{"title":"线性状态跳跃扩散系统概率准则优化问题的序列改进方法","authors":"M. M. Khrustalev, K. A. Tsarkov","doi":"10.1134/S0005117923060061","DOIUrl":null,"url":null,"abstract":"<p>Here we study the problems of probabilistic and quantile optimization of multidimensional controllable jump diffusion. As the main tool we use Chebyshev-type probability estimates. With them the problems under consideration are reduced to one auxiliary deterministic optimal control problem in terms of the moment characteristics of the process. To find its solution, we use Krotov’s global improvement method.</p>","PeriodicalId":55411,"journal":{"name":"Automation and Remote Control","volume":null,"pages":null},"PeriodicalIF":0.6000,"publicationDate":"2023-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Sequential Improvement Method in Probabilistic Criteria Optimization Problems for Linear-in-State Jump Diffusion Systems\",\"authors\":\"M. M. Khrustalev, K. A. Tsarkov\",\"doi\":\"10.1134/S0005117923060061\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>Here we study the problems of probabilistic and quantile optimization of multidimensional controllable jump diffusion. As the main tool we use Chebyshev-type probability estimates. With them the problems under consideration are reduced to one auxiliary deterministic optimal control problem in terms of the moment characteristics of the process. To find its solution, we use Krotov’s global improvement method.</p>\",\"PeriodicalId\":55411,\"journal\":{\"name\":\"Automation and Remote Control\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.6000,\"publicationDate\":\"2023-10-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Automation and Remote Control\",\"FirstCategoryId\":\"94\",\"ListUrlMain\":\"https://link.springer.com/article/10.1134/S0005117923060061\",\"RegionNum\":4,\"RegionCategory\":\"计算机科学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"AUTOMATION & CONTROL SYSTEMS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Automation and Remote Control","FirstCategoryId":"94","ListUrlMain":"https://link.springer.com/article/10.1134/S0005117923060061","RegionNum":4,"RegionCategory":"计算机科学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"AUTOMATION & CONTROL SYSTEMS","Score":null,"Total":0}
Sequential Improvement Method in Probabilistic Criteria Optimization Problems for Linear-in-State Jump Diffusion Systems
Here we study the problems of probabilistic and quantile optimization of multidimensional controllable jump diffusion. As the main tool we use Chebyshev-type probability estimates. With them the problems under consideration are reduced to one auxiliary deterministic optimal control problem in terms of the moment characteristics of the process. To find its solution, we use Krotov’s global improvement method.
期刊介绍：
Automation and Remote Control is one of the first journals on control theory. The scope of the journal is control theory problems and applications. The journal publishes reviews, original articles, and short communications (deterministic, stochastic, adaptive, and robust formulations) and its applications (computer control, components and instruments, process control, social and economy control, etc.).
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