Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
697282 | Automatica | 2010 | 8 Pages |
Abstract
An optimal control problem with constraints is considered on a finite interval for a non-stationary Markov chain with a finite state space. The constraints are given as a set of inequalities. The optimal solution existence is proved under a natural assumption that the set of admissible controls is non-empty. The stochastic control problem is reduced to a deterministic one and it is shown that the optimal solution satisfies the maximum principle, moreover it can be chosen within a class of Markov controls. On the basis of this result an approach to the numerical solution is proposed and its implementation is illustrated by examples.
Related Topics
Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
Boris Miller, Gregory Miller, Konstantin Siemenikhin,