This article is cited in 1 paper

Stochastic Systems

Developing conditionally optimal control by a local criterion in a nonlinear stochastic system

I. E. Kazakov

Moscow

Abstract: An algorithm is proposed for simultaneous conditional optimal evaluation and determining the control in a stochastic nonlinear system by a local criterion in continous time. The algorithm embodies the theory of conditionally optimal filtering [1,2] and its extension to determining the control. This problem can be solved in Gaussian approximation by statistic linearization.

UDC: 62-505.5


Received: 12.11.1986