Continuous control with stochastic stopping time

A. Klinger

ResearchPublished 1966

A treatment of a continuous deterministic control process where only the interruption time is stochastic, and the uncertainty about the duration of the process is assumed to be summarized in a given cumulative probability distrubution for the stopping time. The optimal control, minimum expected cost, and feedback rule are derived for a linear time-invariant system under the exponential probability law. For time-varying linear systems with arbitrary stopping time probability distribution, the condition for optimality is shown to be equivalent to a simple type of Ricatti equation in a linear feedback rule. Finally the usual deterministic control problem is shown to be the limit of the interrupted control case as the variance of the stopping time distribution goes to zero.

Document Details

Citation

Chicago Manual of Style

Klinger, A., Continuous control with stochastic stopping time. Santa Monica, CA: RAND Corporation, 1966. https://www.rand.org/pubs/research_memoranda/RM4993.html.
BibTeX RIS

This publication is part of the RAND research memorandum series. The research memorandum series, a product of RAND from 1948 to 1973, included working papers meant to report current results of RAND research to appropriate audiences.

This document and trademark(s) contained herein are protected by law. This representation of RAND intellectual property is provided for noncommercial use only. Unauthorized posting of this publication online is prohibited; linking directly to this product page is encouraged. Permission is required from RAND to reproduce, or reuse in another form, any of its research documents for commercial purposes. For information on reprint and reuse permissions, please visit www.rand.org/pubs/permissions.

RAND is a nonprofit institution that helps improve policy and decisionmaking through research and analysis. RAND's publications do not necessarily reflect the opinions of its research clients and sponsors.