Study on Indefinite Stochastic Linear Quadratic Optimal Control with Inequality Constraint
نویسندگان
چکیده
منابع مشابه
Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II
This paper considers optimal (minimizing) control of stochastic linear quadratic regulators (LQRs). The assumption that the control weight costs must be positive definite, inherited from the deterministic case, has been taken for granted in the literature. It is, however, shown in this paper that some stochastic LQR problems with indefinite (in particular, negative) control weight costs may sti...
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ژورنال
عنوان ژورنال: Journal of Applied Mathematics
سال: 2013
ISSN: 1110-757X,1687-0042
DOI: 10.1155/2013/805829