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

DOI10.1134/S1064230707030033MaRDI QIDQ465294zbMATH OpenFDO

Authors D. S. Rumyantsev, M. M. Khrustalev

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

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

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Cites work

• scientific article; zbMATH DE number 3225686 (Why is no real title available?)
• 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
• Optimization of stochastic diffusion systems with constraints on control- observation process. I: Sufficient conditions of optimality
• Ordinary differential equations in Banach spaces
• Stochastic Optimal Control with Noisy Observations †

Cited in

(14)

• Moment characteristic method in the optimal control theory of diffusion-type stochastic systems
• An algorithm for synthesis of the suboptimal control law for quasi-linear stochastic dynamical systems
• System shape optimization and stabilization of controlled quasi-linear stochastic systems that operate on an infinite time interval
• Gradient method for computing optimal controls for stochastic differential equations
• Optimization of quasilinear stochastic control-nonlinear diffusion systems
• Numerical analysis for an optimal control of bidomain-bath model
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• Optimizing quasilinear stochastic dynamical systems with complex structure
• The numerical synthesis of optimal control for a linear differential equation with random coefficient
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• Numerical solutions for optimal control of stochastic Kolmogorov systems

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