A stochastic linear-quadratic optimal control problem for stationary systems with quadratic constraints (Q1899666)
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scientific article; zbMATH DE number 807046
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| English | A stochastic linear-quadratic optimal control problem for stationary systems with quadratic constraints |
scientific article; zbMATH DE number 807046 |
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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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0.8706007599830627
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0.8592492341995239
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0.8586825132369995
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0.8511426448822021
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0.8475821018218994
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