On Minimum-Dispersion Control of Nonlinear Diffusion Processes

• Tipo: Artigo em Livro de Atas de Conferência Internacional
• Data: 2025

Autores

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

Ata de Conferência Internacional

Título: Lecture Notes in Electrical Engineering

Páginas: 129-139

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

Porto, 17 July 2024 through 19 July 2024

Indexação

Scopus - 0 Citações

Outras Informações

ID Authenticus: 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.

Idioma: Inglês

Tipo (Avaliação Docente): Científica

Nº de páginas: 10