Optimal control problem for nonlinear stochastic difference second kind Volterra equations

DOI10.1016/S0898-1221(97)00189-2MaRDI QIDQ1376699zbMATH OpenOpenAlexFDO

Authors N. V. Kuchkina, Leonid Shaikhet

Publication date 5 November 1998

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0898-1221(97)00189-2

zbMATH Keywords

discrete-time systemoptimal stochastic control problemVolterra integral equation

Mathematics Subject Classification ID

Volterra integral equations (45D05) Nonlinear systems in control theory (93C10) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

Review text

The author considers the optimal stochastic control problem for the discrete-time system \[ x(i+1) =\eta (i+1) +\Phi (i+1, x_{i+1}) +\sum^i_{j=0} a\bigl(i,j,x_j,u(j) \bigr)+ \sum ^i_{j=0} b\bigl(i,j,x_j, u(j)\bigr) \xi(j), \tag{1} \] \[ x(0)= \eta(0) \] and the cost functional \[ J(u)= E\Biggl[F(x_N) +\sum^{N-1}_{j=0} G\bigl(j,x_j, u(j)\bigr) \Biggr].\tag{2} \] Under suitable assumptions, necessary optimality conditions are derived. As an example a linear-square optimal control problem is considered.

Recommendations

• Optimal control of Volterra type stochastic difference equations
• The problem of optimal stabilization for stochastic difference Volterra type equation.
• Solution of the optimal control problem with incomplete data for the stochastic difference Volterra equation
• Optimal control of stochastic difference Volterra equations. An introduction

Cites work

• scientific article; zbMATH DE number 852177 (Why is no real title available?)
• Linear square optimal control problem for stochastic difference equations with unknown parameters
• Necessary and sufficient conditions of asymptotic mean square stability for stochastic linear difference equations
• Opial-type inequalities involving higher order differences
• Optimal control problem for nonlinear stochastic difference second kind Volterra equations
• Riccati equations in the stability of retarded stochastic linear systems

Cited in

(13)

• Boundary value problems for general discrete systems on infinite intervals
• Linear square optimal control problem for stochastic difference equations with unknown parameters
• Optimal control problem for nonlinear stochastic difference second kind Volterra equations
• Optimal control of Volterra type stochastic difference equations
• Stability of a general class of difference systems
• Successive approximations to an optimal control of quasilinear stochastic difference equations
• Solution of the optimal control problem with incomplete data for the stochastic difference Volterra equation
• Über ein gesteuertes zweiparametrisches stochastisches differenzensystem
• The problem of optimal stabilization for stochastic difference Volterra type equation.
• On a generalized difference system
• scientific article; zbMATH DE number 1165592 (Why is no real title available?)
• scientific article; zbMATH DE number 1504517 (Why is no real title available?)
• Optimal control of stochastic difference Volterra equations. An introduction

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