Abstract
AbstractIn this paper, we propose an algorithm which directly derive an approximate optimal control law for a new criterion function when some approximate optimal value functions are obtained. The proposed algorithm requires to solve HJB equation for a nested cost function which is defined by the optimal cost function, and a method called Robust Extended Policy Iteration can solve the problem. Furthermore, the proposed algorithm doesn't require the drift terms of the system. The proposed algorithm can be used in order to tune the response. The validity of the proposed algorithm is shown by numerical simulations.
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