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

页码：1433 / 1451

页数：19

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