Numerical method of design of stochastic optimal control systems (Q1103582)

Optimal controls are designed for dynamic systems with disturbances in the form of white Gaussian noise under constraints on the value of the allowed controls. A method of design of optimal systems is presented that is based on a numerical solution of Bellman's equation. A procedure is considered for assigning the boundary conditions for the loss function. A finite-difference scheme for the solution of the design problem and the corresponding results are presented for a specific system of optimal damping of random oscillations.