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.
引用
下载
收藏
页码：1433 / 1451
页数：19
相关论文
共 50 条
  • [21] Stochastic H2/H∞ Control for Poisson Jump-Diffusion Systems
    Wang, Meijiao
    CHINESE ANNALS OF MATHEMATICS SERIES B, 2016, 37 (05) : 643 - 664
  • [22] Stochastic H2/H∞ Control for Poisson Jump-Diffusion Systems
    Meijiao WANG
    Chinese Annals of Mathematics,Series B, 2016, (05) : 643 - 664
  • [23] Sliding Mode Control for Nonlinear Stochastic Singular Semi-Markov Jump Systems
    Qi, Wenhai
    Zong, Guangdeng
    Karimi, Hamid Reza
    IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2020, 65 (01) : 361 - 368
  • [24] Robust Fuzzy Tracking Control Design for a Class of Nonlinear Stochastic Markovian Jump Systems
    Huang, Ran
    Lin, Yan
    Lin, Zhongwei
    JOURNAL OF DYNAMIC SYSTEMS MEASUREMENT AND CONTROL-TRANSACTIONS OF THE ASME, 2010, 132 (05): : 1 - 9
  • [25] Observer-Based Sliding Mode Control for Stochastic Nonlinear Markovian Jump Systems
    Yin, Xiaohan
    Zhu, Quanxin
    DISCRETE DYNAMICS IN NATURE AND SOCIETY, 2019, 2019
  • [26] PID TRACKING CONTROL FOR NONLINEAR STOCHASTIC MARKOV JUMP SYSTEMS WITH STATE AND INPUT DELAYS
    Liu, Cong
    Xu, Lijuan
    Yang, Simon X.
    CONTROL AND INTELLIGENT SYSTEMS, 2016, 44 (04) : 180 - 188
  • [27] Almost sure stability and transient behavior of stochastic nonlinear jump systems motivated by networked control systems
    Blind, Rainer
    Muenz, Ulrich
    Allgoewer, Frank
    PROCEEDINGS OF THE 46TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-14, 2007, : 2669 - 2674
  • [28] Mode-independent control of singular Markovian jump systems: A stochastic optimization viewpoint
    Wang, Guoliang
    APPLIED MATHEMATICS AND COMPUTATION, 2016, 286 : 155 - 170
  • [29] H2/H∞ Control for Stochastic Jump-Diffusion Systems with Markovian Switching
    WANG Meijiao
    MENG Qingxin
    SHEN Yang
    Journal of Systems Science & Complexity, 2021, 34 (03) : 924 - 954
  • [30] Control of nonlinear stochastic systems
    Trigub, Mariya V.
    Yasinskiy, Vasiliy V.
    Journal of Automation and Information Sciences, 2001, 33 (04) : 59 - 68
12345