- Tytuł:
- Stochastic evolution equations on Hilbert spaces with partially observed relaxed controls and their necessary conditions of optimality
- Autorzy:
- Ahmed, N.
- Powiązania:
- https://bibliotekanauki.pl/articles/729524.pdf
- Data publikacji:
- 2014
- Wydawca:
- Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
- Tematy:
-
differential equations
Hilbert spaces
relaxed controls
optimal control
necessary conditions of optimality - Opis:
- In this paper we consider the question of optimal control for a class of stochastic evolution equations on infinite dimensional Hilbert spaces with controls appearing in both the drift and the diffusion operators. We consider relaxed controls (measure valued random processes) and briefly present some results on the question of existence of mild solutions including their regularity followed by a result on existence of partially observed optimal relaxed controls. Then we develop the necessary conditions of optimality for partially observed relaxed controls. This is the main topic of this paper. Further we present an algorithm for computation of optimal policies followed by a brief discussion on regular versus relaxed controls. The paper is concluded by an example of a non-convex problem which is readily solvable by our approach.
- Źródło:
-
Discussiones Mathematicae, Differential Inclusions, Control and Optimization; 2014, 34, 1; 105-129
1509-9407 - Pojawia się w:
- Discussiones Mathematicae, Differential Inclusions, Control and Optimization
- Dostawca treści:
- Biblioteka Nauki
Artykuł