Публікація: Stochastic Optimal Control of a Descriptor System
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Дата
2020
Назва журналу
ISSN журналу
Назва тома
Видавництво
Springer Science and Business Media LLC
Анотація
We study the optimal control problem for a descriptor system whose evolution is
described by Ito’s differential-algebraic equation. The quadratic cost functional is considered. The
main constraint is that the characteristic matrix pencil corresponding to the equation is regular.
We establish the conditions for the existence and uniqueness of the optimal control and the
corresponding optimal state. The results are illustrated on an example of a descriptor system that
describes transient states in a radio engineering filter with random perturbations in the form
of white noise.
Опис
Ключові слова
stochastic differential algebraic equation, Wiener random process, quadratic cost functional, stochastic optimal control, radio engineering filter, transient state
Бібліографічний опис
Stochastic Optimal Control of a Descriptor System / L. A. Vlasenko, A. G. Rutkas, V. V. Semenets, A. A. Chikrii. // Cybernetics and Systems Analysis. – 2020. – №2. – С. 204–212.