{"title":"THE MINIMIZATION OF THE MEAN SQUARE OF THE DEVIATION OF A RANDOM SIGNAL FROM A GIVEN TARGET","authors":"V. Drăgan, I. Ivanov","doi":"10.56082/annalsarscimath.2022.1-2.195","DOIUrl":null,"url":null,"abstract":"In this paper we consider the problem of minimization of the mean square value of the deviation of a random signal z(tf ) from a given target ζ. The random signal z(tf ) represents the value at instant time tf of an output of a controlled dynamical system described by an Itˆo differential equation. Both the case when the set of admissible controls consist of general nonanticipative stochastic processes and the case when only piecewise constant controls are available are analyzed. We show that in both cases the optimal controls are in affine state feedback forms. Explicit formulae of the gain matrices of the optimal controls are provided.","PeriodicalId":38807,"journal":{"name":"Annals of the Academy of Romanian Scientists: Series on Mathematics and its Applications","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Annals of the Academy of Romanian Scientists: Series on Mathematics and its Applications","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.56082/annalsarscimath.2022.1-2.195","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"Mathematics","Score":null,"Total":0}
引用次数: 2
Abstract
In this paper we consider the problem of minimization of the mean square value of the deviation of a random signal z(tf ) from a given target ζ. The random signal z(tf ) represents the value at instant time tf of an output of a controlled dynamical system described by an Itˆo differential equation. Both the case when the set of admissible controls consist of general nonanticipative stochastic processes and the case when only piecewise constant controls are available are analyzed. We show that in both cases the optimal controls are in affine state feedback forms. Explicit formulae of the gain matrices of the optimal controls are provided.
期刊介绍：
The journal Mathematics and Its Applications is part of the Annals of the Academy of Romanian Scientists (ARS), in which several series are published. Although the Academy is almost one century old, due to the historical conditions after WW2 in Eastern Europe, it is just starting with 2006 that the Annals are published. The Editor-in-Chief of the Annals is the President of ARS, Prof. Dr. V. Candea and Academician A.E. Sandulescu (†) is his deputy for this domain. Mathematics and Its Applications invites publication of contributed papers, short notes, survey articles and reviews, with a novel and correct content, in any area of mathematics and its applications. Short notes are published with priority on the recommendation of one of the members of the Editorial Board and should be 3-6 pages long. They may not include proofs, but supplementary materials supporting all the statements are required and will be archivated. The authors are encouraged to publish the extended version of the short note, elsewhere. All received articles will be submitted to a blind peer review process. Mathematics and Its Applications has an Open Access policy: all content is freely available without charge to the user or his/her institution. Users are allowed to read, download, copy, distribute, print, search, or link to the full texts of the articles in this journal without asking prior permission from the publisher or the author. No submission or processing fees are required. Targeted topics include : Ordinary and partial differential equations Optimization, optimal control and design Numerical Analysis and scientific computing Algebraic, topological and differential structures Probability and statistics Algebraic and differential geometry Mathematical modelling in mechanics and engineering sciences Mathematical economy and game theory Mathematical physics and applications.
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