Stochastic singular optimal control problem of switching systems with constraints

Abstract

Abstract This paper is devoted to the optimal control problem of switching system in which constraints on the state variable are given by inclusions. Using Ekeland’s variational principle, second-order necessary condition of optimality for stochastic switching systems with constraints is obtained, and transversality conditions for switching law are established.

Keywords

• stochastic optimal control
• necessary condition of optimality
• singular switching systems
• transversality conditions