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An Efficient Numerical Algorithm for Solving Data Driven Feedback Control Problems
Archibald, Richard1; Bao, Feng2; Yong, Jiongmin3; Zhou, Tao4
2020-11-10
Source PublicationJOURNAL OF SCIENTIFIC COMPUTING
ISSN0885-7474
Volume85Issue:2Pages:27
AbstractThe 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.
KeywordStochastic optimal control Nonlinear filtering Data driven Maximum principle Stochastic optimization
DOI10.1007/s10915-020-01358-y
Indexed BySCI
Language英语
Funding ProjectScientific 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 Research AreaMathematics
WOS SubjectMathematics, Applied
WOS IDWOS:000593840000002
PublisherSPRINGER/PLENUM PUBLISHERS
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/52511
Collection中国科学院数学与系统科学研究院
Corresponding AuthorBao, Feng
Affiliation1.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
Recommended Citation
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.
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