A varying terminal time structure for stochastic optimal control under constrained condition. (24th June 2020)

• Record Type: Journal Article
• Authors: Yang, Shuzhen
• Is Part Of: International journal of robust and nonlinear control. Volume 30:Number 13(2020)
• Page Start: 5181
• Page End: 5204
• Publication Date: 2020-06-24
• Subjects: stochastic differential equation -- stochastic maximum principle -- varying terminal time; Automatic control -- Periodicals; Control theory -- Periodicals; Nonlinear systems -- Periodicals; 629.836
• DOI: 10.1002/rnc.5048
• Languages: English
• ISSNs: 1049-8923

Abstract

Summary: In this study, we propose a varying terminal time structure for the optimal control problem under state constraints, in which the terminal time follows the varying of the control via the constrained condition. Focusing on this new optimal control problem, we investigate a novel stochastic maximum principle, which differs from the traditional optimal control problem under state constraints. The optimal pair of the optimal control model can be verified via this new stochastic maximum principle.