Displaying similar documents to “The optimal control of linear system with random stationary perturbations”

Asymptotic properties and optimization of some non-Markovian stochastic processes

Evgueni I. Gordienko, Antonio Garcia, Juan Ruiz de Chavez (2009)

Kybernetika

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We study the limit behavior of certain classes of dependent random sequences (processes) which do not possess the Markov property. Assuming these processes depend on a control parameter we show that the optimization of the control can be reduced to a problem of nonlinear optimization. Under certain hypotheses we establish the stability of such optimization problems.