THE ALGORITHMS FOR SOLVING VECTOR ENTROPY CONTROL PROBLEM, COMPARATIVE ANALYSIS

Abstract

The algorithms for solving the vector entropy control problem for Gaussian stochastic systems are considered in the article. To solve a nonlinear ptimization 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.