Stochastic maximum principle for nonlinear optimal control problem of switching systems

Abushov Q., Aghayeva C.

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, vol.259, pp.371-376, 2014 (SCI-Expanded) identifier identifier

  • Publication Type: Article / Article
  • Volume: 259
  • Publication Date: 2014
  • Doi Number: 10.1016/j.cam.2013.06.010
  • Journal Name: JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Page Numbers: pp.371-376
  • Keywords: Switching system, Nonlinear stochastic differential equations, Stochastic optimal control problem, Maximum principle, Adjoint stochastic differential equations, Switching law
  • Anadolu University Affiliated: Yes

Abstract

The contribution of this paper is to present a stochastic maximum principle for an optimal control problem of switching systems. It presents necessary conditions of optimality for a broad class of switching systems, in which the dynamic of the constituent processes takes the form of stochastic differential equations. The restrictions on the transitions for the system are described through functional equality constraints on the end of each subsystem. (C) 2013 Elsevier B.V. All rights reserved.