The efficient solution of the (quietly constrained) noisy, linear regulator problem

DOI10.1016/j.jmaa.2006.11.032zbMath1116.93054OpenAlexW2042778897MaRDI QIDQ2370738

Yanyan Li

Publication date: 29 June 2007

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2006.11.032

zbMATH Keywords

Wiener processstochastic optimal controlnumerical methodsstochastic differential equationsaccuracyvariational problemserrorconstrained optimal controlquadratic controlpathwise optimal controllinear regulator problem

Mathematics Subject Classification ID

Cites Work

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