Lq-stochastic Control
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چکیده
منابع مشابه
Indefinite Stochastic Lq Controls with Markovian Jumps in a Finite Time Horizon∗
This paper is concerned with a stochastic linear–quadratic (LQ) control problem over a finite time horizon with Markovian jumps in the problem parameters. The problem is indefinite in that the cost weighting matrices for the state and control are allowed to be indefinite. A system of coupled generalized (differential) Riccati equations (CGREs) is introduced to cope with the indefiniteness of th...
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A stochastic linear quadratic (LQ) control problem is indefinite when the cost weighting matrices for the state and the control are allowed to be indefinite. Indefinite stochastic LQ theory has been extensively developed and has found interesting applications in finance. However, there remains an outstanding open problem, which is to identify an appropriate Riccati-type equation whose solvabili...
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This paper is concerned with a continuous-time mean-variance portfolio selection model that is formulated as a bicriteria optimization problem. The objective is to maximize the expected terminal return and minimize the variance of the terminal wealth. By putting weights on the two criteria one obtains a single objective stochastic control problem which is however not in the standard form due to...
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In adaptive control problems one may drop the requirement of identifying the true system in order to simplify the problem of control. It will be shown that in the adaptive LQ control problem this does not at all lead to an easier problem. A MS Subject Classijication: 93C40. Kqvwords: Adaptive LQ control, Closed-loop identification, Certainty equivalence.
متن کاملIndefinite LQ Control for Discrete-Time Stochastic Systems via Semidefinite Programming
This paper is concerned with a discrete-time indefinite stochastic LQ problem in an infinite-time horizon. A generalized stochastic algebraic Riccati equation GSARE that involves the MoorePenrose inverse of a matrix and a positive semidefinite constraint is introduced. We mainly use a semidefinite-programmingSDPbased approach to study corresponding problems. Several relations among SDP compleme...
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