Title :
Stochastic maximum principle for switching systems
Author :
Aghayeva, C. ; Abushov, G.
Author_Institution :
Yasar Univ., Izmir, Turkey
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 collections of functional equality constraints.
Keywords :
differential equations; maximum principle; stochastic processes; stochastic systems; time-varying systems; constituent process dynamics; constituent processes; diffusion coefficients; drift coefficients; functional equality constraints; necessary optimality conditions; operating modes; optimal control problems; stochastic differential equations; stochastic maximum principle; switching systems; maximum principle; optimal control problem; stochastic control system; stochastic differential equation; switching law; switching system;
Conference_Titel :
Problems of Cybernetics and Informatics (PCI), 2012 IV International Conference
Conference_Location :
Baku
Print_ISBN :
978-1-4673-4500-2
DOI :
10.1109/ICPCI.2012.6486420
