The maximum principle for the nonlinear stochastic optimal control problem of switching systems
DOI10.1007/S10898-011-9825-8zbMATH Open1272.93126OpenAlexW1986908244MaRDI QIDQ2392780FDOQ2392780
Authors: Charkaz Aghayeva, Qurban Abushov 
Publication date: 2 August 2013
Published in: Journal of Global Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10898-011-9825-8
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maximum principlestochastic optimal control problemswitching systemswitching lawnonlinear stochastic differential equationsadmissible controlsadjoint stochastic differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Nonlinear systems in control theory (93C10) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30) Optimal stochastic control (93E20)
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Cited In (10)
- Stochastic linear quadratic control problem of switching systems with constraints
- Dynamic programming for semi-Markov modulated SDEs
- Stochastic optimal control problem for switching systems with constraints
- The maximum principle for some nonlinear stochastic control system with variable structure
- A class of hybrid LQG mean field games with state-invariant switching and stopping strategies
- Stochastic maximum principle for nonlinear optimal control problem of switching systems
- A penalty function-based random search algorithm for optimal control of switched systems with stochastic constraints and its application in automobile test-driving with gear shifts
- Hybrid parametric minimum principle
- A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems
- Stochastic singular optimal control problem of switching systems with constraints
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