First and Second Order Necessary Conditions for Stochastic Optimal Control Problems
نویسندگان
چکیده
منابع مشابه
Second-order Necessary Conditions for Optimal Impulsive Control
Second-order conditions of optimality for an impulsive control problem are presented and derived from those for an appropriate abstract optimization problem with equality, inequality and set inclusion constraints. An important feature of these conditions is that they do not degenerate for abnormal control processes in spite of the absence of a priori normality assumptions on the data of the pro...
متن کاملFirst- and Second-order Necessary Conditions for Control Problems with Constraints
Second-order necessary conditions are developed for an abstract nonsmooth control problem with mixed state-control equality and inequality constraints as well as a constraint of the form G(x, u) e T, where T is a closed convex set of a Banach space with nonempty interior. The inequality constraints g{s, x, u) < 0 depend on a parameter 5 belonging to a compact metric space S. The equality constr...
متن کاملSecond-Order Necessary Conditions in Pontryagin Form for Optimal Control Problems
In this report, we state and prove rstand second-order necessary conditions in Pontryagin form for optimal control problems with pure state and mixed control-state constraints. We say that a Lagrange multiplier of an optimal control problem is a Pontryagin multiplier if it is such that Pontryagin's minimum principle holds, and we call optimality conditions in Pontryagin form those which only in...
متن کاملSecond order conditions for periodic optimal control problems
This paper concerns second order sufficient conditions of optimality, involving the Riccati equation, for optimal control problems with periodic boundary conditions. The problems considered involve no pathwise constraints and are ‘regular’, in the sense that the strengthened Legendre-Clebsch condition is assumed to be satisfied. A well-known sufficient condition, which we refer to as the Riccat...
متن کاملNecessary Conditions for Optimal Impulsive Control Problems∗
Necessary conditions of optimality, in the form of a maximum principle, are derived for a class of optimal control problems, certain of whose controls are represented by measures and whose state trajectories are functions of bounded variation. State trajectories are interpreted as robust solutions of the dynamic equations, a concept of solutions which takes account of the interaction between th...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Applied Mathematics & Optimization
سال: 2012
ISSN: 0095-4616,1432-0606
DOI: 10.1007/s00245-012-9162-4