Optimal Control of Diffusion Processes: Infinite-Order Variational Analysis and Numerical Solution

• Type: Article in International Scientific Journal
• Date: 2024

Authors

Chertovskih, R (Author) FEUP; Pogodaev, N (Author) Other; Staritsyn, M (Author) FEUP; Aguiar, AP (Author) FEUP

Journal

Title: IEEE Control Systems Letters

Vol. 7

Pages: 1469-1474

Publisher: IEEE

Indexing

ISI Web of Knowledge - 2 Citations

Other information

Authenticus ID: P-010-JSK

DOI: 10.1109/lcsys.2024.3410632

Abstract (EN): 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, stronger than conventional Pontryagin's minimum and 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.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 6