Optimality conditions in a stochastic optimal control problem of integro-differential systems

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Mastaliyev R. O., Alesgerova K. H.

VESTNIK TOMSKOGO GOSUDARSTVENNOGO UNIVERSITETA-UPRAVLENIE VYCHISLITELNAJA TEHNIKA I INFORMATIKA-TOMSK STATE UNIVERSITY JOURNAL OF CONTROL AND COMPUTER SCIENCE, no.63, pp.16-22, 2023 (ESCI)

• Publication Type: Article / Article
• Publication Date: 2023
• Doi Number: 10.17223/19988605/63/2
• Journal Name: VESTNIK TOMSKOGO GOSUDARSTVENNOGO UNIVERSITETA-UPRAVLENIE VYCHISLITELNAJA TEHNIKA I INFORMATIKA-TOMSK STATE UNIVERSITY JOURNAL OF CONTROL AND COMPUTER SCIENCE
• Journal Indexes: Emerging Sources Citation Index (ESCI), Scopus, Applied Science & Technology Source
• Page Numbers: pp.16-22
• Azerbaijan State University of Economics (UNEC) Affiliated: Yes

Abstract

The optimal control problem of stochastic systems described by ordinary linear integro-differential equations is considered. In the case of a linear control object and a linear quality functional, a necessary and sufficient optimality condition of the L.S. Pontryagin maximum principle type is obtained. Further, in the case of a nonlinear, continuously differentiable and convex quality functional, a sufficient optimality condition is established.