NECESSARY CONDITIONS ON EXISTENCE OF OPTIMAL CONTROL FOR A CLASS OF DISTRIBUTED PARAMETER SYSTEMS——CONTROL IN COEFFICIENTS (Ⅱ)

The necessary conditions of the optimal control for a class of distributed parameter systems are studied in the paper. The systems studied are described by 2nd order uniformly parabolic differential equations and the control is contained in the coefficients of the equations. For the first order cost functional the two necessary conditions are given. After proving the state which is a continuously Fréchet differentiable function of the control, the necessary conditions are also obtained for the quadratic cost functionals. The mentioned results can be used for searching the optimal control.     

A STABILITY THEOREM FOR CONSTRAINED OPTIMAL CONTROL PROBLEMS

This paper presents the stability of difference approximations of an optimal control problem for a quasilinear parabolic equation with controls in the coefficients, boundary conditions and additional restrictions. The optimal control problem has been convered to one of the optimization problem using a penalty function technique. The difference approximations problem for the considered problem is obtained. The estimations of stability of the solution of difference approximations problem are proved. The stability estimation of the solution of difference approximations problem by the controls is obtained.     

TWO OPTIMAL CONTROL PROBLEM OF LINEAR DISCRETE-TIME SYSTEM

In [1] the optimal stochastic control problem of linear discretetime system is discussed when the state noise has no delay. In[2]the optimal stochastic control problem is discussed when the state noise has a delay and the noise is independent of the measurement noise.     

SOLITON SOLUTIONS OF A CLASS OF GENERALIZED NONLINEAR SCHRODINGER EQUATIONS

Soliton solutions of a class of generalized nonlinear evolution equations are discussed ana-lytically and numerically. This is done by using a travelling wave method to formulate one-soliton solution and the finite difference method to the numerical solutions and the interactions betweenthe solitons for the generalized nonlinear Sehrodinger equations. the characteristic behavior of thenonlinearity admintted in the system has been investigated and the soliton states of the system in thelimit when a→Oand a→∞ have been studled. The results presented show that the soliton phe-rtomenon is charaeteristics associated with the nonlinearities of the dynamical systems.     

具有年龄结构的种群线性动力系统的最优收获控制问题

§ 1　Introduction and setting of the problemThe optimal control of age-dependent population dynamics has been intensivelystudied in the last two decades and there is now a vast stock of literature on the topic ofoptimal control problems ofage-structured population dynamics.(see [1 -9] ) .To the bestof our knowledge,the works of Brokate[3,4] are the firstto deal with this topic.Since then,many authors devote to the optimal harvesting problem.In this aspect,we refere to thefundamental papers o…     

MULTIFUNCTION AND ITS APPLICATION

§ 1. Introduction The study of multifunction has been developed extensively with application to mathematics in economics, optimal control, game theory, mathematical programming and decision prooess, etc. Especially, it has been widely used in mathematical economics. Debreu's work Theory of Value is closely related to the method of multifunction which economists called correspondence. Economic equilibrium theory has long been treated by calculus since Walras. Von Neumann's work in 1943 on economic theory has been an initiative to form a'new kind of mathematical method to economic theory and reduced the dependence on calculus. The early development of mathematical economics including the 19th century and even up to the World War Ⅱ was largely in terms of calculus; it was doubtless that th(?)     

A CLASS OF COLLINEAR SCALING ALGORITHMS FOR UNCONSTRAINED OPTIMIZATON

A Class of Collinear Scaling Algorithms for Unconstrained Optimization. An appealing approach to the solution of nonlinear optimization problems based on conic models of the objective function has been in troduced by Davidon (1980). It leads to a broad class of algorithms which can be considered to generalize the existing quasi-Newton methods. One particular member of this class has been deeply discussed by Sorensen (1980), who has proved some interesting theoretical properties. In this paper, we generalize Sorensen's technique to Spedicato three-parameter family of variable-metric updates. Furthermore, we point out that the collinear scaling three- parameter family is essentially equivalent to the Spedicato three-parameter family. In addition, numerical expriments have been carried out to compare some colliner scaling algorithms with a straightforward implementation of the BFGS quasi-Newton method.     

PIECEWISE SMOOTH SOLUTION OF THE FIRST ORDER SEMILINEAR HYPERBOLIC SYSTEMS IN HIGHER SPACE DIMENSION

It is important to study the propagation and interaction of progressing waves of nonlinear equations in the class of piecewise smooth function. However, there has not been many works on that in multidimensional case. In 1985, J, Rauch & M. Reed have provad the existence and uniqueness of piecewise smooth solution for     

TWO OPTIMAL CONTROL PROBLEM OF LINEAR DISCRETE-TIME SYSTEM

In [1] the optimal stochastic control problem of linear discrete-time system is discussed when the state noise has no delay. In[2]the optimal stochastic control problem is discussed when the state noise has a delay and the noise is independent of the measurement noise. The paper composes of two parts. In §1 the stochastic control problem is discussed when the system contains non-stochastic input (the system with the state noise for which mean value is not zero can be transformed into this case) and the state noise is mutually dependent on the measurement noise In §2 the filter and the optimal stochastic control problem is discussed with the Moor-Penrose inverse when the state noise and the measurement noise are one-step correlated. In this paper the optimal control law is given which coincides with the separation principle.     

Delay systems and optimal control

0. IntroductionIt is well known that evolution systems are an important class of distributed parametersystems and the optimal control of infinite dimensional systems is a remarkable subjectin control theory. Some authors including us investigated the existence of solutions orperiodic solutions (see [l--4] or [5,6] ). To the knowledge of the authors, optimal controls fordistributed parameter delay systems have not been extensively studied. Li and Yao obtaina maximum principle (see [7]). Here w…     

一类与半鞅有关的推广型脉冲控制(II)

本文在(Ⅰ)中建立了一类推广型的脉冲控制模型,证明了相应的变分方程解的存在性.本篇首先对(Ⅰ)中的结论进行了强化,进而证明了新模型最佳控制的存在性.分析表明,新模型的最佳控制呈四种形态,这与以前类似模型最佳控制只呈一种形态已有较大差异.本篇的分析方法基本上是新的.     

Mean-field stochastic control with elephant memory in finite and infinite time horizon

ABSTRACT

Our purpose of this paper is to study stochastic control problems for systems driven by mean-field stochastic differential equations with elephant memory, in the sense that the system (like the elephants) never forgets its history. We study both the finite horizon case and the infinite time horizon case.

• In the finite horizon case, results about existence and uniqueness of solutions of such a system are given. Moreover, we prove sufficient as well as necessary stochastic maximum principles for the optimal control of such systems. We apply our results to solve a mean-field linear quadratic control problem.

• For infinite horizon, we derive sufficient and necessary maximum principles.

  As an illustration, we solve an optimal consumption problem from a cash flow modelled by an elephant memory mean-field system.

     

条件平均场随机微分方程的最优控制问题

作者研究了一个条件平均场随机微分方程的最优控制问题.这种方程和某些部分信息下的随机最优控制问题有关,并且可以看做是平均场随机微分方程的推广.作者以庞特里雅金最大值原理的形式给出最优控制满足的必要和充分条件.此外,文中给出一个线性二次最优控制问题来说明理论结果的应用.     

一类具有扩散的奇异型随机控制的非对称平稳模型

该文讨论了一类奇异型随机控制的平稳模型,其费用结构中的函数不限于偶函数,其状态过程为扩散型且具有“非对称的”(关于原点)漂移及扩散系数.因此,奇异型随机控制中的平稳问题被实质性地推广到更一般的形式。该文求得了与此类问题有关的一个变分方程组的解,并且证明了最佳控制的存在性.     

关于带跳的反射扩散过程的随机最优控制问题

研究一类半空间上带泊松跳的反射扩散过程的随机最优控制问题·　得到关于这一控制问题的非线性Nisio半群 ,和联系这一半群的带Neumann边界条件的哈密顿·雅可比·贝尔曼方程·　讨论这一类方程的粘性解的存在唯一性等问题·　证明该控制问题中的价值函数是这一方程的一个粘性解·     

特殊形式的倒向随机微分方程在金融市场中的应用

首先,针对一类线性倒向随机微分方程,给出了g-鞅同鞅之间相互联系所满足的充分条件.通过该条件得到了经典的Black-Scholes模型下未定权益的公平价格过程以及最优增长投资策略的价格过程.其次,引入了带惩罚的非线性倒向随机微分方程,并通过惩罚比率的不同取值来讨论相关的经济学意义.     

A variational formula for controlled backward stochastic partial differential equations and some application

An optimal control problem for a controlled backward stochastic partial differential equation in the abstract evolution form with a Bolza type performance functional is considered. The control domain is not assumed to be convex, and all coefficients of the system are allowed to be random. A variational formula for the functional in a given control process direction is derived, by the Hamiltonian and associated adjoint system. As an application, a global stochastic maximum principle of Pontraygins type for the optimal controls is established.     

Optimal controls for second-order stochastic differential equations driven by mixed-fractional Brownian motion with impulses

We study optimal control problems for a class of second-order stochastic differential equation driven by mixed-fractional Brownian motion with non-instantaneous impulses. By using stochastic analysis theory, strongly continuous cosine family, and a fixed point approach, we establish the existence of mild solutions for the stochastic system. Moreover, the optimal control results are derived without uniqueness of mild solutions of the stochastic system. Finally, the main results are validated with the aid of an example.     

An Infinite-Dimensional Fractional Linear Quadratic Regulator Problem

We consider a controlled linear stochastic infinite-dimensional differential equation with an additive fractional Brownian motion as noise input. An optimal closed-loop control is determined in the case of complete state information and a quadratic goal functional.     

New approach to optimal control of stochastic Volterra integral equations

ABSTRACT

We study optimal control of stochastic Volterra integral equations (SVIE) with jumps by using Hida-Malliavin calculus.

• We give conditions under which there exist unique solutions of such equations.

• Then we prove both a sufficient maximum principle (a verification theorem) and a necessary maximum principle via Hida-Malliavin calculus.

• As an application we solve a problem of optimal consumption from a cash flow modelled by an SVIE.