Feedback under control-dependent Markov disturbances: A discrete maximum principle (Q1916718)
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scientific article; zbMATH DE number 902443
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Feedback under control-dependent Markov disturbances: A discrete maximum principle |
scientific article; zbMATH DE number 902443 |
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Feedback under control-dependent Markov disturbances: A discrete maximum principle (English)
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4 February 1997
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A discrete-time controlled multidimensional system with Markov type perturbations, which have a finite state space and depend on control parameters, is considered. A necessary optimality condition of stochastic maximum principle type is given for an optimal Markov strategy. Relations between the classes of nonanticipating and Markov strategies are also considered.
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discrete-time
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Markov type perturbations
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stochastic maximum principle
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