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Olinjär stokastisk reglering av extremvärden

Andersson, Lennart (1993) In MSc Theses
Department of Automatic Control
Abstract
In this report discrete time optimal control of extreme values are investigated. Both the full information case and partial information case are discussed. There has been payed special attention to numerical solution of the Bellman equation. For a special full information case the optimal controller has been obtained by a numerical solution. This controller has been compared with the minimal variance controller and the linear minimal upcrossing controller through simulations. It is seen that the optimal controller performs better than the linear controllers when the noise is high and the minimization horizon is short. Further, the optimal controller has been compared with the non-linear minimal upcrossing controller, which has been derived... (More)
In this report discrete time optimal control of extreme values are investigated. Both the full information case and partial information case are discussed. There has been payed special attention to numerical solution of the Bellman equation. For a special full information case the optimal controller has been obtained by a numerical solution. This controller has been compared with the minimal variance controller and the linear minimal upcrossing controller through simulations. It is seen that the optimal controller performs better than the linear controllers when the noise is high and the minimization horizon is short. Further, the optimal controller has been compared with the non-linear minimal upcrossing controller, which has been derived without using Bellman's equation. It is seen that the controllers were almost identical for the case studied, and for a special case it is shown that they are identical. (Less)
Please use this url to cite or link to this publication:
author
Andersson, Lennart
supervisor
organization
year
type
H3 - Professional qualifications (4 Years - )
subject
keywords
Stochastic control, Extreme values, Optimal Control, Critical Processes
publication/series
MSc Theses
report number
TFRT-5480
ISSN
0280-5316
language
English
id
8849038
date added to LUP
2016-03-25 20:53:51
date last changed
2016-03-25 20:53:51
@misc{8849038,
  abstract     = {In this report discrete time optimal control of extreme values are investigated. Both the full information case and partial information case are discussed. There has been payed special attention to numerical solution of the Bellman equation. For a special full information case the optimal controller has been obtained by a numerical solution. This controller has been compared with the minimal variance controller and the linear minimal upcrossing controller through simulations. It is seen that the optimal controller performs better than the linear controllers when the noise is high and the minimization horizon is short. Further, the optimal controller has been compared with the non-linear minimal upcrossing controller, which has been derived without using Bellman's equation. It is seen that the controllers were almost identical for the case studied, and for a special case it is shown that they are identical.},
  author       = {Andersson, Lennart},
  issn         = {0280-5316},
  keyword      = {Stochastic control,Extreme values,Optimal Control,Critical Processes},
  language     = {eng},
  note         = {Student Paper},
  series       = {MSc Theses},
  title        = {Olinjär stokastisk reglering av extremvärden},
  year         = {1993},
}