Article ID: | iaor20172426 |
Volume: | 38 |
Issue: | 4 |
Start Page Number: | 653 |
End Page Number: | 667 |
Publication Date: | Jul 2017 |
Journal: | Optimal Control Applications and Methods |
Authors: | Aghayeva Charkaz |
Keywords: | optimization, stochastic processes, networks: scheduling, networks |
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 the collection of functional equalities. The main result is proved via an approximation functional and Ekeland's variational principle.