SYNTHESIS OF SUBOPTIMAL CONTROL OF STOCHASTIC-SYSTEMS USING A PROGNOSING MODEL

The problem of controlling a stochastic system subject to the criterio n that a generalized performance functional should be a minimum [I] is considered. A method is proposed for solving the problem, based on an optimal control algorithm with a prognosing model [I] and on the meth od of integral support curves for solving the Cauchy problem for ordin ary differential equations [2-4]. The controls are synthesized in anal ytic form. Copyright (C) 1996 Elsevier Science Ltd.