• 제목/요약/키워드: stochastic elliptic equation

검색결과 3건 처리시간 0.016초

확률 최적 제어문제에서 발생되는 Elliptic Type H-J-B 방정식의 수치해 (Numerical Solution of an Elliptic Type H-J-B Equation Arising from Stochastic Optimal Control Problem)

  • Wan Sik Choi
    • 제어로봇시스템학회논문지
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    • 제4권6호
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    • pp.703-706
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    • 1998
  • 본 논문에서는 확률 최적 제어문제에서 발생되는 Elliptic type H-J-B(Hamilton-Jacobi-Bellman) 방정식에 대한 수치해를 구하였다. 수치해를 구하기 위하여 Contraction 사상 및 유한차분법을 이용하였으며, 시스템은 It/sub ∧/ 형태의 Stochastic 방정식으로 취하였다. 수치해는 수학적인 테스트 케이스를 설정하여 검증하였으며, 최적제어 Map을 방정식의 해를 구하면서 동시에 구하였다.

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Computational Solution of a H-J-B equation arising from Stochastic Optimal Control Problem

  • Park, Wan-Sik
    • 제어로봇시스템학회:학술대회논문집
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    • 제어로봇시스템학회 1998년도 제13차 학술회의논문집
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    • pp.440-444
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    • 1998
  • 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.

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THE h × p FINITE ELEMENT METHOD FOR OPTIMAL CONTROL PROBLEMS CONSTRAINED BY STOCHASTIC ELLIPTIC PDES

  • LEE, HYUNG-CHUN;LEE, GWOON
    • Journal of the Korean Society for Industrial and Applied Mathematics
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    • 제19권4호
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    • pp.387-407
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    • 2015
  • This paper analyzes the $h{\times}p$ version of the finite element method for optimal control problems constrained by elliptic partial differential equations with random inputs. The main result is that the $h{\times}p$ error bound for the control problems subject to stochastic partial differential equations leads to an exponential rate of convergence with respect to p as for the corresponding direct problems. Numerical examples are used to confirm the theoretical results.