一类具有随机切换时间的最优控制问题的两种不同求解方法

Q3 Mathematics
Alessandra Buratto, Luca Grosset, Maddalena Muttoni
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引用次数: 0

摘要

在最优控制理论中,战略决策需要考虑在预定时间范围内可能出现的不可预见的中断。在这种情况下,我们引入了“随机切换时间”的概念,即在系统动力学或收益函数中发生突然的,不可逆的改变的随机时刻。为了解决这种不确定条件下的最优决策,文献提出了两种突出的方法:“落后”方法和“异质”方法。在本研究中,我们对这两种方法进行了阐述和比较分析。最后,我们将提供一个说明性示例,在详细的上下文中展示与这两种解决方案策略相关的优缺点。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Two Different Solution Techniques for an Optimal Control Problem with a Stochastic Switching Time
In optimal control theory, strategic decision making requires the consideration of unforeseen disruptions that may arise within a predetermined time horizon. In this context, we introduce the concept of ”stochastic switching time” as a random moment in time at which a sudden, irreversible alteration takes place in the system’s dynamics or in the payoff function. To address optimal decision-making under such uncertain conditions, the literature presents two prominent methodologies: the ”backward” approach and the ”heterogeneous” approach. In this study, we offer an exposition and a comparative analysis of these two approaches. Finally, we present an illustrative example to show, in a detailed context, the advantages and disadvantages associated with these two solution strategies.
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来源期刊
WSEAS Transactions on Mathematics
WSEAS Transactions on Mathematics Mathematics-Discrete Mathematics and Combinatorics
CiteScore
1.30
自引率
0.00%
发文量
93
期刊介绍: WSEAS Transactions on Mathematics publishes original research papers relating to applied and theoretical mathematics. We aim to bring important work to a wide international audience and therefore only publish papers of exceptional scientific value that advance our understanding of these particular areas. The research presented must transcend the limits of case studies, while both experimental and theoretical studies are accepted. It is a multi-disciplinary journal and therefore its content mirrors the diverse interests and approaches of scholars involved with linear algebra, numerical analysis, differential equations, statistics and related areas. We also welcome scholarly contributions from officials with government agencies, international agencies, and non-governmental organizations.
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