Stochastic linear quadratic control problem of switching systems with constraints

Aghayeva C.

JOURNAL OF INEQUALITIES AND APPLICATIONS, cilt.2016, 2016 (SCI-Expanded) identifier identifier

  • 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.