The optimization of solutions of the dynamic systems with random structure. (English) Zbl 1217.93184

Summary: The paper deals with the class of jump control systems with semi-Markov coefficients. The control system is given by a system of linear differential equations. Every jump of the random process implies the random transformation of solutions of the considered system. Relations determining the optimal control to minimize the functional are derived using Lyapunov functions. Necessary conditions of optimization which enables the synthesis of the optimal control are established as well.


93E20 Optimal stochastic control
93E03 Stochastic systems in control theory (general)
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60J75 Jump processes (MSC2010)
49K45 Optimality conditions for problems involving randomness
Full Text: DOI


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