Synthesis of suboptimal control of stochastic systems using a prognosing model

DOI10.1016/S0021-8928(96)00070-6MaRDI QIDQ1371066zbMATH OpenOpenAlexFDO

Authors Yu. G. Bulychev, A. A. Manin

Publication date 27 June 1999

Published in Journal of Applied Mathematics and Mechanics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0021-8928(96)00070-6

zbMATH Keywords

interpolation algorithmoptimal controlprognosing modelsuboptimal control

Mathematics Subject Classification ID

Synthesis problems (93B50) Control/observation systems governed by ordinary differential equations (93C15) Optimal stochastic control (93E20)

Review text

A scalar stochastic differential equation with a control minimizing a quadratic functional under the measurement of an observation process is considered. The minimization is performed according to an algorithm used for optimal control with a prognosing model. The analysis is focused on the construction of a solution for the equation of the free motion using an interpolation algorithm corresponding to some given quantities. The suboptimal control computation is based on the approximate solution and the selection of the interpolation points which minimizes the errors. An example is added.

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Cites work

• scientific article; zbMATH DE number 4094698 (Why is no real title available?)
• Methods for numerical-analytic integration of differential equations
• The numerical-analytic integration of differential equations by generalized interpolation

Cited in

(5)

• Synthesis of adaptive optimal control systems for stochastic objects from a forecast model
• Application of conditional-optimal filter for synthesis of suboptimal control in the problem of optimizing the output of a nonlinear differential stochastic system
• An algorithm for synthesis of the suboptimal control law for quasi-linear stochastic dynamical systems
• Efficient realization of the Galerkin method in view of new properties of Chebyshev polynomials
• scientific article; zbMATH DE number 1376789 (Why is no real title available?)

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