Discrete-time stochastic LQ optimal control problem with random coefficients

DOI10.1007/S42967-024-00462-2MaRDI QIDQ7242372zbMATH OpenFDO

Authors Yiwei Wu, Mao-ning Tang, Qingxin Meng

Publication date 13 May 2026

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

Full work available at URL https://doi.org/10.1007/S42967-024-00462-2

zbMATH Keywords

feedback representationlinear quadratic (LQ) optimal controlrandom coefficientsRiccati equationvalue function

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Optimality conditions and duality in mathematical programming (90C46)

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