Linear quadratic optimal control: From determininstic to stochastic cases (Q2712221)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Linear quadratic optimal control: From determininstic to stochastic cases |
scientific article |
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6 May 2001
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stochastic optimal control
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control weighting matrices
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stochastic maximum principle
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existence and uniqueness
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0.96386504
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0.9556968
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0.94460934
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0.9429472
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0.9406341
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0.93952006
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0.93804073
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Linear quadratic optimal control: From determininstic to stochastic cases (English)
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A linear controlled system of the diffusion type with a quadratic cost criterion is considered without assumption that the control weighting matrices are nonnegative definite. The authors discuss (without proofs) the statement of the problem, the stochastic maximum principle, and the existence and uniqueness of an optimal control.NEWLINENEWLINEFor the entire collection see [Zbl 0958.00050].
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