Publication Detail

Dynamic Optimization Using Hermite Chaos

Franz S Hover, Michael Triantafyllou
5 pp.

The polynomial chaos of Wiener provides a framework for the statistical analysis of dynamical systems, with computational cost far superior to Monte Carlo simulations. We show that the gradient method for dynamic optimization (the Maximum Principle) can be applied in a stochastic
sense using Hermite chaos, giving rise to the complete family of optimal trajectories parameterized with a small number of random variables.

type: Workshops, proceedings, symposia

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