An Efficient Numerical Algorithm for Solving Data Driven Feedback Control Problems

doi:10.1007/s10915-020-01358-y

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	An Efficient Numerical Algorithm for Solving Data Driven Feedback Control Problems
	Archibald, Richard 1; Bao, Feng 2; Yong, Jiongmin 3; Zhou, Tao 4
	2020-11-10
发表期刊	JOURNAL OF SCIENTIFIC COMPUTING
ISSN	0885-7474
卷号	85 期号:2 页码:27
摘要	The goal of this paper is to solve a class of stochastic optimal control problems numerically, in which the state process is governed by an Ito type stochastic differential equation with control process entering both in the drift and the diffusion, and is observed partially. The optimal control of feedback form is determined based on the available observational data. We call this type of control problems the data driven feedback control. The computational framework that we introduce to solve such type of problems aims to find the best estimate for the optimal control as a conditional expectation given the observational information. To make our method feasible in providing timely feedback to the controlled system from data, we develop an efficient stochastic optimization algorithm to implement our computational framework.
关键词	Stochastic optimal control Nonlinear filtering Data driven Maximum principle Stochastic optimization
DOI	10.1007/s10915-020-01358-y
收录类别	SCI
语种	英语
资助项目	Scientific Discovery through Advanced Computing (SciDAC) program - U.S. Department of Energy, Office of Science, Advanced Scientific Computing Research through FASTMath Institute ; U.S. National Science Foundation[DMS-1720222] ; NSF[DMS-1812921] ; CompFUSE project
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000593840000002
出版者	SPRINGER/PLENUM PUBLISHERS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/52511
专题	中国科学院数学与系统科学研究院
通讯作者	Bao, Feng
作者单位	1.Oak Ridge Natl Lab, Computat Sci & Math Div, Oak Ridge, TN USA 2.Florida State Univ, Dept Math, Tallahassee, FL 32306 USA 3.Univ Cent Florida, Dept Math, Orlando, FL 32816 USA 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Archibald, Richard,Bao, Feng,Yong, Jiongmin,et al. An Efficient Numerical Algorithm for Solving Data Driven Feedback Control Problems[J]. JOURNAL OF SCIENTIFIC COMPUTING,2020,85(2):27.
APA	Archibald, Richard,Bao, Feng,Yong, Jiongmin,&Zhou, Tao.(2020).An Efficient Numerical Algorithm for Solving Data Driven Feedback Control Problems.JOURNAL OF SCIENTIFIC COMPUTING,85(2),27.
MLA	Archibald, Richard,et al."An Efficient Numerical Algorithm for Solving Data Driven Feedback Control Problems".JOURNAL OF SCIENTIFIC COMPUTING 85.2(2020):27.