Optimal control of diffusion processes: $\infty$-order variational analysis and numerical solution
IEEE Control Systems Letters, vol. 8, pp. 1469-1474, 2024 We tackle a nonlinear optimal control problem for a stochastic differential equation in Euclidean space and its state-linear counterpart for the Fokker-Planck-Kolmogorov equation in the space of probabilities. Our approach is founded on a nov...
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04-03-2024
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| Abstract | IEEE Control Systems Letters, vol. 8, pp. 1469-1474, 2024 We tackle a nonlinear optimal control problem for a stochastic differential
equation in Euclidean space and its state-linear counterpart for the
Fokker-Planck-Kolmogorov equation in the space of probabilities. Our approach
is founded on a novel concept of local optimality surpassing Pontryagin's
minimum, originally crafted for deterministic optimal ensemble control
problems. A key practical outcome is a rapidly converging numerical algorithm,
which proves its feasibility for problems involving Markovian and open-loop
strategies. |
|---|---|
| AbstractList | IEEE Control Systems Letters, vol. 8, pp. 1469-1474, 2024 We tackle a nonlinear optimal control problem for a stochastic differential
equation in Euclidean space and its state-linear counterpart for the
Fokker-Planck-Kolmogorov equation in the space of probabilities. Our approach
is founded on a novel concept of local optimality surpassing Pontryagin's
minimum, originally crafted for deterministic optimal ensemble control
problems. A key practical outcome is a rapidly converging numerical algorithm,
which proves its feasibility for problems involving Markovian and open-loop
strategies. |
| Author | Pogodaev, Nikolay Chertovskih, Roman Aguiar, A. Pedro Staritsyn, Maxim |
| Author_xml | – sequence: 1 givenname: Roman surname: Chertovskih fullname: Chertovskih, Roman – sequence: 2 givenname: Nikolay surname: Pogodaev fullname: Pogodaev, Nikolay – sequence: 3 givenname: Maxim surname: Staritsyn fullname: Staritsyn, Maxim – sequence: 4 givenname: A. Pedro surname: Aguiar fullname: Aguiar, A. Pedro |
| BackLink | https://doi.org/10.48550/arXiv.2403.01945$$DView paper in arXiv https://doi.org/10.1109/LCSYS.2024.3410632$$DView published paper (Access to full text may be restricted) |
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| Snippet | IEEE Control Systems Letters, vol. 8, pp. 1469-1474, 2024 We tackle a nonlinear optimal control problem for a stochastic differential
equation in Euclidean... |
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| Title | Optimal control of diffusion processes: $\infty$-order variational analysis and numerical solution |
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