Stochastic singular optimal control problem of switching systems with constraints

Journal of inequalities and applications

Charkaz Aghayeva¹ 

关键词: stochastic optimal control;    necessary condition of optimality;    singular switching systems;    transversality conditions;   

DOI  :  10.1186/s13660-015-0944-5

学科分类：数学（综合）

来源: SpringerOpen

【 摘 要 】

This paper is devoted to the optimal control problem of switching system in which constraints on the state variable are given by inclusions. Using Ekeland’s variational principle, second-order necessary condition of optimality for stochastic switching systems with constraints is obtained, and transversality conditions for switching law are established.

【 授权许可】

CC BY