Analysis of criteria for long-run average in the problem of stochastic linear regulator

DOI10.1134/S0005117916100039zbMath1355.93214OpenAlexW2536234814MaRDI QIDQ507103

E. S. Palamarchuk

Publication date: 3 February 2017

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117916100039

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (7)

Optimization of the superstable linear stochastic system applied to the model with extremely impatient agents ⋮ Optimal superexponential stabilization of solutions of linear stochastic differential equations ⋮ Analysis of the Asymptotic Behavior of the Solution to a Linear Stochastic Differential Equation with Subexponentially Stable Matrix and Its Application to a Control Problem ⋮ On Upper Functions for Integral Quadratic Functionals Based on Time-Varying Ornstein--Uhlenbeck Process ⋮ Time invariance of optimal control in a stochastic linear controller design with dynamic scaling of coefficients ⋮ On the generalization of logarithmic upper function for solution of a linear stochastic differential equation with a nonexponentially stable matrix ⋮ On the optimal control problem for a linear stochastic system with an unstable state matrix unbounded at infinity

Cites Work

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• Optimal periodic control for spacecraft pointing and attitude determination
• Multidimensional Backward Stochastic Riccati Equations and Applications
• Control of Continuous-Time Linear Gaussian Systems Over Additive Gaussian Wireless Fading Channels: A Separation Principle
• Linear time varying systems and sampled-data systems
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