This article is cited in 4 papers

Stochastic Systems

Sufficient relative minimum conditions in the optimal control problem for quasilinear stochastic systems

M. M. Khrustalev, K. A. Tsarkov

V.A. Trapeznikov Institute of Control Sciences, Russian Academy of Sciences, Moscow, Russia

Abstract: We consider the optimal control problem for quasilinear stochastic systems with continuous time whose coefficients have a generally non-linear dependence on the program control. We establish sufficient conditions for a strong and weak relative minimum. We give examples of using the resulting conditions for constructing optimal control in a nonlinear onedimensional problem and in a two-dimensional linear problem with information constraints and analyze the possible results.

Keywords: stochastic optimal control, quasilinear dynamical system, nonlinear dynamic system.

Presented by the member of Editorial Board: E. Ya. Rubinovich

Received: 26.02.2018

DOI: 10.31857/S000523100002859-8

 English version: Automation and Remote Control, 2018, 79:12, 2169–2185

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