Optimal Retention of the Trajectories of a Discrete-Time Stochastic System in a Tube: One Problem Statement
- Autores: Tarasov A.1, Azanov V.1, Kibzun A.1
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Afiliações:
- Moscow Aviation Institute
- Edição: Nº 1 (2023)
- Páginas: 63-83
- Seção: Articles
- URL: https://journals.rcsi.science/0005-2310/article/view/142044
- DOI: https://doi.org/10.31857/S0005231023010038
- EDN: https://elibrary.ru/LUDTND
- ID: 142044
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Resumo
This paper considers an optimal control problem for a time-invariant linear stochastic system with discrete time, scalar unbounded control, additive noise, and a probabilistic criterion for retaining its trajectories in a given neighborhood of zero. We use dynamic programming and two-sided Bellman function estimates to derive analytical expressions for the optimal control at two time steps and a suboptimal control on any control horizon. The effectiveness of these controls is illustrated on a numerical example.
Sobre autores
A. Tarasov
Moscow Aviation Institute
Email: tarrapid@gmail.com
Moscow, Russia
V. Azanov
Moscow Aviation Institute
Email: azanov59@gmail.com
Moscow, Russia
A. Kibzun
Moscow Aviation Institute
Autor responsável pela correspondência
Email: kibzun@mail.ru
Moscow, Russia
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