Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation (Q4537787)
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scientific article; zbMATH DE number 1758232
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation |
scientific article; zbMATH DE number 1758232 |
Statements
Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation (English)
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23 June 2002
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stochastic LQ control
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indefinite costs
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generalized Riccati equation
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matrix pseudo-inverse
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matrix minimum principle
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dynamic programming
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