Synthesis of suboptimal control of stochastic systems using a prognosing model

The problem of controlling a stochastic system subject to the criterion that a generalized performance functional should be a minimum [I] is considered. A method is proposed for solving the problem, based on an optimal control algorithm with a prognosing model [I] and on the method of integral support curves for solving the Cauchy problem for ordinary differential equations [2-4]. The controls are synthesized in analytic form. Copyright (C) 1996 Elsevier Science Ltd.