Stochastic optimal control problem for switching systems with constraints

Stochastic optimal control problem for switching systems with constraints

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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:
Keywords: optimization, stochastic processes, networks: scheduling, networks
Abstract:

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.

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