Solution to a class of stochastic LQ problems with bounded control

DOI10.1016/j.automatica.2009.01.019zbMath1166.93030OpenAlexW2158445355MaRDI QIDQ2391330

Daniil V. Iourtchenko

Publication date: 24 July 2009

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2009.01.019

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic optimal controlLQ problembounded control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Related Items (5)

Optimal bounded noisy feedback control for damping random vibrations ⋮ On the LQG theory with bounded control ⋮ The piecewise optimisation method for approximating uncertain optimal control problems under optimistic value criterion ⋮ Optimal bounded control for stationary response of strongly nonlinear oscillators under combined harmonic and wide-band noise excitations ⋮ Solution of the feedback control problem in the mathematical model of leukaemia therapy

Cites Work

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• Stochastic optimal control of nonlinear systems via short-time Gaussian approximation and cell mapping
• A stochastically averaged optimal control strategy for quasi-Hamiltonian systems with actuator saturation
• Local solutions to the Hamilton-Jacobi-Bellman equation in stochastic problems of optimal control
• Uniqueness Results for Second-Order Bellman--Isaacs Equations under Quadratic Growth Assumptions and Applications

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