By ~ 5

Author(s):

Na Li ◽

Zhen Wu

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

Lévy Processes ◽

Levy Processes ◽

Stochastic Optimal Control Problem

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A stochastic optimal control problem with feedback inputs

International Journal of Control ◽

10.1080/00207179.2020.1806360 ◽

2020 ◽

pp. 1-14

Author(s):

Ştefana-Lucia Aniţa

Keyword(s):

Optimal Control ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

Stochastic Optimal Control Problem

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Maximum principle for stochastic optimal control problem of forward-backward system with delay

Proceedings of the 48h IEEE Conference on Decision and Control (CDC) held jointly with 2009 28th Chinese Control Conference ◽

10.1109/cdc.2009.5400152 ◽

2009 ◽

Cited By ~ 4

Author(s):

Li Chen ◽

Zhen Wu

Keyword(s):

Optimal Control ◽

Maximum Principle ◽

Optimal Control Problem ◽

Control Problem ◽

Stochastic Optimal Control ◽

System With Delay ◽

Stochastic Optimal Control Problem

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