Atıf İçin Kopyala
Aghayeva C.
JOURNAL OF INEQUALITIES AND APPLICATIONS, cilt.2016, 2016 (SCI-Expanded)
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Yayın Türü:
Makale / Tam Makale
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Cilt numarası:
2016
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Basım Tarihi:
2016
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Doi Numarası:
10.1186/s13660-016-1046-8
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Dergi Adı:
JOURNAL OF INEQUALITIES AND APPLICATIONS
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Derginin Tarandığı İndeksler:
Science Citation Index Expanded (SCI-EXPANDED), Scopus
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Anahtar Kelimeler:
stochastic linear system, conditions of optimality, switching systems, transversality conditions, MAXIMUM PRINCIPLE, EQUATIONS, JUMPS
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Anadolu Üniversitesi Adresli:
Evet
Özet
This paper is devoted to the optimal control problem for stochastic linear switching systems with a quadratic cost functional. A necessary and sufficient condition of optimality for mentioned linear control systems under endpoint constraints is obtained. A linear quadratic controller is simply constructed via a set of stochastic backward Riccati equations.