Synthesis of optimal nonlinear stochastic control systems by the spectral method

A new method based on the spectral form of mathematical description for finding the optimal control with incomplete information about state for nonlinear stochastic systems is considered. The paper contains expressions for determining the optimal control using the spectral form of mathematical description. An algorithm for synthesizing the optimal control with incomplete information is developed; its efficiency is demonstrated by solving a model problem of synthesizing the optimal control for two-dimensional stochastic system under various information conditions.