Optimal Control of Probability Density Functions of Stochastic Processes

被引：49

作者：

Annunziato, M. ^{[1
]}

Borzi, A. ^{[2
,3
]}

机构：

[1] Univ Salerno, Dipartimento Matemat & Informat, I-84084 Fisciano, SA, Italy

[2] Univ Sannio, Dipartimento & Fac Ingn, I-82100 Benevento, Italy

[3] Karl Franzens Univ Graz, Inst Math & Wissensch Rechnen, A-8010 Graz, Austria

来源：

MATHEMATICAL MODELLING AND ANALYSIS | 2010年 / 15卷 / 04期

基金：

奥地利科学基金会;

关键词：

probability density function control; Fokker-Planck equation; optimal control theory; receding-horizon; stochastic process; SYSTEMS;

D O I：

10.3846/1392-6292.2010.15.393-407

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

A Fokker-Planck framework for the formulation of an optimal control strategy of stochastic processes is presented. Within this strategy, the control objectives are defined based on the probability density functions of the stochastic processes. The optimal control is obtained as the minimizer of the objective under the constraint given by the Fokker-Planck model. Representative stochastic processes are considered with different control laws and with the purpose of attaining a final target configuration or tracking a desired trajectory. In this latter case, a receding-horizon algorithm over a sequence of time windows is implemented.

引用

页码：393 / 407

页数：15

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