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
收藏
页码：1433 / 1451
页数：19
相关论文
共 50 条
  • [41] JUMP RESONANCE CRITERIA OF NONLINEAR CONTROL SYSTEMS
    FUKUMA, A
    MATSUBARA, M
    IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1966, AC11 (04) : 699 - +
  • [42] H∞ control for Markovian jump nonlinear, systems
    Aliyu, MDS
    Boukas, EK
    PROCEEDINGS OF THE 37TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-4, 1998, : 766 - 771
  • [43] Quantized Control for Nonlinear Markovian Jump Systems
    Wu, Ligang
    Shi, Peng
    Li, Fanbiao
    Basin, Michael V.
    Zhao, Yuxin
    2014 IEEE 53RD ANNUAL CONFERENCE ON DECISION AND CONTROL (CDC), 2014, : 3878 - 3883
  • [44] Stochastic Stability Analysis for Markovian Jump Neutral Nonlinear Systems
    Wang, Bo
    Shi, Peng
    Karimi, Hamid Reza
    Dong, Xiucheng
    MODELING IDENTIFICATION AND CONTROL, 2012, 33 (04) : 131 - 139
  • [45] A robust suppress of stochastic nonlinear systems with Markovian jump parameters
    Zhu Jin
    Li Da-peng
    Xi Hong-sheng
    Ji Hai-bo
    PROCEEDINGS OF THE 24TH CHINESE CONTROL CONFERENCE, VOLS 1 AND 2, 2005, : 689 - 694
  • [46] Portfolio optimization based on jump-diffusion stochastic differential equation
    Huang, Yiling
    ALEXANDRIA ENGINEERING JOURNAL, 2020, 59 (04) : 2503 - 2512
  • [47] DIFFUSION WITH STOCHASTIC JUMP TIMES
    MULLINS, WW
    AMERICAN JOURNAL OF PHYSICS, 1973, 41 (02) : 264 - 268
  • [48] Multiobjective control for nonlinear stochastic Poisson jump-diffusion systems via T-S fuzzy interpolation and Pareto optimal scheme
    Wu, Chien-Feng
    Chen, Bor-Sen
    Zhang, Weihai
    FUZZY SETS AND SYSTEMS, 2020, 385 : 148 - 168
  • [49] H∞ Control for Ito Stochastic Systems with Markovian Jump
    Gao Cun-Chen
    Cong Xin-Wei
    2011 30TH CHINESE CONTROL CONFERENCE (CCC), 2011, : 1338 - 1343
  • [50] Reliable control for stochastic jump systems with actuator failures
    Yang, Dong
    Zhao, Jun
    Dongbei Daxue Xuebao/Journal of Northeastern University, 2015, 36 (02): : 153 - 156
12345