This article is cited in 2 papers

Stochastic Systems

Sequential improvement method in probabilistic criteria optimization problems for linear-in-state jump diffusion systems

M. M. Khrustalev, K. A. Tsarkov

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

Abstract: 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.

Keywords: probabilistic criterion, quantile optimization, jump diffusion, Krotov method.

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

Received: 15.12.2022
Revised: 03.04.2023
Accepted: 19.04.2023

DOI: 10.31857/S0005231023060065

 English version: Automation and Remote Control, 2023, 84:6, 626–640