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Trajectory planning for systems with a multiplicative stochastic uncertainty
KTH, Superseded Departments, Mathematics.
2004 (English)In: International Journal of Control, ISSN 0020-7179, E-ISSN 1366-5820, Vol. 77, no 8, 713-722 p.Article in journal (Refereed) Published
Abstract [en]

A trajectory planning problem for linear stochastic differential equations is considered in this paper. The aim is to control the system such that the expected value of the output interpolates given points at given times while the variance and an integral cost of the control effort are minimized. The solution is obtained by using the dynamic programming technique, which allows for several possible generalizations. The results of this paper can be used for control of systems with a multiplicative stochastic disturbance on the state vector and systems with a stochastic growth rate. This is frequently the case in investment problems, biomathematics and control theory.

Place, publisher, year, edition, pages
2004. Vol. 77, no 8, 713-722 p.
Keyword [en]
linear-estimation, splines
National Category
Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-23558DOI: 10.1080/00207170410001714997ISI: 000222500300002Scopus ID: 2-s2.0-4544277225OAI: oai:DiVA.org:kth-23558DiVA: diva2:342256
Note
QC 20100525 QC 20111025Available from: 2010-08-10 Created: 2010-08-10 Last updated: 2017-12-12Bibliographically approved

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