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Stochastic optimal control problem for switching systems with constraints
Author(s) -
Aghayeva Charkaz
Publication year - 2016
Publication title -
optimal control applications and methods
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.458
H-Index - 44
eISSN - 1099-1514
pISSN - 0143-2087
DOI - 10.1002/oca.2277
Subject(s) - optimal control , maximum principle , control (management) , stochastic control , variational principle , mathematical optimization , mathematics , stochastic differential equation , calculus of variations , diffusion , separation principle , control theory (sociology) , computer science , nonlinear system , mathematical analysis , physics , state observer , quantum mechanics , artificial intelligence , thermodynamics
Summary 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 the collection of functional equalities. The main result is proved via an approximation functional and Ekeland's variational principle. Copyright © 2016 John Wiley & Sons, Ltd.