Article ID Journal Published Year Pages File Type
4642431 Journal of Computational and Applied Mathematics 2008 12 Pages PDF
Abstract

This paper presents a nonlinear, multi-phase and stochastic dynamical system according to engineering background. We show that the stochastic dynamical system exists a unique solution for every initial state. A stochastic optimal control model is constructed and the sufficient and necessary conditions for optimality are proved via dynamic programming principle. This model can be converted into a parametric nonlinear stochastic programming by integrating the state equation. It is discussed here that the local optimal solution depends in a continuous way on the parameters. A revised Hooke–Jeeves algorithm based on this property has been developed. Computer simulation is used for this paper, and the numerical results illustrate the validity and efficiency of the algorithm.

Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
Authors
, , ,