Near-optimal control problems for linear forward-backward stochastic systems

Jianhui Huang; Xun Li; Guangchen Wang

doi:10.1016/j.automatica.2009.11.016

Near-optimal control problems for linear forward-backward stochastic systems

Jianhui Huang, Xun Li, Guangchen Wang

Research output: Journal article publication › Journal article › Academic research › peer-review

49 Citations (Scopus)

Abstract

Herein, we study the near-optimality of linear forward-backward stochastic control systems. As the theoretical results, some sufficient and necessary conditions of the near-optimality are established in the form of Pontryagin stochastic maximum principle. As an illustration and practical application, one ε-optimal control example is figured out and solved using our theoretical results.

Original language	English
Pages (from-to)	397-404
Number of pages	8
Journal	Automatica
Volume	46
Issue number	2
DOIs	https://doi.org/10.1016/j.automatica.2009.11.016
Publication status	Published - 1 Feb 2010

Keywords

Ekeland's principle
Linear forward-backward stochastic differential equation
Near-optimal
Necessary condition
Spike variation
Sufficient condition

ASJC Scopus subject areas

Control and Systems Engineering
Electrical and Electronic Engineering

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10.1016/j.automatica.2009.11.016

Cite this

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AU - Li, Xun

AU - Wang, Guangchen

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AB - Herein, we study the near-optimality of linear forward-backward stochastic control systems. As the theoretical results, some sufficient and necessary conditions of the near-optimality are established in the form of Pontryagin stochastic maximum principle. As an illustration and practical application, one ε-optimal control example is figured out and solved using our theoretical results.

KW - Ekeland's principle

KW - Linear forward-backward stochastic differential equation

KW - Near-optimal

KW - Necessary condition

KW - Spike variation

KW - Sufficient condition

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DO - 10.1016/j.automatica.2009.11.016

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JO - Automatica

JF - Automatica

IS - 2

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Near-optimal control problems for linear forward-backward stochastic systems

Abstract

Keywords

ASJC Scopus subject areas

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