A Maximum Principle for Optimal Control of Discrete-Time Stochastic Systems With Multiplicative Noise

DOI10.1109/TAC.2014.2345243zbMath1360.93395MaRDI QIDQ2982790

Weihai Zhang, Xiangyun Lin

Publication date: 16 May 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (22)

Maximum principle for discrete-time stochastic optimal control problem and stochastic game ⋮ A mean-field optimal control for fully coupled forward-backward stochastic control systems with Lévy processes ⋮ Solvability of forward–backward stochastic difference equations with finite states ⋮ First-order and second-order necessary optimality conditions concerning components for discrete-time stochastic systems ⋮ \(\mathcal{H}_-\) index for discrete-time stochastic systems with Markovian jump and multiplicative noise ⋮ Maximum principle for discrete-time stochastic control problem of mean-field type ⋮ Near-optimal control of stochastic recursive systems via viscosity solution ⋮ Maximum principle for stochastic optimal control problem of forward–backward stochastic difference systems ⋮ A maximum principle for discrete-time stochastic optimal control problemE20 with delay ⋮ Maximum principle for stochastic optimal control problem of finite state forward‐backward stochastic difference systems ⋮ Stochastic optimal control problems of discrete‐time Markov jump systems ⋮ Mean‐square strong stability and stabilization of discrete‐time stochastic systems with multiplicative noises ⋮ Second‐order necessary optimality conditions for discrete‐time stochastic systems ⋮ A priori estimates of the objective function in the speed-in-action problem for a linear two-dimensional discrete-time system ⋮ Stochastic maximum principle for discrete time mean‐field optimal control problems ⋮ Stability and stabilization of nonlinear discrete‐time stochastic systems ⋮ \(\mathcal{H}_-\) index for continuous-time stochastic systems with Markov jump and multiplicative noise ⋮ Robust stability, stabilization, and \(H_{\infty}\) control of a class of nonlinear discrete time stochastic systems ⋮ Existence of Lagrange Multipliers under Gâteaux Differentiable Data with Applications to Stochastic Optimal Control Problems ⋮ Necessary first-order and second-order optimality conditions in discrete-time stochastic systems ⋮ A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type ⋮ Maximum principle of discrete stochastic control system driven by both fractional noise and white noise

This page was built for publication: A Maximum Principle for Optimal Control of Discrete-Time Stochastic Systems With Multiplicative Noise