Singular optimal control problem of stochastic switching systems

Aghayeva C., ALPASLAN M.

World Congress on Engineering and Computer Science 2014, WCECS 2014, California, United States Of America, 22 - 24 October 2014, vol.2, pp.855-859 identifier

  • Publication Type: Conference Paper / Full Text
  • Volume: 2
  • City: California
  • Country: United States Of America
  • Page Numbers: pp.855-859
  • Keywords: Necessary-conditions-of-optimality, Singular-switching- systems, Stochastic-optimal-control, Transversality- conditions
  • Anadolu University Affiliated: Yes

Abstract

The work is concerned with singular stochastic optimal control problem of switching systems. Necessary condition of optimality is an important tool for solution of optimal control problems in general. Along singular controls the first-order necessary condition for optimal controls cannot provide enough information to find the desired optimal controls. Therefore, for singular controls further optimality tests are required. Second order necessary condition of optimality for switching systems with uncontrolled diffusions and transversality conditions are established.