Stochastic linear quadratic optimal control problems with expectation-type linear equality constraints on the terminal states

DOI10.1016/j.sysconle.2023.105551zbMath1520.93621OpenAlexW4378554856MaRDI QIDQ6174065

HaiSen Zhang, Xianfeng Zhang

Publication date: 13 July 2023

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2023.105551

zbMATH Keywords

Riccati equationLagrangian dualitystochastic linear quadratic optimal control problemKalman-type rank conditionexpectation-type linear equality constraint

Mathematics Subject Classification ID

Controllability (93B05) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)

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