OPTIMAL CONTROL OF STOCHASTIC NONLINEAR SYSTEMS

Abstract

In thio r i000rtation tho problom oS o-4i, 1 control for atochootic nonli soar oyotora is Iiocuoaod. In particuular* procoduzoc for tho dotcrr ination of tho optimal control for diooroto-timo nonlinear stoohaotic optimal control aya tcn oro evolved. In thio OOXZAQOtiOn, tho laan lin cx filtorinG theory and ito oz tonoion to nonlinear' £,iltorini b r the r othoa of linos cation and no t rod of tno tiOZfonto i o oaamino -3. 1}o dual p so lea for 4ioosote-timo.nonllnoar otoobootic optimal control oyetou to posed and i hod of linoarication and mothod of too momonto to applied. I pr'oaaiono for the conotzuctton of optimal , oantrol at each otato Oro developed nine an approach oiuilar to the Do lnen4 o Drncraic 2roranzitn, Thr root.to obtained while uoinj;; Qothod of 11nooriaation aro similar, co onpoctod, to th000 for diooroto-timagl.inooi', otochooti.c optimal control. Tho cotiputcvttonal dig icni-tioo facod while using tho mothod of trio mom nta Oro dioow ood. Tho procoduroo are i1 .uotratod with tho holj of an o cpla. Como our; ootiono for further mock on problcao urioinG out of thic cork are also Given.