Optimal control of stochastic sequences with constraints
作者:
A.B. Piunovskiy,
期刊:
Stochastic Analysis and Applications
(Taylor Available online 1997)
卷期:
Volume 15,
issue 2
页码: 231-254
ISSN:0736-2994
年代: 1997
DOI:10.1080/07362999708809473
出版商: Marcel Dekker, Inc.
数据来源: Taylor
摘要:
The problem in which given functionals must satisfy some system of inequalities is considered. As usually one has to build the control strategy which gives the extremum of the criterion. In the present paper necessary and sufficient conditions of optimality are obtained, the algorithm for constructing of optimal strategy is suggested, exactly solvable examples are considered
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