Optimization of Stochastic Jump Diffusion Systems Nonlinear in the Control

被引：1
|
作者：
Khrustalev, M. M. [1 ]
Tsarkov, K. A. [1 ]
机构：
[1] Russian Acad Sci, Trapeznikov Inst Control Sci, Moscow 117997, Russia
来源：
AUTOMATION AND REMOTE CONTROL | 2022年 / 83卷 / 09期
基金：
俄罗斯基础研究基金会;
关键词：
jump diffusion; nonlinear control systems; local optimality condition; successive improvement; TERMINAL INVARIANCE;
D O I：
10.1134/S0005117922090077
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
We consider the optimal program control problem for a stochastic state- and control-nonlinear jump diffusion system with a given performance functional linear-quadratic in the state. Necessary and sufficient local optimality conditions are obtained, and a numerical procedure for the successive improvement of a given control program is developed. Examples of optimization problems for a switched system with random initial data and terminal invariance are considered as applications.
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页码：1433 / 1451
页数：19
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