Comparison of Stochastic Optimal Control Strategies - Monte Carlo Approach

J. Rathouský, V. Havlena, and J. Štecha (Czech Republic)


ARX model, cautious strategy, stochastic LQ control,monte carlo approach.


Stochastic discrete time models are usual tools used for description of uncertain systems. In the paper two optimal control strategies are compared: cautious and certainty equivalent LQ optimal control strategies of ARX model. In all cases the mean value of the criterion is minimized. When all uncertainties in the system are respected and optimal control strategies are used, the probability distribution of the criterion is complicated but its form can be obtained only by Monte Carlo approach. The main goal of the paper is to estimate the form of the criterion distribution.

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