NDLI: A stochastic control problem with different value functions for singular and absolutely continuous control

Content Provider	IEEE Xplore Digital Library
Author	Heinricher, A.C. Mizel, V.J.
Copyright Year	1986
Description	Author affiliation: Carnegie-Mellon University, Pittsburgh, PA (Mizel, V.J.) \|\| University of Kentucky, Lexington, KY (Heinricher, A.C.)
Abstract	A stochastic control problem is obtained as a "small noise" approximation to a deterministic optimal control problem. Two classes of admissible controls are considered and the optimal control policies are explicitly determined for each admissible class. The larger admissible class contains controls referred to as singular stochastic controls. For this class, the cumulative effect of control has bounded variation trajectories. The smaller admissible class contains the standard stochastic controls whose cumulative effect has absolutely continuous trajectories. These controls are referred to as absolutely continuous controls. The optimal singular control provides a cost strictly smaller than the minimum cost achievable when only absolutely continuous stochastic controls are admissible. In particular, this shows that it is not always possible to approach the optimal cost for singular control if only the standard stochastic control policies are admissible.
Starting Page	134
Ending Page	139
File Size	534357
Page Count	6
File Format	PDF
DOI	10.1109/CDC.1986.267171
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	1986-12-10
Publisher Place	Greece
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Stochastic processes Optimal control Cost function Stochastic resonance Mathematics Stochastic systems Reflection State-space methods Force control Equations
Content Type	Text
Resource Type	Article

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Mr. Siddhartha Mukherjee siddhartha@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	ndl-support@iitkgp.ac.in
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9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

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