Deterministic optimal control for discrete-time systems with multiplicative noises and random coefficients

DOI10.1016/j.automatica.2023.110852zbMath1519.93138OpenAlexW4320534395MaRDI QIDQ6100435

Fu, Minyue, Huan-Shui Zhang, Hongdan Li, Xun Li

Publication date: 22 June 2023

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2023.110852

zbMATH Keywords

stochastic linear quadratic controlforward and backward stochastic difference equationscoupled Riccati-type difference equationsdeterministic optimal

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

Cites Work

• Unnamed Item
• Unnamed Item
• Discrete-time mean-field stochastic linear-quadratic optimal control problems. II: Infinite horizon case
• Mixed deterministic and random optimal control of linear stochastic systems with quadratic costs
• Discrete time mean-field stochastic linear-quadratic optimal control problems
• Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems
• Control for Itô Stochastic Systems With Input Delay
• Linear Quadratic Regulation and Stabilization of Discrete-Time Systems With Delay and Multiplicative Noise
• General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
• A Q-Learning Algorithm for Discrete-Time Linear-Quadratic Control with Random Parameters of Unknown Distribution: Convergence and Stabilization
• Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients
• On a Matrix Riccati Equation of Stochastic Control

This page was built for publication: Deterministic optimal control for discrete-time systems with multiplicative noises and random coefficients