Pseudo-spectral optimal control of stochastic processes using Fokker Planck equation
Motivated by the successful implementation of Pseudo-spectral (PS) methods in optimal control problems (OCP), a new technique is introduced to control the probability density function (PDF) of the state of the 1-D system described by a stochastic differential equation (SDE). In this paper, the Fokke...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2019-01-01
|
| Series: | Cogent Engineering |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/23311916.2019.1691804 |