scholarly journals Analysis of one class of optimal control problems for distributed-parameter systems

2021 ◽  
Vol 5 (4 (113)) ◽  
pp. 26-33
Author(s):  
Kamil Mamtiyev ◽  
Tarana Aliyeva ◽  
Ulviyya Rzayeva
Keyword(s):  
Differential Equation ◽  
Ordinary Differential Equation ◽  
Optimal Control ◽  
Approximate Solution ◽  
Boundary Conditions ◽  
Optimal Control Problems ◽  
Control Problems ◽  
Method Of Straight Lines ◽  
The Right ◽  
Straight Lines

In the paper, the method of straight lines approximately solves one class of optimal control problems for systems, the behavior of which is described by a nonlinear equation of parabolic type and a set of ordinary differential equations. Control is carried out using distributed and lumped parameters. Distributed control is included in the partial differential equation, and lumped controls are contained both in the boundary conditions and in the right-hand side of the ordinary differential equation. The convergence of the solutions of the approximating boundary value problem to the solution of the original one is proved when the step of the grid of straight lines tends to zero, and on the basis of this fact, the convergence of the approximate solution of the approximating optimal problem with respect to the functional is established. A constructive scheme for constructing an optimal control by a minimizing sequence of controls is proposed. The control of the process in the approximate solution of a class of optimization problems is carried out on the basis of the Pontryagin maximum principle using the method of straight lines. For the numerical solution of the problem, a gradient projection scheme with a special choice of step is used, this gives a converging sequence in the control space. The numerical solution of one variational problem of the mentioned type related to a one-dimensional heat conduction equation with boundary conditions of the second kind is presented. An inequality-type constraint is imposed on the control function entering the right-hand side of the ordinary differential equation. The numerical results obtained on the basis of the compiled computer program are presented in the form of tables and figures. The described numerical method gives a sufficiently accurate solution in a short time and does not show a tendency to «dispersion». With an increase in the number of iterations, the value of the functional monotonically tends to zero

scholarly journals Representation of the Solution of Goursat Problem for Second Order Linear Stochastic Hyperbolic Differential Equations

2021 ◽  
Vol 36 ◽  
pp. 29-43
Author(s):  
K.B. Mansimov ◽  
◽  
R.O. Mastaliyev ◽  
◽  
Keyword(s):  
Optimal Control ◽  
Differential Equations ◽  
Boundary Conditions ◽  
Optimal Control Problems ◽  
Goursat Problem ◽  
Second Order ◽  
Hyperbolic Type ◽  
Control Problems ◽  
Riemann Matrix ◽  
The Right

The article considers second-order system of linear stochastic partial differential equations of hyperbolic type with Goursat boundary conditions. Earlier, in a number of papers, representations of the solution Goursat problem for linear stochastic equations of hyperbolic type in the classical way under the assumption of sufficient smoothness of the coefficients of the terms included in the right-hand side of the equation were obtained. Meanwhile, study of many stochastic applied optimal control problems described by linear or nonlinear second-order stochastic differential equations, in partial derivatives hyperbolic type, the assumptions of sufficient smoothness of these equations are not natural. Proceeding from this, in the considered Goursat problem, in contrast to the known works, the smoothness of the coefficients of the terms in the right-hand side of the equation is not assumed. They are considered only measurable and bounded matrix functions. These assumptions, being natural, allow us to further investigate a wide class of optimal control problems described by systems of second-order stochastic hyperbolic equations. In this work, a stochastic analogue of the Riemann matrix is introduced, an integral representation of the solution of considered boundary value problem in explicit form through the boundary conditions is obtained. An analogue of the Riemann matrix was introduced as a solution of a two-dimensional matrix integral equation of the Volterra type with one-dimensional terms, a number of properties of an analogue of the Riemann matrix were studied.

scholarly journals A Novel High Dimensional Fitted Scheme for Stochastic Optimal Control Problems

2021 ◽  
Author(s):  
Christelle Dleuna Nyoumbi ◽  
Antoine Tambue
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Optimal Control ◽  
Finite Difference Method ◽  
Stochastic Optimal Control ◽  
Optimal Control Problems ◽  
Hjb Equation ◽  
High Dimensional ◽  
Control Problems ◽  
Volume Method

AbstractStochastic optimal principle leads to the resolution of a partial differential equation (PDE), namely the Hamilton–Jacobi–Bellman (HJB) equation. In general, this equation cannot be solved analytically, thus numerical algorithms are the only tools to provide accurate approximations. The aims of this paper is to introduce a novel fitted finite volume method to solve high dimensional degenerated HJB equation from stochastic optimal control problems in high dimension ($$ n\ge 3$$ n ≥ 3 ). The challenge here is due to the nature of our HJB equation which is a degenerated second-order partial differential equation coupled with an optimization problem. For such problems, standard scheme such as finite difference method losses its monotonicity and therefore the convergence toward the viscosity solution may not be guarantee. We discretize the HJB equation using the fitted finite volume method, well known to tackle degenerated PDEs, while the time discretisation is performed using the Implicit Euler scheme.. We show that matrices resulting from spatial discretization and temporal discretization are M-matrices. Numerical results in finance demonstrating the accuracy of the proposed numerical method comparing to the standard finite difference method are provided.

Sign in / Sign up

Export Citation Format

Share Document