Optimal ergodic control of nonlinear stochastic systems

Fabien Campillo 1
1 MEFISTO
CRISAM - Inria Sophia Antipolis - Méditerranée
Abstract : We study a class of ergodic stochastic control problems for diffusion processes. We describe the basic ideas concerning the Hamilton-Jacobi-Bellman equation. For a given class of control problems we establish an existence and uniqueness property of the invariant measure. Then we present a numerical approximation to the optimal feedback control based on the discretization of the infinitesimal generator using finite difference schemes. Finally, we apply these techniques to the control of semi-active suspensions for road vehicle.
Type de document :
Rapport
[Research Report] RR-1257, INRIA. 1990
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https://hal.inria.fr/inria-00075301
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Soumis le : mercredi 24 mai 2006 - 17:54:16
Dernière modification le : samedi 27 janvier 2018 - 01:31:24
Document(s) archivé(s) le : dimanche 4 avril 2010 - 21:55:03

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Fabien Campillo. Optimal ergodic control of nonlinear stochastic systems. [Research Report] RR-1257, INRIA. 1990. 〈inria-00075301〉

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