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- Title
On the stochastic linear quadratic optimal control problem by piecewise constant controls: The infinite horizon time case.
- Authors
Drăgan, Vasile; Popa, Ioan‐Lucian; Aberkane, Samir
- Abstract
This paper is devoted to the problem of indefinite stochastic linear quadratic (LQ) optimal control by piecewise constant controls in an infinite horizon case. By restricting the set of admissible controls to the class of piecewise constant stochastic processes, we reformulated the above control problem under the setting of systems modeled by Itô differential equations controlled by impulses. We show that the solution in a state feedback form of the indefinite stochastic LQ control problem is equivalent to the existence of a global stabilizing solution associated to a class of backward matrix linear differential equations with a Riccati type jumping operators.
- Subjects
LINEAR differential equations; RICCATI equation; IMPULSIVE differential equations; TIME perspective; STATE feedback (Feedback control systems)
- Publication
Mathematical Methods in the Applied Sciences, 2024, Vol 47, Issue 5, p3734
- ISSN
0170-4214
- Publication type
Article
- DOI
10.1002/mma.9253