Optimal Control with Fuzzy Chance Constraints

Document Type: Research Paper


1 Department of Mathematics, Payame Noor University, Tehran, Iran and Department of Mathematics, Faculty of Technology, Olum Entezami University, Tehran, Iran

2 Department of Mathematics, Payame Noor University, Mashhad, Iran


In this paper, a model of an optimal control problem with chance constraints is introduced. The parameters
of the constraints are fuzzy, random or fuzzy random variables. To
defuzzify the constraints, we consider possibility levels.  By
chance-constrained programming the chance constraints are converted to crisp constraints which are neither fuzzy nor stochastic and then the resulting classical optimal
control problem with crisp constraints is solved by the
Pontryagin Minimum Principle and Kuhn-Tucker conditions. The model
is   illustrated by two numerical examples.


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