Necessary First-Order and Second-Order Optimality Conditions in Discrete-Time Stochastic Systems

Author:

Mahmudov Nazim I.ORCID

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Management Science and Operations Research,Control and Optimization

Reference24 articles.

1. Pontryagin, L.S., Boltyanskii, V.G., Gamkrelidze, R.V., Mishchenko, E.F.: Matematicheskaya teoriya optimal’nykh protsessov (Mathematical Theory of Optimal Processes). Nauka, Moscow (1969)

2. Halkin, H.: On the necessary conditions for the optimal control of nonlinear systems. J. Math. Anal. 12, 1–82 (1964)

3. Holtzman, J.M.: Convexity and the maximum principle for discrete systems. IEEE Trans. Automat. Control 11, 30–35 (1966)

4. Vinter, R.B.: Optimality and sensitivity of discrete time processes. Control Cybern. 17, 191–211 (1988)

5. Mahmudov, N.I.: General necessary optimality conditions for stochastic systems with controllable diffusion. (Russian) Statistics and control of random processes (Russian) (Preila, 1987), pp. 135–138. “Nauka”, Moscow (1989)

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