Abstract
The problem of optimal controller synthesis for discrete-time stochastic nonlinear processes is examined. When the objective for design is specified as the expected value of a nonsymmetric, nonquadratic loss functional, it is necessary to relate the closed-loop process dynamics to the stationary probability density function (pdf). Because explicit relationships are available for only a few special cases, a general solution to the problem is not possible. In this work a technique for developing approximations of the optimal control law by application of a dynamics–pdf approximation is presented. Numerical simulations illustrate application of the proposed technique.
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