DocumentCode
1705874
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
fYear
2013
Firstpage
1613
Lastpage
1618
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Control Conference (CCC), 2013 32nd Chinese
Conference_Location
Xi´an
Type
conf
Filename
6639685
Link To Document