On the numerical solution of two coupled nonlinear partial integro-differential equations related to the optimal control of a nonlinear noisy oscillator |
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| Authors: | Menahem Friedman Yaakov Yavin |
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| Affiliation: | Nuclear Research Center, P.O.B. 9001, Beer-Sheva, Israel;Dept. of Electrical Engineering, Ben-Gurion University, Beer-Sheva, Israel |
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| Abstract: | This paper deals with the optimal control of a nonlinear stochastic thrid-order oscillator. It is shown that, in order to implement the optimal feedback control law, a set of two coupled nonlinear partial integro-differential equations has to be solved. A finite difference algorithm for the solution of these equations is proposed, and its efficiency and applicability are demonstrated with examples. |
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