Stochastic maximum principle for switching systems
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Date
2012
Authors
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Volume Title
Publisher
IEEE
Open Access Color
Green Open Access
Yes
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No
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Abstract
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.
Description
Keywords
Maximum Principle, Optimal Control Problem, Stochastic Control System, Stochastic Differential Equation, Switching Law, Switching System, Equality Constraints, Necessary Conditions Of Optimality, Operating Modes, Optimal Control Problem, Stochastic Differential Equations, Stochastic Maximum Principles, Switching Law, Cybernetics, Differential Equations, Diffusion, Information Science, Interfaces (computer), Maximum Principle, Optimal Control Systems, Stochastic Control Systems, Switching Systems, Equality constraints, Necessary conditions of optimality, Operating modes, Optimal control problem, Stochastic differential equations, Stochastic maximum principles, Switching law, Cybernetics, Differential equations, Diffusion, Information science, Interfaces (computer), Maximum principle, Optimal control systems, Stochastic control systems, Switching systems, Optimal Control Problem, Switching System, Stochastic Control System, Switching Law, Maximum Principle, Stochastic Differential Equation
Fields of Science
0209 industrial biotechnology, 02 engineering and technology
Citation
WoS Q
Scopus Q
OpenCitations Citation Count
2
Source
2012 4th International Conference on Problems of Cybernetics and Informatics PCI 2012
Volume
Issue
Start Page
1
End Page
4
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Citations
CrossRef : 1
Scopus : 6
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