This article is cited in 1 paper

Stochastic Systems

Optimization of stochastic jump diffusion systems nonlinear in the control

M. M. Khrustalev, K. A. Tsarkov

Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, 117997 Russia

Abstract: We consider the optimal program control problem for a stochastic state- and control-nonlinear jump diffusion system with a given performance functional linear-quadratic in the state. Necessary and sufficient local optimality conditions are obtained, and a numerical procedure for the successive improvement of a given control program is developed. Examples of optimization problems for a switched system with random initial data and terminal invariance are considered as applications.

Keywords: jump diffusion, nonlinear control systems, local optimality condition, successive improvement.

Presented by the member of Editorial Board: A. I. Kibzun

Received: 13.12.2021
Revised: 20.05.2022
Accepted: 10.06.2022

DOI: 10.31857/S0005231022090070

 English version: Automation and Remote Control, 2022, 83:9, 1433–1451