Stochastic linear quadratic optimal control with constraint for discrete-time systems

DOI10.1016/j.amc.2013.09.036zbMath1364.49032OpenAlexW1990179652MaRDI QIDQ529912

Yong-Cai Geng, Sumit K. Garg

Publication date: 9 June 2017

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2013.09.036

zbMATH Keywords

Lagrange multiplier theoremlinear quadratic optimal controldiscrete-time stochastic systemslinear terminal constraint

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Linear-quadratic optimal control problems (49N10) Optimality conditions for problems involving randomness (49K45)

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