An Efficient Numerical Algorithm for Solving Data Driven Feedback Control Problems
文献类型：期刊论文
| 作者 | Archibald, Richard2; Bao, Feng3; Yong, Jiongmin1; Zhou, Tao4 |
| 刊名 | JOURNAL OF SCIENTIFIC COMPUTING
 |
| 出版日期 | 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 |
| WOS记录号 | WOS:000593840000002 |
| 出版者 | SPRINGER/PLENUM PUBLISHERS |
| 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.Univ Cent Florida, Dept Math, Orlando, FL 32816 USA 2.Oak Ridge Natl Lab, Computat Sci & Math Div, Oak Ridge, TN USA 3.Florida State Univ, Dept Math, Tallahassee, FL 32306 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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