NOVEL SOLUTION METHODOLOGY FOR STOCHASTIC LQ PROBLEMS WITH BOUNDED CONTROL
Daniil V. Iourtchenko · 2008
In the paper a novel methodology is proposed to solve problems of stochastic optimal control with bounded in magnitude control law. Namely, the developed strategy allows to fond an exact analytical solution to the modified Hamilton-Jacobi-Bellman equation. Together with the hybrid solution method, the proposed strategy makes possible to build a solution to a whole class of stochastic optimal control problems with bounded in magnitude control force.