Moment Characteristic Method in the Optimal Control Theory of Diffusion-Type Stochastic Systems
- 作者: Khrustalev M.1, Tsar’kov K.2
-
隶属关系:
- Trapeznikov Institute of Control Sciences, Russian Academy of Sciences
- Moscow Aviation Institute (National Research University)
- 期: 卷 58, 编号 5 (2019)
- 页面: 684-694
- 栏目: Control in Stochastic Systems and Under Uncertainty Conditions
- URL: https://journals.rcsi.science/1064-2307/article/view/220466
- DOI: https://doi.org/10.1134/S1064230719050071
- ID: 220466
如何引用文章
详细
In this paper, we provide a substantive description of one of the methods for solving problems of the optimal programmed control of diffusion-type stochastic systems with a quadratic quality functional on a finite time interval that allows reducing the stochastic formulation of the question to a deterministic one. We try to present the main ideas, advantages, and disadvantages of the method, as well as to outline as widely as possible the range of problems, to which this method can be applied in an accessible (but mathematically rigorous) form. Here, we do not provide technical details of using the method for solving specific problems. However, there are references in the paper, where these details can be found. New results, which are illustrated by examples that are directly related to the well-known applied problems of optimal control, are obtained. A rather comprehensive review of the current practical applications of the moment characteristic method is provided.
作者简介
M. Khrustalev
Trapeznikov Institute of Control Sciences, Russian Academy of Sciences
编辑信件的主要联系方式.
Email: mmkhrustalev@mail.ru
俄罗斯联邦, Moscow, 117997
K. Tsar’kov
Moscow Aviation Institute (National Research University)
编辑信件的主要联系方式.
Email: k6472@mail.ru
俄罗斯联邦, Moscow, 125993
![](/img/style/loading.gif)