A General Maximum Principle for Stochastic Systems with Delay

2020/10/18 by Zhang, Qixia
#FOS: Mathematics #Optimization and Control (math.OC)

paper · doi:10.48550/arxiv.2010.08906

Abstract

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 x₁(t)x₁(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.

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