论文标题
延迟随机系统的一般最大原理
A General Maximum Principle for Stochastic Systems with Delay
论文作者
论文摘要
在本文中，我们考虑了由延迟的随机系统得出的最佳控制问题，其中控制域是非凸，而扩散系数取决于控制变量。通过对X_ {1}（t）x_ {1}（t-δ）项的积分的估计，我们通过标准尖峰变分技术和二元方法获得了最佳控制问题的一般最大原理。最大原理用于研究非凸照控制域的延迟线性季度最佳控制问题。获得最佳解决方案。
In this paper, we consider optimal control problems derived by stochastic systems with delay, where control domains are non-convex and the diffusion coefficients depend on control variables. By an estimate of the integral of x_{1}(t)x_{1}(t-δ) term, we obtain a general maximum principle for the optimal control problems with a standard spike variational technique and duality method. The maximum principle is applied to study a delayed linear-quadratic optimal control problem with a non-convex control domain; an optimal solution is obtained.
