Stochastic singular optimal control problem of switching systems with constraints

Aghayeva C.

JOURNAL OF INEQUALITIES AND APPLICATIONS, vol.2016, pp.1-14, 2016 (SCI-Expanded) identifier identifier

  • Publication Type: Article / Article
  • Volume: 2016
  • Publication Date: 2016
  • Doi Number: 10.1186/s13660-015-0944-5
  • Journal Name: JOURNAL OF INEQUALITIES AND APPLICATIONS
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Page Numbers: pp.1-14
  • Keywords: stochastic optimal control, necessary condition of optimality, singular switching systems, transversality conditions, MAXIMUM PRINCIPLE
  • Anadolu University Affiliated: Yes

Abstract

This paper is devoted to the optimal control problem of switching system in which constraints on the state variable are given by inclusions. Using Ekeland's variational principle, second-order necessary condition of optimality for stochastic switching systems with constraints is obtained, and transversality conditions for switching law are established.