An Efficient Numerical Algorithm for Solving Data Driven Feedback Control Problems

doi:10.1007/s10915-020-01358-y

	An Efficient Numerical Algorithm for Solving Data Driven Feedback Control Problems
	Archibald, Richard 1; Bao, Feng 4; Yong, Jiongmin 2; Zhou, Tao 3
刊名	JOURNAL OF SCIENTIFIC COMPUTING
	2020-11-10
卷号	85 期号:2 页码:27
关键词	Stochastic optimal control Nonlinear filtering Data driven Maximum principle Stochastic optimization
ISSN号	0885-7474
DOI	10.1007/s10915-020-01358-y
英文摘要	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.
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
语种	英语
出版者	SPRINGER/PLENUM PUBLISHERS
WOS记录号	WOS:000593840000002
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/52510]
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.Univ Cent Florida, Dept Math, Orlando, FL 32816 USA 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 4.Florida State Univ, Dept Math, Tallahassee, FL 32306 USA
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.