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

被引：43
|
作者：
Huang, Jianhui [1 ]
Li, Xun [1 ]
Wang, Guangchen [2 ]
机构：
[1] Hong Kong Polytech Univ, Dept Appl Math, Kowloon, Hong Kong, Peoples R China
[2] Shandong Normal Univ, Sch Math Sci, Jinan 250014, Peoples R China
来源：
AUTOMATICA | 2010年 / 46卷 / 02期
关键词：
Linear forward-backward stochastic differential equation; Ekeland's principle; Near-optimal; Necessary condition; Spike variation; Sufficient condition;
D O I：
10.1016/j.automatica.2009.11.016
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
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 epsilon-optimal control example is figured out and solved using our theoretical results. (C) 2009 Elsevier Ltd. All rights reserved.
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页码：397 / 404
页数：8
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