Generalization of Pontryagin Maximum Principle with Stochastic Initial Conditions

Yuanzun Zhao

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arXiv · 1504.02196

Generalization of Pontryagin Maximum Principle with Stochastic Initial Conditions

Yuanzun Zhao

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Abstract

Based on Pontryagin Maximum Principle (PMP), this paper established a generalized PMP aiming at non-feedback control system with stochastic initial conditions. We proved the conclusion and show its coming back to PMP when the randomness collapses. Through the generalized PMP, a general method is introduced to solve expectation maximum problem of these systems and thereafter an example showed its feasibility.

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BibTeX RIS

Yuanzun Zhao. 2015-04-09. Generalization of Pontryagin Maximum Principle with Stochastic Initial Conditions. https://arxiv.org/abs/1504.02196

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