Optimal control of a linear system with multiplicative noise at control parameter

Details Optimal control of a linear system with multiplicative noise at control parameter Optimal control of a linear system with multiplicative noise at control parameter

2010-10-04

arxiv.org/abs/1010.0510v1

Mathematics

Optimization and Control

12 pages

Scientific paper

We investigate a control process described by a linear system of ordinary differential equations with a noise of special type acting to the control parameter. As the cost functional the probability of the final state vector to enter to a given set in the phase space is considered. Necessary conditions of optimality (of the Pontryagin maximum principle form) and existence theorems are developed. The initial control problem was trasformed to an auxiliary deterministic problem, the differentiability of the auxiliary functional was discussed.

Affiliated with

Also associated with

No associations

Rating

Optimal control of a linear system with multiplicative noise at control parameter does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Optimal control of a linear system with multiplicative noise at control parameter, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Optimal control of a linear system with multiplicative noise at control parameter will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-274163