A stochastic linear-quadratic optimal control problem for stationary systems with quadratic constraints (Q1899666)
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| Language | Label | Description | Also known as |
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| English | A stochastic linear-quadratic optimal control problem for stationary systems with quadratic constraints |
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A stochastic linear-quadratic optimal control problem for stationary systems with quadratic constraints (English)
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19 October 1995
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The authors consider a generalized version of the standard linear-quadratic stochastic control problem, where the expected values of a number of quadratic functions of the state and control are required to satisfy some given bounds (inequality constraints). Under perfect state measurements, they obtain a Lagrange multiplier theorem.
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linear-quadratic stochastic control
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perfect state measurements
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Lagrange multiplier
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