Stochastic Maximum Principle for Switching Systems

被引：0
作者：
Aghayeva, Charkaz [1 ]
Abushov, Gurban [2 ]
机构：
[1] Yasar Univ, Izmir, Turkey
[2] Cybernet Inst ANAS, Baku, Azerbaijan
来源：
2012 IV INTERNATIONAL CONFERENCE PROBLEMS OF CYBERNETICS AND INFORMATICS (PCI) | 2012年
关键词：
stochastic differential equation; stochastic control system; optimal control problem; maximum principle; switching system; switching law;
D O I：
暂无
中图分类号：
TP3 [计算技术、计算机技术];
学科分类号：
0812 ;
摘要：
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.
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页数：4
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