A stochastic linear-quadratic optimal control problem for stationary systems with quadratic constraints (Q1899666)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A stochastic linear-quadratic optimal control problem for stationary systems with quadratic constraints |
scientific article; zbMATH DE number 807046
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic linear-quadratic optimal control problem for stationary systems with quadratic constraints |
scientific article; zbMATH DE number 807046 |
Statements
A stochastic linear-quadratic optimal control problem for stationary systems with quadratic constraints (English)
0 references
19 October 1995
0 references
The authors consider a generalized version of the standard linear-quadratic stochastic control problem, where the expected values of a number of quadratic functions of the state and control are required to satisfy some given bounds (inequality constraints). Under perfect state measurements, they obtain a Lagrange multiplier theorem.
0 references
linear-quadratic stochastic control
0 references
perfect state measurements
0 references
Lagrange multiplier
0 references
