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International Journal of Control, Vol.83, No.9, 1751-1757, 2010
Nonstationary discrete-time deterministic and stochastic control systems with infinite horizon
This article is about nonstationary nonlinear discrete-time deterministic and stochastic control systems with Borel state and control spaces, possibly noncompact control constraint sets, and unbounded costs. The control problem is to minimise an infinite-horizon total cost performance index. Using dynamic programming arguments we show that, under suitable assumptions, the optimal cost functions satisfy optimality equations, which in turn give a procedure to find optimal control policies.
Keywords:discrete-time systems;nonlinear systems;infinite horizon problems;nonstationary dynamic programming