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Optimal ergodic control of nonlinear stochastic systems

  • Parametric Stochastic Control of Non-Linear Systems and Stochastic Equivalent Linearization
  • Conference paper
  • First Online:
Probabilistic Methods in Applied Physics

Part of the book series: Lecture Notes in Physics ((LNP,volume 451))

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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Authors
  1. Fabien Campillo
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Paul Krée Walter Wedig

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© 1995 Springer-Verlag

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Campillo, F. (1995). Optimal ergodic control of nonlinear stochastic systems. In: Krée, P., Wedig, W. (eds) Probabilistic Methods in Applied Physics. Lecture Notes in Physics, vol 451. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-60214-3_59

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  • DOI: https://doi.org/10.1007/3-540-60214-3_59

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  • Print ISBN: 978-3-540-60214-9

  • Online ISBN: 978-3-540-44725-2

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