scholarly journals A Fokker–Planck control framework for multidimensional stochastic processes

2013 ◽  
Vol 237 (1) ◽  
pp. 487-507 ◽  
Author(s):  
M. Annunziato ◽  
A. Borzì
Keyword(s):  
Stochastic Processes ◽  
Control Framework ◽  
Fokker Planck

A Fokker–Planck control framework for stochastic systems

2018 ◽  
Vol 5 (1) ◽  
pp. 65-98 ◽  
Author(s):  
Mario Annunziato ◽  
Alfio Borzi
Keyword(s):  
Stochastic Systems ◽  
Control Framework ◽  
Fokker Planck

scholarly journals OPTIMAL CONTROL OF PROBABILITY DENSITY FUNCTIONS OF STOCHASTIC PROCESSES

2010 ◽  
Vol 15 (4) ◽  
pp. 393-407 ◽  
Author(s):  
Mario Annunziato ◽  
Alfio Borzì
Keyword(s):  
Optimal Control ◽  
Stochastic Processes ◽  
Probability Density ◽  
Control Strategy ◽  
Time Windows ◽  
Probability Density Functions ◽  
Density Functions ◽  
Optimal Control Strategy ◽  
Control Laws ◽  
Fokker Planck

A Fokker‐Planck framework for the formulation of an optimal control strategy of stochastic processes is presented. Within this strategy, the control objectives are defined based on the probability density functions of the stochastic processes. The optimal control is obtained as the minimizer of the objective under the constraint given by the Fokker‐Planck model. Representative stochastic processes are considered with different control laws and with the purpose of attaining a final target configuration or tracking a desired trajectory. In this latter case, a receding‐horizon algorithm over a sequence of time windows is implemented.

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