Abstract
The concept of the time-optimal control algorithm [10] for linear discrete time systems with additional boundary constraints is extended to stochastic systems with parameter and state uncertainty. The Deterministic Time-Optimal Control problem has been solved by means of linear programming techniques. However, the optimal control strategy for stochastic systems yields control decisions which are cautious of the uncertainty in the system and which probe it for estimation purposes. Mathematical difficulties make it is hard to derive optimal (dual) control algorithms. Several suboptimal algorithms which have ignored the probing property are referred to as cautious control algorithms. In this paper a Cautious Time-Optimal Control algorithm will be derived.
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