Linear square optimal control problem for stochastic difference equations with unknown parameters

DOI10.1016/S0895-7177(97)00002-2zbMath0881.93090OpenAlexW2014514821MaRDI QIDQ1361210

Ravi P. Agarwal, Leonid Shaikhet

Publication date: 23 July 1997

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0895-7177(97)00002-2

zbMATH Keywords

quadratic performanceoptimal stochastic controllinear stochastic difference equation

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Related Items (2)

Boundary value problems for general discrete systems on infinite intervals ⋮ Optimal control problem for nonlinear stochastic difference second kind Volterra equations

Cites Work

• Necessary and sufficient conditions of asymptotic mean square stability for stochastic linear difference equations
• Optimal control problem for nonlinear stochastic difference second kind Volterra equations
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