Control problem for the impulse process under stochastic optimization procedure and Levy conditions

Abstract

A stochastic approximation procedure and a limit generator of the original problem are constructed for a system of stochastic differential equations with Markov switching and impulse perturbation under Levy approximation conditions with control, which is determined by the condition for the extremum of the quality criterion function.The control problem using the stochastic optimization procedure is a generalization of the control problem with the stochastic approximation procedure, which was studied in previous works of the authors. This generalization is not simple and requires non-trivial approaches to solving the problem. In particular we discuss how the behavior of the boundary process depends on the prelimiting stochastic evolutionary system in the ergodic Markov environment. The main assumption is the condition for uniform ergodicity of the Markov switching process, that is, the existence of a stationary distribution for the switching process over large time intervals. This allows one to construct explicit algorithms for the analysis of the asymptotic behavior of a controlled process. An important property of the generator of the Markov switching process is that the space in which it is defined splits into the direct sum of its zero-subspace and a subspace of values, followed by the introduction of a projector that acts on the subspace of zeros.For the first time, a model of the control problem for the diffusion transfer process using the stochastic optimization procedure for control problem is proposed. A singular expansion in the small parameter of the generator of the three-component Markov process is obtained, and the problem of a singular perturbation with the representation of the limiting generator of this process is solved.

Розробка Сппр Для Моделювання Процесу Інформаційної Боротьби З Внутрішнім Конфліктом

“…В роботах [3], [6], [7] описано стохастичні моделі зі збуреннями та марковськими чи напівмарковськими переключеннями, як ілюстративний приклад проаналізовано модель поширення інформаційної загрози, в працях [4] та [5] розглянуто моделі відповідно розвитку епідемії та антагоністичної моделі інформаційної боротьби з урахуванням впливу випадкового середовища та низки інших факторів.…”