Abstract
We consider a generalization of processes with disorder, namely processes with a vector disorder. For these problems, we consider a class of optimal control problems that do not detect the disorder. We propose a computational method for solving control problems on a finite time interval and with an objective functional defined at the end of the interval, based on the use of the martingale technique. We consider a computational experiment for a model with two barriers and two stopping times.
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This work was financially supported by the Russian Science Foundation, project no. 17-19-01038.
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Russian Text © The Author(s), 2019, published in Avtomatika i Telemekhanika, 2019, No. 8, pp. 64–75.
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Belyavskii, G.I., Danilova, N.V. & Zemlyakova, I.A. Optimal Control Problems with Disorder. Autom Remote Control 80, 1419–1427 (2019). https://doi.org/10.1134/S0005117919080046
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DOI: https://doi.org/10.1134/S0005117919080046