Avtomatika i Telemekhanika
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor
Guidelines for authors
Submit a manuscript

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Avtomat. i Telemekh.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

Avtomatika i Telemekhanika, 2022, Issue 9, Pages 128–149
DOI: https://doi.org/10.31857/S0005231022090070 (Mi at15861) 		 
This article is cited in 2 scientific papers (total in 2 papers)

Stochastic Systems

Optimization of stochastic jump diffusion systems nonlinear in the control

M. M. Khrustalev, K. A. Tsarkov

Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, 117997 Russia
Full-text PDF (601 kB) First page Citations (2)
References:
PDF
HTML
DOI: https://doi.org/10.31857/S0005231022090070
Abstract: 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.
Keywords: jump diffusion, nonlinear control systems, local optimality condition, successive improvement.
Funding agency Grant number
Russian Foundation for Basic Research 20-08-00400
This work was financially supported in part by the Russian Foundation for Basic Research, project no. 20-08-00400.
Presented by the member of Editorial Board: A. I. Kibzun

Received: 13.12.2021
Revised: 20.05.2022
Accepted: 10.06.2022
English version:
Automation and Remote Control, 2022, Volume 83, Issue 9, Pages 1433–1451
DOI: https://doi.org/10.1134/S0005117922090077
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: M. M. Khrustalev, K. A. Tsarkov, “Optimization of stochastic jump diffusion systems nonlinear in the control”, Avtomat. i Telemekh., 2022, no. 9, 128–149; Autom. Remote Control, 83:9 (2022), 1433–1451
Citation in format AMSBIB
\Bibitem{KhrTsa22}
\by M.~M.~Khrustalev, K.~A.~Tsarkov
\paper Optimization of stochastic jump diffusion systems nonlinear in the control
\jour Avtomat. i Telemekh.
\yr 2022
\issue 9
\pages 128--149
\mathnet{http://mi.mathnet.ru/at15861}
\crossref{https://doi.org/10.31857/S0005231022090070}
\edn{https://elibrary.ru/AJGPGW}
\transl
\jour Autom. Remote Control
\yr 2022
\vol 83
\issue 9
\pages 1433--1451
\crossref{https://doi.org/10.1134/S0005117922090077}
Linking options:
  • https://www.mathnet.ru/eng/at15861
  • https://www.mathnet.ru/eng/at/y2022/i9/p128
    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Avtomatika i Telemekhanika
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024