On Deterministic and Stochastic Linear Quadratic Control Problems

DOI10.1007/978-3-319-12577-0_37zbMath1327.34117OpenAlexW2311489761MaRDI QIDQ2949286

Tijana Levajković, Hermann Mena

Publication date: 8 October 2015

Published in: Trends in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-12577-0_37

zbMATH Keywords

stochastic controlLQRLQGRDEsSRDEs

Mathematics Subject Classification ID

Matrix equations and identities (15A24) Control problems involving ordinary differential equations (34H05) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (5)

The stochastic linear quadratic optimal control problem in Hilbert spaces: a polynomial chaos approach ⋮ The Stochastic Linear Quadratic Control Problem with Singular Estimates ⋮ The Stochastic LQR Optimal Control with Fractional Brownian Motion ⋮ Fourier-splitting method for solving hyperbolic LQR problems ⋮ A numerical approximation framework for the stochastic linear quadratic regulator on Hilbert spaces

Cites Work

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• Differential and algebraic Riccati equations with application to boundary/point control problems: Continuous theory and approximation theory
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• Numerical solution of the infinite-dimensional LQR problem and the associated Riccati differential equations
• Discrete-time indefinite LQ control with state and control dependent noises
• The Linear Regulator Problem for Parabolic Systems
• Convergence Rates for the Feedback Operators Arising in the Linear Quadratic Regulator Problem Governed by Parabolic Equations
• The Riccati Integral Equations for Optimal Control Problems on Hilbert Spaces

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