Optimal Control Via Self-Generated Stochasticity

The problem of global maxima of functionals has been examined. Mathematical roots of local maxima are the same as those for a much simpler problem of finding global maximum of a multi-dimensional function. The second problem is instability — even if an optimal trajectory is found, there is no guarantee that it is stable. As a result, a fundamentally new approach is introduced to optimal control based upon two new ideas.The first idea is to represent the functional to be maximized as a limit of a probability density governed by the appropriately selected Liouville equation. Then, the corresponding ordinary differential equations (ODEs) become stochastic, and that sample of the solution that has the largest value will have the highest probability to appear in ODE simulation. The main advantages of the stochastic approach are that it is not sensitive to local maxima, the function to be maximized must be only integrable but not necessarily differentiable, and global equality and inequality constraints do not cause any significant obstacles.