Stochastic Maximum Principle for Switching Systems

被引：0

作者：

Aghayeva, Charkaz ^{[1
]}

Abushov, Gurban ^{[2
]}

机构：

[1] Yasar Univ, Izmir, Turkey

[2] Cybernet Inst ANAS, Baku, Azerbaijan

来源：

2012 IV INTERNATIONAL CONFERENCE PROBLEMS OF CYBERNETICS AND INFORMATICS (PCI) | 2012年

关键词：

stochastic differential equation; stochastic control system; optimal control problem; maximum principle; switching system; switching law;

D O I：

暂无

中图分类号：

TP3 [计算技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper provides necessary conditions of optimality, in the form of a maximum principle, for optimal control problems of switching systems. Dynamics of the constituent processes take the form of stochastic differential equations with control terms in the drift and diffusion coefficients. The restrictions on the transitions or switches between operating modes, are described by collections of functional equality constraints.

引用

页数：4

共 50 条

[21] Stochastic maximum principle for delayed backward doubly stochastic control systems
Xu, Jie
Han, Yuecai
JOURNAL OF NONLINEAR SCIENCES AND APPLICATIONS, 2017, 10 (01): : 215 - 226
[22] A stochastic maximum principle for partially observed stochastic control systems with delay
Zhang, Shuaiqi
Li, Xun
Xiong, Jie
SYSTEMS & CONTROL LETTERS, 2020, 146 (146)
[23] A stochastic maximum principle for systems with jumps, with applications to finance
Cadenillas, A
SYSTEMS & CONTROL LETTERS, 2002, 47 (05) : 433 - 444
[24] Stochastic maximum principle for delayed doubly stochastic control systems and their applications
Xu, Jie
INTERNATIONAL JOURNAL OF CONTROL, 2020, 93 (06) : 1371 - 1380
[25] STOCHASTIC MAXIMUM PRINCIPLE
WARFIELD, VM
SIAM JOURNAL ON CONTROL, 1976, 14 (05): : 803 - 826
[26] Stochastic maximum principle
Department of Control Engineering, Czech Technical University in Prague, Czech Republic
IFAC Proc. Vol. (IFAC-PapersOnline), 1600, 1 PART 1 (4714-4720):
[27] STOCHASTIC MAXIMUM PRINCIPLE
HAUSSMANN, UG
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1978, 16 (02) : 236 - 251
[28] ON STOCHASTIC MAXIMUM PRINCIPLE
SWORDER, DD
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS, 1968, 24 (03) : 627 - &
[29] A STOCHASTIC MAXIMUM PRINCIPLE
BECHER, H
LECTURE NOTES IN CONTROL AND INFORMATION SCIENCES, 1987, 96 : 247 - 252
[30] Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching
Lv, Siyu
Tao, Ran
Wu, Zhen
OPTIMAL CONTROL APPLICATIONS & METHODS, 2016, 37 (01): : 154 - 175

← 1 2 3 4 5 →