Is solving stochastic HJB a practical method for stochastic optimal control in engineering field or it is just a method used in finance?

  • $\begingroup$ Do you have any control application in mind? $\endgroup$ – feetwet Aug 3 '16 at 18:52
  • $\begingroup$ Yes for examle trajectory optimization of a UAV,which is a nonlinear stochastic optimal control.or any other stochastic optimal control for nonlinear systems which are not based on linearizing the system. $\endgroup$ – Ali N777 Aug 3 '16 at 19:06
  • $\begingroup$ In most practical applications, people tend to treat the stochastic part separately from the optimization part rather than solving both simultaneously. It works out very well in many cases and is far easier to inplement than a coupled stochastic optimization scheme. $\endgroup$ – Paul Aug 5 '16 at 2:22
  • $\begingroup$ Yes you are right.like LQG which uses seperation and do the estimation and control seperatly. But I want to know that HJB have never been used in stochastic optimal control problems and if it is used in which kinds of systems it is useful? $\endgroup$ – Ali N777 Aug 5 '16 at 9:43