The maximum principle for the nonlinear stochastic optimal control problem of switching systems
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Date
2013
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Publisher
Springer
Open Access Color
Green Open Access
Yes
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Top 10%
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Abstract
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.
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Keywords
Adjoint Stochastic Differential Equations, Admissible Controls, Maximum Principle, Nonlinear Stochastic Differential Equations, Stochastic Optimal Control Problem, Switching Law, Switching System, Admissible Control, Equality Constraints, Necessary Conditions Of Optimality, Optimal Control Problem, Stochastic Differential Equations, Stochastic Maximum Principles, Stochastic Optimal Control Problem, Switching Law, Differential Equations, Maximum Principle, Optimal Control Systems, Stochastic Systems, Switching Systems, Admissible control, Equality constraints, Necessary conditions of optimality, Optimal control problem, Stochastic differential equations, Stochastic maximum principles, Stochastic optimal control problem, Switching law, Differential equations, Maximum principle, Optimal control systems, Stochastic systems, Switching systems, Stochastic Optimal Control Problem, Switching Law, Nonlinear Stochastic Differential Equations, Admissible Controls, Switching System, Adjoint Stochastic Differential Equations, Maximum Principle, admissible controls, stochastic optimal control problem, Optimality conditions for problems involving randomness, Stochastic ordinary differential equations (aspects of stochastic analysis), maximum principle, switching law, Optimal stochastic control, nonlinear stochastic differential equations, Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems), Nonlinear systems in control theory, switching system, adjoint stochastic differential equations
Fields of Science
01 natural sciences, 0101 mathematics
Citation
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OpenCitations Citation Count
18
Source
Journal of Global Optimization
Volume
56
Issue
2
Start Page
341
End Page
352
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CrossRef : 17
Scopus : 22
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Mendeley Readers : 4
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22
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17
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