摘要
现研究的一类奇异型随机最优控制模型最初由S.E.Shreve和J.P.Lehoczky提出.该模型相应的控制费用函数比较简单,使其应用受到了限制.本文的主要工作是对原问题的费用函数进行扩展,使其归结到一类更广泛的函数上去,从而拓宽了其应用;并且将得出的结论引入存储问题,得到储量与需求间平衡的最佳效益模型的最优控制策略.
This paper studies a class of singular stochastic control problem, which was proposed initially by S.E.Shreve and J.P.Lehoczky. But its cost function is too simple to be used. For the sake of extending its application, in this paper the cost funtion is modified. Further, the conclusion is made ues to solve a storage problem, getting an optimal control policy between storage and need.
出处
《北方交通大学学报》
CSCD
北大核心
2003年第6期68-72,共5页
Journal of Northern Jiaotong University
关键词
随机控制
奇异型
最佳控制策略
stochastic control
singular
optimal control policy
