Title :
A maximum principle for optimal control of discrete-time stochastic systems with multiplicative noise
Author :
Xiangyun Lin ; Weihai Zhang
Author_Institution :
Coll. of Sci., Shandong Univ. of Sci. & Technol., Qingdao, China
Abstract :
The maximum principle(MP) for the discrete-time stochastic optimal control problems is proved. It is shown that the adjoint equation of the MP is a pair of backward stochastic difference equations.
Keywords :
difference equations; discrete time systems; maximum principle; stochastic systems; MP adjoint equation; backward stochastic difference equations; discrete-time stochastic systems; maximum principle; multiplicative noise; optimal control; Cost function; Difference equations; Educational institutions; Optimal control; Random variables; Stochastic systems; Stochastic maximum principle; backward stochastic difference equations; discrete-time stochastic systems;
Conference_Titel :
Control Conference (CCC), 2013 32nd Chinese
Conference_Location :
Xi´an
