제어로봇시스템학회:학술대회논문집
- 1998.10a
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- Pages.440-444
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- 1998
Computational Solution of a H-J-B equation arising from Stochastic Optimal Control Problem
Abstract
In this paper, we consider numerical solution of a H-J-B (Hamilton-Jacobi-Bellman) equation of elliptic type arising from the stochastic control problem. For the numerical solution of the equation, we take an approach involving contraction mapping and finite difference approximation. We choose the It(equation omitted) type stochastic differential equation as the dynamic system concerned. The numerical method of solution is validated computationally by using the constructed test case. Map of optimal controls is obtained through the numerical solution process of the equation. We also show how the method applies by taking a simple example of nonlinear spacecraft control.
Keywords