Browsing by Author "Aghayeva, Charkaz"

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    Stochastic maximum principle for switching systems
    (IEEE, 2012) Charkaz A. Aghayeva; Gurban Abushov; Aghayeva, Charkaz; Abushov, Gurban
    This paper provides necessary conditions of optimality in the form of a maximum principle for optimal control problems of switching systems. Dynamics of the constituent processes take the form of stochastic differential equations with control terms in the drift and diffusion coefficients. The restrictions on the transitions or switches between operating modes are described by collections of functional equality constraints. © 2012 IEEE. © 2013 Elsevier B.V. All rights reserved.
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    The maximum principle for the nonlinear stochastic optimal control problem of switching systems
    (Springer, 2013) Charkaz A. Aghayeva; Qurban U. Abushov; Aghayeva, Charkaz; Abushov, Qurban
    The aim of this paper is to present a stochastic maximum principle for an optimal control problem of switching systems. It presents necessary conditions of optimality in the form of a maximum principle for stochastic switching systems in which the dynamic of the constituent processes takes the form of stochastic differential equations. The restrictions on transitions for the system are described through equality constraints. © 2011 Springer Science+Business Media LLC. © 2013 Elsevier B.V. All rights reserved.