Stochastic Singular Optimal Control Problem with State Delays: Regularization, Singular Perturbation, and Minimizing Sequence

DOI10.1137/110852784zbMath1258.49038OpenAlexW2068973607MaRDI QIDQ4905930

Valery Y. Glizer

Publication date: 21 February 2013

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/110852784

zbMATH Keywords

singular perturbationregularizationcheap controlsingular optimal controlminimizing control sequencetime delay stochastic system

Mathematics Subject Classification ID

Sensitivity, stability, well-posedness (49K40) Feedback control (93B52) Time-scale analysis and singular perturbations in control/observation systems (93C70) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic functional-differential equations (34K50) Optimality conditions for problems involving randomness (49K45)

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Finite-Horizon $$H_{\infty }$$ Control Problem with Singular Control Cost ⋮ Saddle-point equilibrium sequence in one class of singular infinite horizon zero-sum linear-quadratic differential games with state delays ⋮ Asymptotic properties of an infinite horizon partial cheap control problem for linear systems with known disturbances ⋮ Singular infinite horizon zero-sum linear-quadratic differential game: saddle-point equilibrium sequence ⋮ SOLUTION OF A SINGULAR ZERO-SUM LINEAR-QUADRATIC DIFFERENTIAL GAME BY REGULARIZATION ⋮ Solving optimal control problems with control delays using direct transcription ⋮ On the linear quadratic optimal control for systems described by singularly perturbed Itô differential equations with two fast time scales

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