Exponential linear quadratic optimal control with discounting

DOI10.1109/9.273361MaRDI QIDQ4291131zbMATH OpenOpenAlexFDO

Authors William E. jun. Hopkins

Publication date 10 May 1994

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/9.273361

zbMATH Keywords

discounted functionallinear stochastic differential equationpartial observation problemstime- varying Riccati equation

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55)

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Cited in

(8)

• Optimal controller/observer gains of discounted-cost LQG systems
• Optimal superexponential stabilization of solutions of linear stochastic differential equations
• Optimal Control of Partially Observable Stochastic Systems with an Exponential-of-Integral Performance Index
• scientific article; zbMATH DE number 4003177 (Why is no real title available?)
• Discounted linear exponential quadratic Gaussian control
• Bellman equations for scalar linear convex stochastic control problems
• Optimal control problem with an integral functional of an exponential control function
• On optimal control in the problem of long-run tracking the exponential Ornstein-Uhlenbeck process

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