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论文类型：期刊论文
发表时间：2008-03-01
发表刊物：JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
收录刊物：SCIE、EI
卷号：212
期号：2
页面范围：419-430
ISSN号：0377-0427
关键字：horizontal well; stochastic differential equation; optimal control; nonlinear programming; Hooke-Jeeves algorithm
摘要：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.