Control variable parameterization and optimization method for stochastic linear quadratic models
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Publication:2170327
DOI10.1016/j.chaos.2021.111638zbMath1498.49055OpenAlexW4200419666MaRDI QIDQ2170327
Publication date: 2 September 2022
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2021.111638
parametric optimizationcontrol parameterRiccati differential equationlinear quadraticuncertain optimal control
Inventory, storage, reservoirs (90B05) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)
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