V. Ya. Katkovnik, O. Yu. Kulchitskii, V. E. Kheisin, “Approximating solutions of essentially nonstationary stochastic extremal problems in continuous time”, Avtomat. i Telemekh., 1982, Issue 11,Pages <nobr>73

Adaptive Systems

Approximating solutions of essentially nonstationary stochastic extremal problems in continuous time

V. Ya. Katkovnik, O. Yu. Kulchitskii, V. E. Kheisin

Leningrad

Abstract: The paper is concerned with different statements of stochastic extremal problems with significant drift of the extremum. Sufficiently general principles for generation of algorithms to solve such problems are proposed. This approach is shown to be akin with general concepts of the theory of automatic control and optimal filtering.

UDC: 62-506

Received: 07.08.1981