Stochastic Control Problems

Book chapter (2021)

Authors

J.H. van Schuppen Mathematical Physics - EEMCS
Research Group
Mathematical Physics (EEMCS) (TU Delft)
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Published Date

2021

Language

English

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Mathematical Physics

Abstract

A stochastic control problem is to determine a control law within a rather general set of control laws such that the closed-loop system meets prespecified control objectives. A stochastic control problem is motivated by control problem of engineering, economics, or other areas of the sciences. The concepts of an information pattern, a control law, and of a closed-loop stochastic system are defined. The main control objectives are stability, optimization of performance, and robustness in case of changes in the control system. Control synthesis at a theoretic level is described. Statistical decision problems are treated as elementary stochastic control problems in which there is no dynamics.

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