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

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
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References:

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[5] The R Project for Statistical Computing
[6] RStudio
[7] Package “dfoptim”
[8] Package “Rcgmin”
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