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Author Phelps, C. ♦ Royset, J.O. ♦ Qi Gong
Sponsorship IEEE Control Syst. Soc.
Source IEEE Xplore Digital Library
Content type Text
Publisher Institute of Electrical and Electronics Engineers, Inc. (IEEE)
File Format PDF
Copyright Year ©2013
Language English
Subject Domain (in DDC) Technology ♦ Engineering & allied operations ♦ Other branches of engineering
Subject Keyword Approximation methods ♦ Optimal control ♦ Aerospace electronics ♦ Standards ♦ Frequency modulation ♦ Convergence ♦ Extraterrestrial measurements
Abstract This paper focuses on an optimal control problem in which the objective is to minimize the expectation of a cost functional with stochastic parameters. The inclusion of the stochastic parameters in the objective raises new theoretical and computational challenges not present in a standard nonlinear optimal control problem. In this paper, we provide a numerical framework for the solution of this uncertain optimal control problem by taking a sample average approximation approach. An independent random sample is taken from the parameter space, and the expectation is approximated by the sample average. The result is a family of standard nonlinear optimal control problems which can be solved using existing techniques. We provide an optimality function for both the uncertain optimal control problem and its approximation, and show that the approximation based on the sample average approach is consistent in the sense of Polak. We illustrate the approach with a numerical example arising in optimal search for a moving target.
Description Author affiliation: Dept. of Oper. Res., Naval Postgrad. Sch., Monterey, CA, USA (Royset, J.O.) || Dept. of Appl. Math. & Stat., Univ. of California, Santa Cruz, Santa Cruz, CA, USA (Phelps, C.; Qi Gong)
ISBN 9781467357142
ISSN 07431546
Educational Role Student ♦ Teacher
Age Range above 22 year
Educational Use Research ♦ Reading
Education Level UG and PG
Learning Resource Type Article
Publisher Date 2013-12-10
Publisher Place Italy
Rights Holder Institute of Electrical and Electronics Engineers, Inc. (IEEE)
e-ISBN 9781467357173
Size (in Bytes) 392.22 kB
Page Count 8
Starting Page 1958
Ending Page 1965


Source: IEEE Xplore Digital Library