On the open-loop solution of linear stochastic optimal control problems

DOI10.1109/TAC.1984.1103587zbMath0532.93069OpenAlexW2161277421MaRDI QIDQ3315423

C. Bes, François Roubellat, Jean-Bernard Lasserre

Publication date: 1984

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1984.1103587

zbMATH Keywords

probabilistic constraintsopen-loop solutions

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Linear systems in control theory (93C05) Optimal stochastic control (93E20) Convexity of real functions of several variables, generalizations (26B25)

Related Items (3)

Conditions for the discovery of solution horizons ⋮ Solution of a class of stochastic linear-convex control problems using deterministic equivalents ⋮ Efficient computation of optimal open-loop controls for stochastic systems

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