Linear square optimal control problem for stochastic difference equations with unknown parameters
type: Item
instance of: scholarly article
title: Linear square optimal control problem for stochastic difference equations with unknown parameters
zbMATH Open document ID: 0881.93090
DOI: 10.1016/S0895-7177(97)00002-2
author: Ravi P. Agarwal
author: Leonid Shaikhet
published in: Mathematical and Computer Modelling
publication date: 1997-07-23T00:00:00Z
review text: The problem described by linear stochastic difference equation with unknown Gaussian vector parameter and a quadratic performance index is considered. The goal of the considerations is to find the optimal control which minimizes the mean value of the performance index. The way of determination of the optimal control from derived recursive equations is described.
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49N10
Mathematics Subject Classification ID: 93C55
zbMATH DE Number: 1038626
zbMATH Keywords: optimal stochastic control
zbMATH Keywords: linear stochastic difference equation
zbMATH Keywords: quadratic performance
reviewed by: Ryszard Gessing
MaRDI profile type: Publication
cites work: Q4868382
cites work: Optimal control problem for nonlinear stochastic difference second kind Volterra equations
cites work: Necessary and sufficient conditions of asymptotic mean square stability for stochastic linear difference equations
cites work: Q5687977
cites work: Q4043865
full work available at URL: s0895-7177(97)00002-2
OpenAlex ID: W2014514821
description: scientific article; zbMATH DE number 1038626