Stochastic linear quadratic control problem of switching systems with constraints
JOURNAL OF INEQUALITIES AND APPLICATIONS, cilt.2016, 2016 (SCI-Expanded, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 2016
- Basım Tarihi: 2016
- Doi Numarası: 10.1186/s13660-016-1046-8
- Dergi Adı: JOURNAL OF INEQUALITIES AND APPLICATIONS
- Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
- Anahtar Kelimeler: stochastic linear system, conditions of optimality, switching systems, transversality conditions, MAXIMUM PRINCIPLE, EQUATIONS, JUMPS
- 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.