Abstract
In this paper, under the LQG control performance criterion, a method for realizing the suboptimal control for one-dimensional nonlinear stochastic systems with finite horizon is developed by exhibiting a wide variety of sample runs. As preliminaries, the equation of determining state trajectory satisfying the performance criterion and its linearization scheme are reviewed. In order to realize finite horizon control for nonlinear systems, the suboptimal state trajectory emanating from the initial state is switched at time ts into the one hitting the target. Decision of switching time is illustrated by results of simulation experiments. Finally, relative relation between the initial state level and the target state one is examined.
