General Doubly Stochastic Maximum Principle and Its Applications to Optimal Control of SPDEs
Optimization and Control
2012-11-01 v4
Abstract
In this paper, we prove the necessary and sufficient maximum principles (NSMPs in short) for the optimal control of systems described by a quasilinear stochastic heat equation within convex control domains, which all the coefficients contain control variables. For that, the optimal control problem of fully coupled forward-backward doubly stochastic system is studied. We apply our NSMPs to treat a kind of forward-backward doubly stochastic linear quadratic optimal control problems and an example of optimal control of stochastic partial differential equations (SPDEs in short) as well.
Keywords
Cite
@article{arxiv.1009.6061,
title = {General Doubly Stochastic Maximum Principle and Its Applications to Optimal Control of SPDEs},
author = {Liangquan Zhang and Yufeng Shi},
journal= {arXiv preprint arXiv:1009.6061},
year = {2012}
}
Comments
arXiv admin note: text overlap with arXiv:1005.4129