Algorithms to Solve Stochastic Control with State-Dependent Noise

Ming Gao, Changdi Fu and Weihai Zhang

Mathematical Problems in Engineering, 2014, vol. 2014, 1-9

Abstract:

This paper is concerned with the algorithms which solve control problems of stochastic systems with state-dependent noise. Firstly, the algorithms for the finite and infinite horizon control of discrete-time stochastic systems are reviewed and studied. Secondly, two algorithms are proposed for the finite and infinite horizon control of continuous-time stochastic systems, respectively. Finally, several numerical examples are presented to show the effectiveness of the algorithms.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:205967

DOI: 10.1155/2014/205967

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