Numerical methods of synthesis of an optimal control for stochastic dynamical systems of diffusion type

DOI10.1134/S1064230707030033zbMath1297.93189MaRDI QIDQ465294

J. Herrera, D. Rodríguez-Gómez

Publication date: 31 October 2014

Published in: Journal of Computer and Systems Sciences International (Search for Journal in Brave)

zbMATH Keywords

numerical methodslinear and quasilinear systems with quadratic cost functionstochastic dynamic system of diffusion typesynthesis of optimal trajectoriessystems with complete information on the statesystems with information constraints

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Control/observation systems governed by ordinary differential equations (93C15) Optimality conditions for problems involving randomness (49K45)

Related Items (4)

Optimization of quasilinear stochastic control-nonlinear diffusion systems ⋮ Optimizing quasilinear stochastic dynamical systems with complex structure ⋮ System shape optimization and stabilization of controlled quasi-linear stochastic systems that operate on an infinite time interval ⋮ An algorithm for synthesis of the suboptimal control law for quasi-linear stochastic dynamical systems

Cites Work

• Unnamed Item
• Optimization of stochastic diffusion systems with constraints on control- observation process. I: Sufficient conditions of optimality
• Ordinary differential equations in Banach spaces
• Nash equilibrium conditions in stochastic differential games where players information about a state is incomplete. II: Lagrange method
• Optimal control of quasi-linear systems of the diffusion type under incomplete information on the state
• Stochastic Optimal Control with Noisy Observations †

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