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ISSN: 2333-9721
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-  2018 

Restricted Optimal Control Problem for Stochastic Switching Linear Systems with Variable Delay

Keywords: Gecikmeli Diferansiyel Denklem,De?i?ken Gecikme,K?s?tl? Optimizasyon Problemi

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Abstract:

An optimal control problem for stochastic switching systems with variable time delay on state and restriction at end point is investigated. Stochastic linear quadratic regulator (SLQR) problem for system governed by a set of stochastic linear differential equations with variable delay is examined. Necessary and sufficient condition of optimality by means of maximum principle and the transversality conditions at switching points are obtained. A design method of stochastic feedback control is proposed

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