The stochastic linear quadratic optimal control problem in Hilbert spaces: a polynomial chaos approach

DOI10.3934/EECT.2016.5.105zbMath1350.49019OpenAlexW2331552525MaRDI QIDQ325340

Tijana Levajković, Hermann Mena, Amjad M. Tuffaha

Publication date: 18 October 2016

Published in: Evolution Equations and Control Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/eect.2016.5.105

zbMATH Keywords

white noise analysisRiccati equationsItô-Skorokhod integralpolynomial chaos expansion methodstochastic linear quadratic optimal control problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Matrix equations and identities (15A24) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10) White noise theory (60H40) Stochastic integrals (60H05) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (6)

Optimal control problems for a neutral integro-differential system with infinite delay ⋮ The Stochastic Linear Quadratic Control Problem with Singular Estimates ⋮ The Stochastic LQR Optimal Control with Fractional Brownian Motion ⋮ Fourier-splitting method for solving hyperbolic LQR problems ⋮ A numerical approximation framework for the stochastic linear quadratic regulator on Hilbert spaces ⋮ A splitting/polynomial chaos expansion approach for stochastic evolution equations

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