STOCHASTIC OPTIMAL CONTROL PROBLEMS WITH CONTROL AND INITIAL-FINAL STATES CONSTRAINTS

被引：14
|
作者：
Frankowska, Helene [1 ]
Zhang, Haisen [1 ,2 ]
Zhang, Xu [3 ]
机构：
[1] Sorbonne Univ, CNRS, IMJ PRG, Case 247,4 Pl Jussieu, F-75252 Paris, France
[2] Southwest Univ, Sch Math & Stat, Chongqing 400715, Peoples R China
[3] Sichuan Univ, Sch Math, Chengdu 610064, Sichuan, Peoples R China
来源：
SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2018年 / 56卷 / 03期
关键词：
stochastic optimal control; normal first order necessary optimality conditions; second order necessary conditions; second order tangents; 2ND-ORDER; 1ST;
D O I：
10.1137/17M112186X
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this paper, the first and second order necessary optimality conditions are established for stochastic optimal control problems with control and initial-final states constraints. The control regions are allowed to be nonconvex, the diffusion terms contain the control variable, and the final state constraints are defined by finitely many inequality constraints. Different from the existing literature, the second order variations of the control set are used to derive the second order necessary conditions. This leads to stronger results under less restrictive, than usual, assumptions.
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页码：1823 / +
页数：34
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