Optimal control for uncertain random continuous-time systems

Chance theory is a useful tool to deal with the analysis of indeterminacy, including both uncertainty and randomness. Based on chance theory, an optimal control for uncertain random continuous-time systems is introduced to design dynamic optimization problems. Applying the method of dynamic programm...

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Bibliographic Details
Published inOptimization Vol. 72; no. 6; pp. 1385 - 1428
Main Authors Chen, Xin, Zhu, Yuanguo, Li, Bo
Format Journal Article
LanguageEnglish
Published Philadelphia Taylor & Francis 03.06.2023
Taylor & Francis LLC
Subjects
chance theory
Continuous time systems
Control systems
Design optimization
Dynamic programming
dynamic programming method
Optimal control
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Summary:Chance theory is a useful tool to deal with the analysis of indeterminacy, including both uncertainty and randomness. Based on chance theory, an optimal control for uncertain random continuous-time systems is introduced to design dynamic optimization problems. Applying the method of dynamic programming, the principle of optimality is presented and then the equation of optimality is provided to solve the proposed problem. Meanwhile, three special cases of optimal control problems are discussed by using the equation obtained. Finally, a numerical example and an optimal cash balance problem are given to show the effectiveness of the results achieved.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
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content type line 14
ISSN:0233-1934
1029-4945
DOI:10.1080/02331934.2021.2017429