On Minimum-Dispersion Control of Nonlinear Diffusion Processes

• Type: Article in International Conference Proceedings Book
• Date: 2025

Authors

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

Conference proceedings International

Title: Lecture Notes in Electrical Engineering

Pages: 129-139

16th APCA International Conference on Automatic Control and Soft Computing, CONTROLO 2024

Porto, 17 July 2024 through 19 July 2024

Indexing

Scopus - 0 Citations

Other information

Authenticus ID: P-018-NMQ

DOI: 10.1007/978-3-031-81724-3_13

Abstract (EN): This work collects some methodological insights for numerical solution of a ¿minimum-dispersion¿ control problem for nonlinear stochastic differential equations, a particular relaxation of the covariance steering task. The main ingredient of our approach is the theoretical foundation called ¿-order variational analysis. This framework consists in establishing an exact representation of the increment (¿-order variation) of the objective functional using the duality, implied by the transformation of the nonlinear stochastic control problem to a linear deterministic control of the Fokker-Planck equation. The resulting formula for the cost increment analytically represents a ¿law-feedback¿ control for the diffusion process. This control mechanism enables us to learn time-dependent coefficients for a predefined Markovian control structure using Monte Carlo simulations with a modest population of samples. Numerical experiments prove the vitality of our approach. © The Author(s), under exclusive license to Springer Nature Switzerland AG 2025.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 10