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

• Tipo: Artigo em Revista Científica Internacional
• Data: 2024

Autores

Chertovskih, R (Autor) FEUP; Pogodaev, N (Autor) Outra; Staritsyn, M (Autor) FEUP; Aguiar, AP (Autor) FEUP

Revista

Título: IEEE Control Systems Letters

Vol. 7

Páginas: 1469-1474

Editora: IEEE

Indexação

ISI Web of Knowledge - 2 Citações

Outras Informações

ID Authenticus: 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.

Idioma: Inglês

Tipo (Avaliação Docente): Científica

Nº de páginas: 6