Explicit solution to a linear-quadratic optimal control problem with an arbitrary terminal

DOI10.3103/S0027132217050060MaRDI QIDQ1703195zbMATH OpenOpenAlexFDO

Authors A. Z. Asekov

Publication date 1 March 2018

Published in Moscow University Mathematics Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3103/s0027132217050060

zbMATH Keywords

Hamilton-Jacobi Bellman equationlinear-quadratic problemoptimal stochastic control

Mathematics Subject Classification ID

Optimality conditions for problems involving ordinary differential equations (49K15) Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

Review text

The author presents an explicit solution to an optimal stochastic control problem in which the optimized system is described by a linear stochastic differential equation with Wiener disturbances and the performance index is a sum of a quadratic integral functional and arbitrary terminal term. The line of reasoning goes through the Hamilton-Jacobi-Bellman equation ``linearized by the logarithmic transformation of the cost-to-go function. This equation could be solved by a solution to a Cauchy problem for an evolutionary equation [\textit{R. Cordero-Soto} et al., Ann. Phys. 325, No. 9, 1884--1912 (2010; Zbl 1198.81084)] with a special elliptic part. The solution can be expressed through solutions of ordinary differential equations and it leads to an explicit formula for the optimal control.

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Cites work

• Computation of Fokker-Planck equation
• Explicit form of the fundamental solution to a second order parabolic operator
• scientific article; zbMATH DE number 3685307 (Why is no real title available?)
• Quantum integrals of motion for variable quadratic Hamiltonians

Cited in

(6)

• scientific article; zbMATH DE number 4086403 (Why is no real title available?)
• scientific article; zbMATH DE number 605148 (Why is no real title available?)
• scientific article; zbMATH DE number 2065525 (Why is no real title available?)
• scientific article; zbMATH DE number 1524305 (Why is no real title available?)
• Optimal control problem with an integral functional of an exponential control function
• An exact dual method of solution of a linear terminal control problem

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