Existence and uniqueness results of fully coupled forward-backward stochastic differential equations with an arbitrarily large time duration are obtained. Some stochastic Hamilton systems arising in stochastic optimal control systems and mathematical finance can be treated within our framework.

Let T > 0 fixed. We consider the optimal control problem for analytic affine systems : ẋ = f0(x) + m ∑ i=1 uifi(x), with a cost of the form :

The control strategy to organize the flow of goods is extremely important in managing supply networks. Handling of uncertainty, e.g. customer demand, is often a considerable challenge. We introduce methods of constrained robust optimal control, a technique from control theory, to compute the explicit control strategy for small-sized demand-driven discrete-time controlled dynamical systems with ...

This paper treats the question of output trajectory tracking in nonlinear systems in the presence of uncertainty. It is assumed that the nominal system is decouplable using state variable feedback. An adaptive control law is derived such that in the closed-loop system, output vector asymptotically converges to the given reference trajectory. The controller includes a dynamic system in the feedb...

We consider an existence theorem for controi systems whose state variables for every t are in C, the set of continuous functions varying over a given set L The dependence of the state variables upon a ~ / i s induced by their dependence upon the initial state and the state equation governing the system. In contrast, the control u ---u(t) is taken as a measurable function of t alone. The usual s...

in this paper, we investigated the necessity and effects of optimal control methods in the stability and performance of a micro-grid that operates in islanded mode. the micro-gird is consisted of a combine heat and power (chp), a capacitor bank (cb), photovoltaic panel (pv) as power generation sources. in addition, battery and the building electricity and thermal load are placed on the load sid...

the aim of this paper is to introduce a new approach for obtaining the numerical solution of singulary perturbed boundary value problems based on an optimal control technique. in the proposed method, first the mentioned equations are converted to an optimal control problem. then, control and state variables are approximated by chebychev series. therefore, the optimal control problem is reduced ...

the paper is devoted to solution of some problems in nuclear power station generating unit intellectual control systems using genetic algorithms on the basis of control system model development, optimizations methods of their direct quality indices and improved integral quadratic estimates. some mathematical vector models were obtained for control system multicriterion quality indices with due ...

In this paper, with the aim of estimating internal dynamics matrix of a gimbaled Inertial Navigation system (as a discrete Linear system), the discretetime Hamilton-Jacobi-Bellman (HJB) equation for optimal control has been extracted. Heuristic Dynamic Programming algorithm (HDP) for solving equation has been presented and then a neural network approximation for cost function and control input ...