线性状态跳跃扩散系统概率准则优化问题的序列改进方法

IF 0.6 4区计算机科学 Q4 AUTOMATION & CONTROL SYSTEMS

Automation and Remote Control Pub Date : 2023-10-01 DOI:10.1134/S0005117923060061

M. M. Khrustalev, K. A. Tsarkov

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引用次数: 0

摘要

本文研究了多维可控跳跃扩散的概率和分位数优化问题。作为主要工具，我们使用切比雪夫型概率估计。根据过程的矩特性，将所考虑的问题简化为一个辅助确定性最优控制问题。为了找到它的解决方案，我们使用Krotov的全局改进方法。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Sequential Improvement Method in Probabilistic Criteria Optimization Problems for Linear-in-State Jump Diffusion Systems

查看原文本刊更多论文

Sequential Improvement Method in Probabilistic Criteria Optimization Problems for Linear-in-State Jump Diffusion Systems

Here we study the problems of probabilistic and quantile optimization of multidimensional controllable jump diffusion. As the main tool we use Chebyshev-type probability estimates. With them the problems under consideration are reduced to one auxiliary deterministic optimal control problem in terms of the moment characteristics of the process. To find its solution, we use Krotov’s global improvement method.

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来源期刊

Automation and Remote Control 工程技术-仪器仪表

CiteScore

1.70

自引率

28.60%

发文量

审稿时长

3-8 weeks

期刊介绍： Automation and Remote Control is one of the first journals on control theory. The scope of the journal is control theory problems and applications. The journal publishes reviews, original articles, and short communications (deterministic, stochastic, adaptive, and robust formulations) and its applications (computer control, components and instruments, process control, social and economy control, etc.).