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A varying terminal time structure for stochastic optimal control under constrained condition
Author(s) -
Yang Shuzhen
Publication year - 2020
Publication title -
international journal of robust and nonlinear control
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.361
H-Index - 106
eISSN - 1099-1239
pISSN - 1049-8923
DOI - 10.1002/rnc.5048
Subject(s) - optimal control , terminal (telecommunication) , state (computer science) , control (management) , maximum principle , mathematical optimization , stochastic control , control theory (sociology) , computer science , mathematics , algorithm , telecommunications , artificial intelligence
Summary In this study, we propose a varying terminal time structure for the optimal control problem under state constraints, in which the terminal time follows the varying of the control via the constrained condition. Focusing on this new optimal control problem, we investigate a novel stochastic maximum principle, which differs from the traditional optimal control problem under state constraints. The optimal pair of the optimal control model can be verified via this new stochastic maximum principle.