A. Tevyashev, O. Matviyenko
Abstract. A new class of the problems of optimal stochastic control of hybrid dynamical systems different from well-known ones by the introduction of additional extreme and probabilistic constraints on the phase variables is studied in the present work. The mathematical formulation and approximate method of solution of the examined class of the problems are presented in this work. The effectiveness of the use of this class of the problems is illustrated on the example of one of the largest water main of Ukraine.
Key words: optimal stochastic control, hybrid dynamical systems, probabilistic constraints on the phase variables, water main.