Русская версия
ISSN 1817-2172, рег. Эл. № ФС77-39410, ВАК

Differential Equations and Control Processes
(Differencialnie Uravnenia i Protsesy Upravlenia)

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The Technique for Accurate and Approximate Synthesis of Optimal Continuous-time Stochastic Control Systems

Author(s):

Konstantin Rybakov

Moscow Aviation Institute (National Research University)

rkoffice@mail.ru

Abstract:

Based on the extension principle the sufficient optimality conditions are formulated to estimate the accuracy of the approximate solution for the optimal control problem with respect to the optimality criterion value for continuous-time stochastic systems. The technique for solving optimal control problems using such conditions is illustrated by the example of finding program control and feedback control for a linear stochastic system.

Keywords

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