Optimal control for controllable stochastic linear systems

DOI10.1051/cocv/2020027zbMath1459.49019arXiv1906.03603OpenAlexW3024471496MaRDI QIDQ5854391

Xiuchun Bi, Jingrui Sun, Jie Xiong

Publication date: 17 March 2021

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.03603

zbMATH Keywords

Lagrange multiplierlinear-quadratic optimal controlRiccati equationoptimal parameter

Mathematics Subject Classification ID

Controllability (93B05) Least squares and related methods for stochastic control systems (93E24) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Related Items (6)

Exact controllability of forward and backward stochastic difference system ⋮ Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems ⋮ Stochastic linear quadratic optimal control problems with expectation-type linear equality constraints on the terminal states ⋮ Controllability Gramian and Kalman rank condition for mean-field control systems ⋮ Linear-quadratic optimal control for backward stochastic differential equations with random coefficients ⋮ General indefinite backward stochastic linear-quadratic optimal control problems

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