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The maximum principle for the nonlinear stochastic optimal control problem of switching systems

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  • Charkaz Aghayeva
  • Qurban Abushov

Abstract

The aim of this paper is to present a stochastic maximum principle for an optimal control problem of switching systems. It presents necessary conditions of optimality in the form of a maximum principle for stochastic switching systems, in which the dynamic of the constituent processes takes the form of stochastic differential equations. The restrictions on transitions for the system are described through equality constraints. Copyright Springer Science+Business Media, LLC. 2013

Suggested Citation

  • Charkaz Aghayeva & Qurban Abushov, 2013. "The maximum principle for the nonlinear stochastic optimal control problem of switching systems," Journal of Global Optimization, Springer, vol. 56(2), pages 341-352, June.
    • Handle: RePEc:spr:jglopt:v:56:y:2013:i:2:p:341-352
    DOI: 10.1007/s10898-011-9825-8
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    Cited by:

    1. Baklacioglu, Tolga & Turan, Onder & Aydin, Hakan, 2015. "Dynamic modeling of exergy efficiency of turboprop engine components using hybrid genetic algorithm-artificial neural networks," Energy, Elsevier, vol. 86(C), pages 709-721.

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