Linear-exponential-quadratic Gaussian Control for Stochastic Partial Differential Equations

نویسنده

  • TYRONE E. DUNCAN
چکیده

In this paper a control problem for a controlled linear stochastic equation in a Hilbert space and an exponential quadratic cost functional of the state and the control is formulated and solved. The stochastic equation can model a variety of stochastic partial differential equations with the control restricted to the boundary or to discrete points in the domain. The solution method does not require solving a Hamilton-Jacobi-Bellman equation and the method provides an explanation for an additional term in the Riccati equation as compared to the Riccati equation for a quadratic cost functional. The optimal cost is also given explicitly. Some examples of controlled stochastic partial differential equations are given.

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تاریخ انتشار 2012