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Avtomatika i Telemekhanika, 2017, Issue 6, Pages 84–105 (Mi at14821)  
This article is cited in 16 scientific papers (total in 16 papers)

Stochastic Systems

Optimization of quasilinear stochastic control-nonlinear diffusion systems

M. M. Khrustalev, D. S. Rumyantsev, K. A. Tsar'kov

Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia
Full-text PDF (1136 kB) Citations (16)
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Abstract: Consideration was given to the problem of optimal control of the quasilinear stochastic continuous-time systems whose coefficients in the general case depend nonlinearly on the program control. A special case of this problem is represented by optimization of the incompletefeedback control strategies. An optimization algorithm was proposed based on the method of gradient descent in the functional space. Its relaxation property was substantiated in theoretical terms. The necessary optimality conditions are formulated and proved within the framework of the formulated problem.
Keywords: optimal stochastic control, quasilinear dynamic systems, nonlinear dynamic system.
Funding agency Grant number
Russian Foundation for Basic Research 15-07-09091
16-08-00472
This work was supported in part by the Russian Foundation for Basic Research, projects nos.15-07-09091 and 16-08-00472.
Presented by the member of Editorial Board: A. I. Kibzun

Received: 25.04.2016
English version:
Automation and Remote Control, 2017, Volume 78, Issue 6, Pages 1028–1045
DOI: https://doi.org/10.1134/S0005117917060054
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: M. M. Khrustalev, D. S. Rumyantsev, K. A. Tsar'kov, “Optimization of quasilinear stochastic control-nonlinear diffusion systems”, Avtomat. i Telemekh., 2017, no. 6, 84–105; Autom. Remote Control, 78:6 (2017), 1028–1045
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/at/y2017/i6/p84
    • This publication is cited in the following 16 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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