On the stochastic linear quadratic control problem with piecewise constant admissible controls

DOI10.1016/j.jfranklin.2019.10.036zbMath1430.93218OpenAlexW2987780364MaRDI QIDQ2297398

Ivan Ganchev Ivanov, Vasile Dragan

Publication date: 20 February 2020

Published in: Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jfranklin.2019.10.036

zbMATH Keywords

admissible setstochastic linear quadratic control

Mathematics Subject Classification ID

Sampled-data control/observation systems (93C57) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic stability in control theory (93E15) Attainable sets, reachability (93B03)

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Approximation of linear controlled dynamical systems with small random noise and fast periodic sampling ⋮ Weight splitting iteration methods to solve quadratic nonlinear matrix equation \(MY^2+NY+P=0\)

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