Avtomatika i Telemekhanika
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor
Guidelines for authors
Submit a manuscript

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Avtomat. i Telemekh.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

Avtomatika i Telemekhanika, 2023, Issue 6, Pages 100–121
DOI: https://doi.org/10.31857/S0005231023060065 (Mi at16178) 		 
This article is cited in 2 scientific papers (total in 2 papers)

Stochastic Systems

Sequential improvement method in probabilistic criteria optimization problems for linear-in-state jump diffusion systems

M. M. Khrustalev, K. A. Tsarkov

Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia
Full-text PDF (581 kB) First page Citations (2)
References:
PDF
HTML
DOI: https://doi.org/10.31857/S0005231023060065
Abstract: Here we study the problems of probabilistic and quantile optimization of multidimensional controllable jump diffusion. As the main tool we use Chebyshev-type probability estimates. With them the problems under consideration are reduced to one auxiliary deterministic optimal control problem in terms of the moment characteristics of the process. To find its solution, we use Krotov's global improvement method.
Keywords: probabilistic criterion, quantile optimization, jump diffusion, Krotov method.
Funding agency Grant number
Russian Science Foundation 22-11-00042
Presented by the member of Editorial Board: A. I. Kibzun

Received: 15.12.2022
Revised: 03.04.2023
Accepted: 19.04.2023
English version:
Automation and Remote Control, 2023, Volume 84, Issue 6, Pages 626–640
DOI: https://doi.org/10.1134/S0005117923060061
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: M. M. Khrustalev, K. A. Tsarkov, “Sequential improvement method in probabilistic criteria optimization problems for linear-in-state jump diffusion systems”, Avtomat. i Telemekh., 2023, no. 6, 100–121; Autom. Remote Control, 84:6 (2023), 626–640
Citation in format AMSBIB
\Bibitem{KhrTsa23}
\by M.~M.~Khrustalev, K.~A.~Tsarkov
\paper Sequential improvement method in probabilistic criteria optimization problems for linear-in-state jump diffusion systems
\jour Avtomat. i Telemekh.
\yr 2023
\issue 6
\pages 100--121
\mathnet{http://mi.mathnet.ru/at16178}
\crossref{https://doi.org/10.31857/S0005231023060065}
\edn{https://elibrary.ru/CSKLTC}
\transl
\jour Autom. Remote Control
\yr 2023
\vol 84
\issue 6
\pages 626--640
\crossref{https://doi.org/10.1134/S0005117923060061}
Linking options:
  • https://www.mathnet.ru/eng/at16178
  • https://www.mathnet.ru/eng/at/y2023/i6/p100
    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Avtomatika i Telemekhanika
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2025