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Using a finite horizon numerical optimisation method for a periodic optimal control problem

Azzato, Jeffrey D. and Krawczyk, Jacek (2007): Using a finite horizon numerical optimisation method for a periodic optimal control problem.

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Abstract

Computing a numerical solution to a periodic optimal control problem is difficult. A method of approximating a solution to a given (stochastic) optimal control problem using Markov chains was developed in [3]. This paper describes an attempt at applying this method to a periodic optimal control problem introduced in [2].

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