Method of limit differential equations for nonautonomous discontinuous systems

For nonautonomous differential equations with discontinuous right-hand sides solvable in the sense of Filippov, an analogue of LaSalle’s invariance principle is proved by using Lyapunov functions with derivatives of constant sign. The specifics of the construction of the corresponding limit differential inclusions is taken into account.     

Optimal control of linear stochastic systems described by functional differential equations

The optimal control is determined for a class of systems by assuming the configuration of the feedback loop. The feedback loop consists of an unbiased estimator and controller. The gain matrices of the estimator and the controller are so determined that the mean-squared estimation error and the average value of a quadratic cost functional, respectively, are minimized. This is accomplished by the application of the matrix maximum principle to a distributed parameter system. The results indicate that the optimal estimation and the optimal control can be computed independently (separation principle).This work was supported in part by the Air Force Office of Scientific Research, Grant No. 69-1776.     

Optimal control with impulsive component for systems described by implicit parabolic operator differential equations

We study the problem of optimal control with impulsive component for systems described by abstract Sobolev-type differential equations with unbounded operator coefficients in Hilbert spaces. The operator coefficient of the time derivative may be noninvertible. The main assumption is a restriction imposed on the resolvent of the characteristic operator pencil in a certain right half plane. Applications to Sobolevtype partial differential equations are discussed.     

Optimal control of stochastic differential equations with dynamical boundary conditions

In this paper we investigate the optimal control problem for a class of stochastic Cauchy evolution problems with nonstandard boundary dynamic and control. The model is composed by an infinite dimensional dynamical system coupled with a finite dimensional dynamics, which describes the boundary conditions of the internal system. In other terms, we are concerned with nonstandard boundary conditions, as the value at the boundary is governed by a different stochastic differential equation.     

Optimal control of stochastic functional differential equations with a bounded memory

This paper treats a finite time horizon optimal control problem in which the controlled state dynamics are governed by a general system of stochastic functional differential equations with a bounded memory. An infinite dimensional Hamilton–Jacobi–Bellman (HJB) equation is derived using a Bellman-type dynamic programming principle. It is shown that the value function is the unique viscosity solution of the HJB equation.     

First order linear partial differential equations with discontinuous coefficients

Summary Si dà un teorema di esistenza e di unicità di soluzione generalizzata per il problema di Cauchy relativo all'equazione . Le ipotesi fatte sui coefficienti a_i(t, x) permettono discontinuità di tipo molto generale, purchè sia soddisfatta una certa «condizione di trasversalità» tra le caratteristiche dell'equazione e le discontinuità del campo di vettori che le definisce.     

Reflected backward doubly stochastic differential equations with discontinuous coefficients

In this paper, we study one-dimensional reflected backward doubly stochastic differential equations (RBDSDEs) with one continuous barrier and discontinuous (left or right continuous) generator. We obtain an existence theorem and a comparison theorem for solutions of the class of RBDSDEs.     

Difference methods for stochastic differential equations with discontinuous coefficients

In this paper it is proved that the solution of the stochastic (vector)-differential equation dx(t) = a(t,x(t))dt + b(t,x(t)) dw(t) can be approximated in a weak sense (convergence of distributions) by the Euler method x$sub:n + l$esub:=x$sub:n$esub: + a(t$sub:n$esub:,x$sub:n$esub:)ßt + b(t$sub:n$esub:,x$sub:n$esub:)w$sub:n$esub:, where the w$sub:n$esub:are independent, normally distributed random variables with mean zero and variance ßt, if the coefficients are Lipschitz-continuous outside of a finite set of switching curves and b is a uniformly positive definite matrix.     

Optimal control problems for semilinear non-well-posed parabolic differential equations

This paper deals with necessary conditions for optimal control problem governed by some semilinear parabolic differential equation which may be non-well-posed. State constrained problem is considered. Finally, under some suitable assumptions, we obtain the existence of optimal pairs.     

A regularization for discontinuous differential equations with application to state-dependent delay differential equations of neutral type

We consider a regularization for a class of discontinuous differential equations arising in the study of neutral delay differential equations with state dependent delays. For such equations the possible discontinuity in the derivative of the solution at the initial point may propagate along the integration interval giving rise to so-called “breaking points”, where the solution derivative is again discontinuous. Consequently, the problem of continuing the solution in a right neighborhood of a breaking point is equivalent to a Cauchy problem for an ode with a discontinuous right-hand side (see e.g. Bellen et al., 2009 [4]). Therefore a classical solution may cease to exist.The regularization is based on the replacement of the vector-field with its time average over an interval of length ε>0. The regularized solution converges as ε→⁰⁺ to the classical Filippov solution (Filippov, 1964, 1988 [13] and [14]). Several properties of the solutions corresponding to small ε>0 are presented.     

Optimal control problem described by impulsive differential equations with nonlocal boundary conditions

We study an optimal control problem in which the plant state is described by impulsive differential equations with nonlocal boundary conditions. By using the contraction mapping principle, we prove the existence and uniqueness of a solution of the nonlocal impulsive boundary value problem for given feasible controls. We compute the first and second variations of the performance functional and use them to obtain various necessary second-order optimality conditions.     

Optimal approximation of stochastic differential equations by adaptive step-size control

We study the pathwise (strong) approximation of scalar stochastic differential equations with respect to the global error in the -norm. For equations with additive noise we establish a sharp lower error bound in the class of arbitrary methods that use a fixed number of observations of the driving Brownian motion. As a consequence, higher order methods do not exist if the global error is analyzed. We introduce an adaptive step-size control for the Euler scheme which performs asymptotically optimally. In particular, the new method is more efficient than an equidistant discretization. This superiority is confirmed in simulation experiments for equations with additive noise, as well as for general scalar equations.

     

Optimal control for systems described by hyperbolic equations with strong nonlinearity

An optimization control problem for a hyperbolic equation is considered. The system is nonlinear with respect to the state derivative. The regularization technique for the state equation is applied. The necessary conditions of optimality for the regularized control problem are proved. It uses the extended differentiability of the control-state mapping for the regularized equation. The convergence of the regularization method is proved. Thus the optimal control for the regularized problem with a small enough regularization parameter can be chosen as an approximate solution of the initial optimization problem.