The maximum principle for the nonlinear stochastic optimal control problem of switching systems

Authors:
Charkaz Aghayeva;Qurban Abushov
Affiliations:
Department of Statistics, Faculty of Science and Letters, Yasar University, Bornova, Turkey 35100;Institute of Cybernetics, Azerbaijan National Academy of Science, Baku, Azerbaijan 1141
Venue:
Journal of Global Optimization
Year:
2013

Citing 4
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Stochastic maximum principle for nonlinear optimal control problem of switching systems

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Abstract

The aim of this paper is to present a stochastic maximum principle for an optimal control problem of switching systems. It presents necessary conditions of optimality in the form of a maximum principle for stochastic switching systems, in which the dynamic of the constituent processes takes the form of stochastic differential equations. The restrictions on transitions for the system are described through equality constraints.