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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.
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https://hal.inria.fr/inria-00075301
Contributor : Rapport de Recherche Inria <>
Submitted on : Wednesday, May 24, 2006 - 5:54:16 PM
Last modification on : Saturday, January 27, 2018 - 1:31:24 AM
Long-term archiving on: : Sunday, April 4, 2010 - 9:55:03 PM

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  • HAL Id : inria-00075301, version 1

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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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