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Automation and Remote Control

, Volume 78, Issue 6, pp 1028–1045 | Cite as

Optimization of quasilinear stochastic control-nonlinear diffusion systems

  • M. M. Khrustalev
  • D. S. Rumyantsev
  • K. A. Tsar’kov
Stochastic Systems
  • 23 Downloads

Abstract

Consideration was given to the problem of optimal control of the quasilinear stochastic continuous-time systems whose coefficients in the general case depend nonlinearly on the program control. A special case of this problem is represented by optimization of the incompletefeedback control strategies. An optimization algorithm was proposed based on the method of gradient descent in the functional space. Its relaxation property was substantiated in theoretical terms. The necessary optimality conditions are formulated and proved within the framework of the formulated problem.

Keywords

optimal stochastic control quasilinear dynamic systems nonlinear dynamic system 

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Copyright information

© Pleiades Publishing, Ltd. 2017

Authors and Affiliations

  • M. M. Khrustalev
    • 1
  • D. S. Rumyantsev
    • 1
  • K. A. Tsar’kov
    • 1
  1. 1.Trapeznikov Institute of Control SciencesRussian Academy of SciencesMoscowRussia

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