Stochastic optimal control for nonlinear damped network dynamics

MaRDI QIDQ6390740zbMATH OpenFDO

Authors S. Göttlich, Thomas Schillinger

Publication date 10 February 2022

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Optimal stochastic control (93E20)

Abstract: We present a stochastic optimal control problem for a tree network. The dynamics of the network are governed by transport equations with a special emphasis on the non-linear damping function. Demand profiles at the network sinks are modelled by a stochastic differential equations. An explicit optimal inflow into the network is determined and numerical simulations are presented to show the effects for different choices of the non-linear damping.

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