Stochastic optimal control problems of discrete‐time Markov jump systems (Q6081028): Difference between revisions

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scientific article; zbMATH DE number 7754975

Language	Label	Description	Also known as
English	Stochastic optimal control problems of discrete‐time Markov jump systems	scientific article; zbMATH DE number 7754975

Statements

scholarly article

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Stochastic optimal control problems of discrete‐time Markov jump systems (English)

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Optimal Control Applications and Methods

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publication date

25 October 2023

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zbMATH Keywords

discrete-time stochastic system

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generalized Riccati difference equation

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indefinite stochastic linear-quadratic control

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Markov jump system

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MaRDI profile type

MaRDI publication profile

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Optimal output feedback control for discrete‐time Markov jump linear system with input delay and packet losses

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Infinite Horizon Forward-Backward SDEs and Open-Loop Optimal Controls for Stochastic Linear-Quadratic Problems with Random Coefficients

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Matrix Riccati equations in control and systems theory

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Stabilizability and positiveness of solutions of the jump linear quadratic problem and the coupled algebraic Riccati equation

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The linear quadratic optimal control problem for discrete-time Markov jump linear singular systems

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Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems

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A Simple Proof of Indefinite Linear-Quadratic Stochastic Optimal Control With Random Coefficients

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Indefinite Linear Quadratic Mean Field Social Control Problems With Multiplicative Noise

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An optimal pricing policy under a Markov chain model

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Linear quadratic Nash differential games of stochastic singular systems with Markovian jumps

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Near-optimal control for a singularly perturbed linear stochastic singular system with Markovian jumping parameters

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Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system

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Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems

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LQ Control of Discrete-Time Jump Systems With Markov Chain in a General Borel Space

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Quadratic control with partial information for discrete-time jump systems with the Markov chain in a general Borel space

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Finite and infinite horizon indefinite linear quadratic optimal control for discrete-time singular Markov jump systems

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Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits

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Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model

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Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises

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The discounted method and equivalence of average criteria for risk-sensitive Markov decision processes on Borel spaces

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Local turnpike analysis using local dissipativity for discrete time discounted optimal control

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A new dissipativity condition for asymptotic stability of discounted economic MPC

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Stability Analysis of Discrete-Time Infinite-Horizon Optimal Control With Discounted Cost

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Stabilization with discounted optimal control

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Stabilization of strictly dissipative discrete time systems with discounted optimal control

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Maximum principle for discrete-time stochastic control problem of mean-field type

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A Maximum Principle for Optimal Control of Discrete-Time Stochastic Systems With Multiplicative Noise

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Maximum principle for discrete-time stochastic optimal control problem and stochastic game

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Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems

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Linear Quadratic Regulation and Stabilization of Discrete-Time Systems With Delay and Multiplicative Noise

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Solvability and asymptotic behavior of generalized Riccati equations arising in indefinite stochastic LQ controls

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Identifiers

Mathematics Subject Classification ID

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zbMATH DE Number

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10.1002/OCA.2991

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Sitelinks

Mathematics(1 entry)

mardi Publication:6081028

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