The algorithms for solving vector entropy control problem, comparative analysis. (English) Zbl 1499.60004

Gevorgyan, G. G.

J. Comput. Eng. Math. 5, No. 3, 75-79 (2018).

Summary: The algorithms for solving the vector entropy control problem for Gaussian stochastic systems are considered in the article. To solve a nonlinear optimization problem for a conditional extremum, the method of penalty functions with unconditional optimization methods of various-orders is considered. A set of problem-oriented programs has been developed that implements the proposed algorithms. A comparative analysis of the computational efficiency of the proposed algorithms is performed based on Monte Carlo statistical simulation methods and simulation modeling.

MSC:

60-08	Computational methods for problems pertaining to probability theory
90C90	Applications of mathematical programming
93E03	Stochastic systems in control theory (general)
94A17	Measures of information, entropy

Keywords:

differential entropy; Gaussian stochastic system; vector entropy control; nonlinear optimization

References:

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