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Generalization of Pontryagin Maximum Principle with Stochastic Initial Conditions (1504.02196v2)
Published 9 Apr 2015 in math.OC
Abstract: Based on Pontryagin Maximum Principle (PMP), this paper established a generalized PMP aiming at non-feedback control system with stochastic initial conditions. We proved the conclusion and show its coming back to PMP when the randomness collapses. Through the generalized PMP, a general method is introduced to solve expectation maximum problem of these systems and thereafter an example showed its feasibility.
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