Hamilton-Jacobi Equation for Optimal Control of Nonlinear Stochastic Distributed Parameter Systems Applied to Air Pollution Process
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This paper derives Hamilton-Jacobi equation (HJE) in Hilbert space foroptimal control of stochastic distributed parameter systems (SDPSs) governedby partial differential equations (SPDEs) subject to both state-dependent andadditive stochastic disturbances. First, nonlinear SDPSs are transformed tostochastic evolution systems (SESs), which are governed by stochastic ordinarydifferential equations (SODEs) in Hilbert space, using functional analysis.Second, the Hamilton-Jacobi equation (HJE), of which the solution resultsin an optimal control law, is derived. Third, a problem of optimal control oflinear SDPSs, which include the air pollution process, with a quadratic costfunctional is addressed as an application of the HJE. After, the control designis done, the SESs are transformed back to Euclidean space for implementation.
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