On Optimal Retention of the Trajectory of Discrete Stochastic System in Tube


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Abstract

Consideration was given to the design of the optimal control of the general discrete stochastic system with a criterion as the probability of the state vector sojourn in the given sets at each time instant. Derived were relations of the dynamic programming enabling one to establish an optimal solution in the class of Markov strategies without extension of the state vector with subsequent reduction to an equivalent problem with the probabilistic terminal criterion. Consideration was given to the problem of one-parameter correction of the flying vehicle trajectory. An analytical solution was established.

About the authors

V. M. Azanov

Moscow State Aviation Institute

Author for correspondence.
Email: azanov59@gmail.com
Russian Federation, Moscow

Yu. S. Kan

Moscow State Aviation Institute

Email: azanov59@gmail.com
Russian Federation, Moscow

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