Systematic Perturbations of Discrete-Time
Stochastic Dynamical Systems

by Daniel L. Kern and Floyd B. Hanson

Proceedings 1999 American Control Conference

Abstract:

The standard problem of groundwater pollutant remediation by well pumping is modeled as a discrete-time LQG stochastic optimal control problem. The control is approximated by using a variation of differential dynamic programming (DDP) that includes systematic perturbations. Kalman filtering is used to estimate the partially observed state variables in a tractable format. This is a filtering application of the DDP method used by the authors in an earlier perturbation paper.



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