Vasile Dragan, Ivan G. Ivanov†
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 . The random signal z(tf) represents the value at instant time tf of an output of a controlled dynamical system described by an Ito di erential 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 a ne state feedback forms. Explicit formulae of the gain matrices of the optimal controls are provided.
MSC: 93E20, 93C57, 49N10.
keywords: optimal control model, Ito differential equation, piecewise constant controls, sampled-data system.
DOI 10.56082/annalsarscimath.2021.1-2.195
†vasile.dragan@imar.ro Institute of Mathematics Simion Stoilow of the Romanian Academy, Bucharest, Romania; Academy of the Romanian Scientists, Romania
i_ivanov@feb.uni-sofia.bg So a University St. Kl. Ohridski , 1113 So a, Bulgaria
PUBLISHED in Annals Academy of Romanian Scientists Series on Mathematics and Its Application, Volume 13 no 1-2, 2021
