Title :
Multidimensional uncertain optimal control with jump
Author :
Deng, Liubao ; Zhu, Yuanguo
Author_Institution :
Dept. of Appl. Math., Nanjing Univ. of Sci. & Technol., Nanjing, China
Abstract :
Based on an uncertain optimal control problem with jump in the condition of one-dimension, in this paper, we shall consider an uncertain optimal control problem with jump in the condition of multi-dimension. To solve the proposed problem, we present the principle of optimality and then obtain the equation of optimality about multidimensional uncertain optimal control problem with n-jump.
Keywords :
optimal control; jump; multidimension condition; multidimensional uncertain optimal control problem; one-dimension condition; optimality; Equations; Mathematical model; Optimal control; Portfolios; Uncertainty; Vectors; equation of optimality; jump; multidimension; optimal control; uncertainty;
Conference_Titel :
Systems and Informatics (ICSAI), 2012 International Conference on
Conference_Location :
Yantai
Print_ISBN :
978-1-4673-0198-5
DOI :
10.1109/ICSAI.2012.6223502
