Sufficient conditions for the optimal controls of stochastic systems

Author

Zhou, Xiin Yu

Author_Institution

Dept. of Syst. Eng. & Eng. Manage., Chinese Univ. of Hong Kong, Shatin, Hong Kong

Volume

3

fYear

1995

fDate

13-15 Dec 1995

Firstpage

2211

Abstract

This paper studies optimal controls for systems governed by Ito´s stochastic differential equations. Both the drift and diffusion terms of the equations are allowed to depend on controls, and the systems are allowed to be degenerate. It is shown that the necessary conditions of optimality, namely, the maximum conditions in terms of the “ℋ-function” (which is a generalization of the usual Hamiltonian and is quadratic with respect to the diffusion coefficients), along with some convexity conditions, constitute sufficient conditions of optimality for such controlled systems

Keywords

differential equations; optimal control; stochastic systems; ℋ-function; Hamiltonian; convexity conditions; diffusion terms; drift terms; maximum conditions; optimal controls; optimality conditions; stochastic differential equations; stochastic systems; Control systems; Costs; Differential equations; Motion control; Optimal control; Research and development management; Stochastic processes; Stochastic systems; Sufficient conditions; Systems engineering and theory;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1995., Proceedings of the 34th IEEE Conference on

Conference_Location

New Orleans, LA

ISSN

0191-2216

Print_ISBN

0-7803-2685-7

Type

conf

DOI

10.1109/CDC.1995.480531

Filename

480531