Hits:

Indexed by:期刊论文

Date of Publication:2008-03-01

Journal:JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

Included Journals:SCIE、EI

Volume:212

Issue:2

Page Number:419-430

ISSN No.:0377-0427

Key Words:horizontal well; stochastic differential equation; optimal control; nonlinear programming; Hooke-Jeeves algorithm

Abstract:This paper presents a nonlinear, multi-phase and stochastic dynamical system according to engineering background. We show that the stochastic dynamical system exists a unique solution for every initial state. A stochastic optimal control model is constructed and the sufficient and necessary conditions for optimality are proved via dynamic programming principle. This model can be converted into a parametric nonlinear stochastic programming by integrating the state equation. It is discussed here that the local optimal solution depends in a continuous way on the parameters. A revised Hooke-Jeeves algorithm based on this property has been developed. Computer simulation is used for this paper, and the numerical results illustrate the validity and efficiency of the algorithm. (C) 2007 Elsevier B.V. All rights reserved.