Optimal Control of Dynamic Systems with Random Parameters

Alexis Lazaridis

Chapter 10 in Dynamic Systems in Management Science, 2015, pp 336-366 from Palgrave Macmillan

Abstract: Abstract We presented in the previous chapter the solution to an optimal control problem when the parameters of the matrices of system transition equation are considered constant. The solution is obtained by solving the Riccati-type Equations (9.67)–s(9.67g) presented in Chapter 9 backwards in time. However, if the system parameters are taken as random variables, then a more complicated method of solution should be adopted which is analytically presented next.

Keywords: Optimal Control Problem; Exogenous Variable; Optimal Trajectory; Random Parameter; Planning Period (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-50892-8_10

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DOI: 10.1057/9781137508928_10

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