OPTIMAL PROGRAM CONTROL IN A PROBLEM WITH ISOPERIMETRIC TYPE CONSTRAINTS

Khrychev D. A., Vinogradova A. N.

The work is devoted to the construction of optimal program control of a stochastic dynamic system containing a random parameter, in the presence of an isoperimetric type constraint. The solution is based on the method of discretization of the distribution of random parameters, the essence of which consists in approximating the original stochastic problem with deterministic optimal control problems obtained as a result of replacing the random parameters of the original problem with discrete random variables converging to these parameters according to the distribution. Deterministic problems, in turn, are solved using known standard methods, both analytical and numerical. The results obtained for different distributions of the random parameter are compared in terms of the rate of convergence of solutions of approximate deterministic problems and the behavior of optimal control functions.

Keywords:optimal control, program control, distribution discretization method.