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Based on Pontryagin Maximum Principle (PMP), this paper established ageneralized PMP aiming at non-feedback control system with stochastic initialconditions. We proved the conclusion and show its coming back to PMP when therandomness collapses. Through the generalized PMP, a general method isintroduced to solve expectation maximum problem of these systems and thereafteran example showed its feasibility.

Generalization of Pontryagin Maximum Principle with Stochastic Initial Conditions