| Abstract: | In this paper, we solve an optimal control problem for switched stochastic systems using calculus of variations, where the objective is to minimize a cost functional defined on the state and the switching times are the sole control variables. In particular, we focus on the problem in which a pre‐specified sequence of active subsystems is given. For one switching time case, the derivative of the cost functional with respect to the switching time is derived, which has an especially simple form and can be directly used in gradient descent algorithms to locate the optimal switching instant. Then, we propose an approach to deal with the problem with multi‐switching times case. Finally, two numerical examples are given, highlighting the viability and advantages of the proposed methodology. |
