Abstract
A two-dimensional random motion of a point is dealt with. The point velocity (v cos ϑ,v sin ϑ) is subjected to two different kinds of perturbations, the first represented by a vector of independent standard Wiener processes and the second by a generalized type of Poisson process. The control function is ϑ, whilev is kept fixed. We assume given a configuration ofn+1 target sets,A 0,...,A n , in the plane, all of these sets being surrounded by an open and bounded setD. We denote by ℙ x (ℙ(ϑ)∈A i the probability thatX t , the location of the point, whereX 0=x∈D, will reach the setA i beforeX i reaches any other setA j ,i≠j, and before it leavesD. The problem dealt with here is to find an optimal control law ϑ*, ϑ*=ϑ*(x),x∈D, such that the function
where λ1,i=0,...,n, are given nonnegative numbers, will be maximized on a given class of admissible control laws. Sufficient conditions on optimal controls, of a dynamic programming type, are derived. These conditions require the existence of a smooth solution to a nonlinear partial integrodifferential equation, which is solved here by applying a finite-difference scheme. Two examples are dealt with numerically.
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Communicated by J. V. Breakwell
This work was partially supported by a grant from Control Data.
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Yavin, Y., Jordaan, A.M. Optimal controls that maximize the probability of hitting a set of targets: A numerical study. J Optim Theory Appl 34, 517–540 (1981). https://doi.org/10.1007/BF00935891
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DOI: https://doi.org/10.1007/BF00935891