A stochastic minimax optimal control strategy for uncertain quasi-Hamiltonian systems is proposed based on the stochastic averaging method, stochastic maximum principle and stochastic differential game theory. First, the partially completed averaged Itô stochastic differential equations are derived from a given system by using the stochastic averaging method for quasi-Hamiltonian systems with u...

The classical fluctuation-dissipation theorem predicts the average response of a dynamical system to an external deterministic perturbation via time-lagged statistical correlation functions of the corresponding unperturbed system. In this work we develop a fluctuation-response theory and test a computational framework for the leading order response of statistical averages of a deterministic or ...

This paper presents a new state-space self-tuning control scheme for adaptive digital control of continuous multivariable nonlinear stochastic hybrid systems with input saturation. Here, the continuous nonlinear stochastic system is assumed to have unknown system parameters, system and measurement noises, and inaccessible system states. The proposed method enables the development of a digitally...

We assess the predictive capabilities of various classes of avalanche models for solar flares. We demonstrate that avalanche models cannot generally be used to predict specific events due to their high sensitivity to their embedded stochastic process. We show that deterministically driven models can nevertheless alleviate this caveat and be efficiently used for large events predictions. Our res...

This paper addresses an autonomous stochastic system with delay and associated fuzzy and hybrid models, which describe a monetary system involving interest rate, investment demand and price index. We analyze the deterministic model and the stochastic model with perturbation. For the stochastic system with delay we identify the differential equations for the mean values as well as for the mean s...

Container ports have been faced under increasing development during last 10 years. In such systems, the container transportation system has the most important effect on the total system. Therefore, there is a continuous need for the optimal use of equipment and facilities in the ports. Regarding the several complicated structure and activities in container ports, this paper evaluates and compar...

1. Discrete-Event Stochastic Systems Recall our previous definition of a discrete-event stochastic system: the system makes stochastic state transitions only at an increasing sequence of random times. If X(t) is the state of the system at time t, then a typical sample path of the underlying stochastic process of the simulation, i.e. (X(t): t ≥ 0), looks like this (for a finite or countably infi...

This paper discusses the optimal preview control problem for a class of linear continuous stochastic control systems in the infinite horizon, based on the augmented error system method. Firstly, an assistant system is designed and the state equation is translated to the assistant system.Then, an integrator is introduced to construct a stochastic augmented error system. As a result, the tracking...

under the smart grid environments, demand response resources (drrs) as power system resources can effectively participate in and improve performance of electric systems. congestion management is one of the technical challenges in which drrs can play a significant role. previously, congestion management is applied without considering the power system uncertainties. therefore, a stochastic conges...

This paper is concerned with existence and optimality properties of so-called guaranteed cost controllers for an uncertain system subject to structured uncertainty. The uncertainty in the system is assumed to have a stochastic character and to satisfy certain stochastic integral constraints. It is shown that a minimax optimal guaranteed cost state feedback controller for a stochastic system can...