On the Principle of Optimality for Linear Stochastic Dynamic System

The mathematical theory of optimal control consisting all the continuous and discrete systems is strong studied more than 40 years. L. S. Pontryagin et al. first obtained basic results of the theory of optimal control and then this theory was developed and simplificated by other academicians [1-4]. Gaishun presented a detailed works regarding the optimal control problem to multidimensional differential equation[5]. Gabasov et al. considered a linear quadratic optimal control problem with geometric constraints on the control actions and gave some novel numerical methods for both optimal program and positional solutions[6]. Also, they studied a problem of linear optimal control under uncertainty[7]. We firstly investigated the optimal discrete processes given by nonlinear multiparameter stochastic dynamic systems.[8-9]