On a Stochastic Optimality of the Feedback Control in the LQG-Problem (Q4830880)
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scientific article; zbMATH DE number 2123327
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On a Stochastic Optimality of the Feedback Control in the LQG-Problem |
scientific article; zbMATH DE number 2123327 |
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On a Stochastic Optimality of the Feedback Control in the LQG-Problem (English)
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16 December 2004
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linear-quadratic regulator
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almost sure optimality
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observability, controllability
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Riccati equation
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upper functions
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Ornstein-Uhlenbeck process
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deficiency process
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sensitive probabilistic criteria
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optimal tracking
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