OPTIMISTIC VALUE MODEL OF UNCERTAIN OPTIMAL CONTROL

Abstract

Optimal control is an important field of study both in theory and in applications. Based on uncertainty theory, an expected value model of uncertain optimal control problem was studied by Zhu. In this paper, an optimistic value model for uncertain optimal control problem is investigated. Applying Bellman's principle of optimality, the principle of optimality for the model is presented. And then the equation of optimality is obtained for the optimistic value model of uncertain optimal control. Finally, a portfolio selection problem is solved by this equation of optimality.