Study on stochastic linear quadratic optimal control with quadratic and mixed terminal state constraints
type: Item
instance of: scholarly article
title: Study on stochastic linear quadratic optimal control with quadratic and mixed terminal state constraints
zbMATH Open document ID: 1397.93236
DOI: 10.1155/2013/674327
author: Yang Hongli
published in: Journal of Applied Mathematics
publication date: 2018-10-10T00:00:00Z
review text: Summary: This paper studies the indefinite stochastic LQ control problem with quadratic and mixed terminal state equality constraints, which can be transformed into a mathematical programming problem. By means of the Lagrangian multiplier theorem and Riesz representation theorem, the main result given in this paper is the necessary condition for indefinite stochastic LQ control with quadratic and mixed terminal equality constraints. The result shows that the different terminal state constraints will cause the endpoint condition of the differential Riccati equation to be changed. It coincides with the indefinite stochastic LQ problem with linear terminal state constraint, so the result given in this paper can be viewed as the extension of the indefinite stochastic LQ problem with the linear terminal state equality constraint. In order to guarantee the existence and the uniqueness of the linear feedback control, a sufficient condition is also presented in the paper. A numerical example is presented at the end of the paper.
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6950813
Wikidata QID: Q59003680
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2013/674327
OpenAlex ID: W2144600843
DBLP publication ID: journals/jam/Yang13
description: scientific article; zbMATH DE number 6950813