Stochastic Optimal Control Problem of Constrained Switching System with Delay

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Aghayeva C.

FILOMAT, cilt.30, sa.3, ss.711-720, 2016 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 30 Sayı: 3
  • Basım Tarihi: 2016
  • Doi Numarası: 10.2298/fil1603711a
  • Dergi Adı: FILOMAT
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.711-720
  • Anahtar Kelimeler: Stochastic control system, differential equation with delay, switching system, switching law, optimal control problem, maximum principle, MAXIMUM PRINCIPLE, EQUATIONS, JUMPS
  • Anadolu Üniversitesi Adresli: Evet

Özet

This paper concerns the stochastic optimal control problem of switching systems with delay. The evolution of the system is governed by the collection of stochastic delay differential equations with initial conditions that depend on its previous state. The restriction on the system is defined by the functional constraint that contains state and time parameters. First, maximum principle for stochastic control problem of delay switching system without constraint is established. Finally, using Ekeland's variational principle, the necessary condition of optimality for control system with constraint is obtained.