Stochastic Optimal Control Problem for Switching Systems with Controlled Diffusion Coefficients
نویسندگان
چکیده
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
منابع مشابه
Dynamic Systems and Applications 24 (2015) 243-258 NECESSARY CONDITIONS OF OPTIMALITY FOR STOCHASTIC SWITCHING CONTROL SYSTEMS
ABSTRACT. This paper is devoted to optimal control problem of stochastic switching systems. Dynamics of this processes governed by stochastic differential equations with control terms in the drift and diffusion coefficients. Necessary conditions for optimality of described systems with the restrictions in each interval are obtained. The constraints on the transitions are described by the set of...
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