Optimality conditions in a stochastic optimal control problem of integro-differential systems

被引：0

作者：

Mastaliyev, Rashad O. ^{[1
]}

Alesgerova, Khayala H. ^{[2
]}

机构：

[1] Azerbaijan Univ, Inst Control Syst, Minist Sci & Educ Republ Azerbaijan, Baku, Azerbaijan

[2] Azerbaijan State Univ Econ, Dept Econ & Control, Baku, Azerbaijan

来源：

VESTNIK TOMSKOGO GOSUDARSTVENNOGO UNIVERSITETA-UPRAVLENIE VYCHISLITELNAJA TEHNIKA I INFORMATIKA-TOMSK STATE UNIVERSITY JOURNAL OF CONTROL AND COMPUTER SCIENCE | 2023年 / 63期

关键词：

stochastic integro-differential equation; linear stochastic system; optimality condition; convex quality criterion;

D O I：

10.17223/19988605/63/2

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

The optimal control problem of stochastic systems described by ordinary linear integro-differential equations is considered. In the case of a linear control object and a linear quality functional, a necessary and sufficient optimality condition of the L.S. Pontryagin maximum principle type is obtained. Further, in the case of a nonlinear, continuously differentiable and convex quality functional, a sufficient optimality condition is established.

引用

页码：16 / 22

页数：7

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