Solving an LQG homing problem via a different uncontrolled process (Q4955103)
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scientific article; zbMATH DE number 1457689
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| English | Solving an LQG homing problem via a different uncontrolled process |
scientific article; zbMATH DE number 1457689 |
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Solving an LQG homing problem via a different uncontrolled process (English)
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12 June 2000
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explicit solution
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optimal control
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singular drift
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LQG homing problems
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0.884126603603363
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0.8729414939880371
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0.863469660282135
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0.8615380525588989
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0.8580682277679443
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An optimal control problem for a two-dimensional diffusion process in a halfspace with a singular drift, depending linearly on the control, and a quadratic cost criterion is considered. It is shown that the corresponding Bellman equation can be explicitly solved, using some functionals of uncontrolled diffusion processes, and an optimal control is found. The paper extends the analysis of the so-called LQG homing problems.
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