Title :
A Maximum Principle for Optimal Control of Discrete-Time Stochastic Systems With Multiplicative Noise
Author :
Xiangyun Lin ; Weihai Zhang
Author_Institution :
Coll. of Math. & Syst. 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 equations of the MP are a pair of backward stochastic difference equations.
Keywords :
difference equations; discrete time systems; maximum principle; stochastic processes; stochastic systems; MP; adjoint equations; backward stochastic difference equations; discrete-time stochastic optimal control problems; discrete-time stochastic systems; maximum principle; multiplicative noise; optimal control; Difference equations; Optimal control; Random sequences; Random variables; Stochastic systems; Trajectory; Backward stochastic difference equations; discrete-time stochastic systems; maximum principle;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.2014.2345243
