Optimal control for stochastic differential equations and related Kolmogorov equations

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2022-01-01 DOI:10.3934/eect.2022023

Ștefana-Lucia Aniţa

引用次数: 0

Abstract

<p style='text-indent:20px;'>This paper concerns a stochastic optimal control problem with feedback Markov inputs. The problem is reduced to a deterministic optimal control problem for a Kolmogorov equation where the control for the deterministic problem is of open-loop type. The existence of an optimal control is proved for the deterministic control problem in a particular case. A maximum principle and some first order necessary optimality conditions are derived. Some examples and comments are discussed.</p>

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随机微分方程及相关Kolmogorov方程的最优控制

<p style='text-indent:20px;'>本文研究了一个反馈马尔可夫输入的随机最优控制问题。该问题被简化为一个Kolmogorov方程的确定性最优控制问题，其中确定性问题的控制是开环型的。在一个特殊情况下，证明了确定性控制问题的最优控制的存在性。导出了一个极大值原理和若干一阶必要最优性条件。讨论了一些例子和评论。</p>

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.