Optimality conditions in a stochastic optimal control problem of integro-differential systems

被引：0
|
作者：
Mastaliyev, Rashad O. [1 ]
Alesgerova, Khayala H. [2 ]
机构：
[1] Azerbaijan Univ, Inst Control Syst, Minist Sci & Educ Republ Azerbaijan, Baku, Azerbaijan
[2] Azerbaijan State Univ Econ, Dept Econ & Control, Baku, Azerbaijan
来源：
VESTNIK TOMSKOGO GOSUDARSTVENNOGO UNIVERSITETA-UPRAVLENIE VYCHISLITELNAJA TEHNIKA I INFORMATIKA-TOMSK STATE UNIVERSITY JOURNAL OF CONTROL AND COMPUTER SCIENCE | 2023年 / 63期
关键词：
stochastic integro-differential equation; linear stochastic system; optimality condition; convex quality criterion;
D O I：
10.17223/19988605/63/2
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
The optimal control problem of stochastic systems described by ordinary linear integro-differential equations is considered. In the case of a linear control object and a linear quality functional, a necessary and sufficient optimality condition of the L.S. Pontryagin maximum principle type is obtained. Further, in the case of a nonlinear, continuously differentiable and convex quality functional, a sufficient optimality condition is established.
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页码：16 / 22
页数：7
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