Numerical algorithms for optimal controls for nonlinear stochastic systems with delays

IEEE Transactions on Automatic Control

Volumn 55, Issue 9, 2010, Pages 2170-2176

  Kushner, Harold J ^a  

^a BROWN UNIVERSITY   (United States)

Author keywords

Delay systems; Nonlinear stochastic systems; Numerical methods; Optimal control

Indexed keywords

DELAY SYSTEMS; MARKOV CHAIN; MEMORY REQUIREMENTS; NON-LINEAR STOCHASTIC SYSTEMS; NUMERICAL ALGORITHMS; OPTIMAL CONTROLS; REDUCED MEMORY;

CONTROL; CONVERGENCE OF NUMERICAL METHODS; MARKOV PROCESSES; NUMBER THEORY; OPTIMIZATION; STOCHASTIC CONTROL SYSTEMS; STOCHASTIC SYSTEMS; WAVE EQUATIONS;

APPROXIMATION ALGORITHMS;

EID: 77956553888     PISSN: 00189286     EISSN: None     Source Type: Journal    
DOI: 10.1109/TAC.2010.2051490     Document Type: Article

References (8)

1. H. Kushner and P. Dupuis, Numerical Methods for Stochastic Control Problems in Continuous Time. Berlin/New York: Springer-Verlag, 1992, 2nd ed. 2001.
2. H. Kushner, "Numerical approximations for stochastic systems with delays in the state and control," Stochastics and Stochastics Rep., vol. 78, pp. 343-376, 2006.
3. H. Kushner, Numerical Methods for Controlled Stochastic Delay Systems. Boston, MA: Birkhauser, 2008.
4. M. Krstic, "Compensation of infinite-dimesnional actuator and sensor dynamics: Nonlinear and adaptive systems," IEEE Control Syst. Mag. , vol. 30, pp. 22-41, Feb. 2010.
5. E. Altman and H. Kushner, "Heavy traffic analysis of AIMD models for congestion control," in Telecommunications Planning: Innovations in Pricing, Network Design and Management, S. Raghavan and G. Anan- dalingham, Eds. Amsterdam, The Netherlands: Kluwer, 2005.
6. C. Hollot, V. Misra, D. Towsley, and W.-B. Gong, "On designing improved controllers for AQM routers supporting TCP flows," in Proc. INFOCOM, New York, 2001, pp. 1726-1734.
7. R. Srikant, The Mathematics of Internet Congestion Control. Boston, MA: Birkhäuser, 2003.
8. H. J. Kushner, Numerical Algorithms for Optimal Controls for Nonlinear Stochastic Systems With Delays: Details Brown University, Providence, RI, 2010 [Online]. Available: www.dam.brown.edu/lcds, Applied Math Rep.