On Optimal Linear Regulator with Polynomial Process of External Excitations

DOI10.1137/S0040585X97T991131MaRDI QIDQ5883332zbMATH OpenFDO

Authors E. S. Palamarchuk

Publication date 30 March 2023

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S0040585X97T991131

zbMATH Keywords

linear regulatorOrnstein-Uhlenbeck processpathwise optimalitypolynomial process

Mathematics Subject Classification ID

Diffusion processes (60J60) Linear systems in control theory (93C05) Optimal stochastic control (93E20)

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Cites work

• A law of the iterated logarithm for stochastic integrals
• An invariance principle for the law of the iterated logarithm
• Asymptotic behavior of the solution to a linear stochastic differential equation and almost sure optimality for a controlled stochastic process
• Continuous Bivariate Distributions
• Control of the Duffing oscillator under non-Gaussian external excitation
• Dynamics at the angle of repose: jamming, bistability, and collapse
• scientific article; zbMATH DE number 3435336 (Why is no real title available?)
• scientific article; zbMATH DE number 6125590 (Why is no real title available?)
• scientific article; zbMATH DE number 3259552 (Why is no real title available?)
• Infinite horizon backward stochastic differential equations and elliptic equations in Hilbert spaces.
• Introduction to stochastic integration.
• Local times and excursion theory for Brownian motion. A tale of Wiener and Itô measures
• On upper functions for anomalous diffusions governed by time-varying Ornstein-Uhlenbeck process
• Polynomial processes for power prices
• Response of Linear Systems to Polynomials of Gaussian Processes
• Stochastic linear quadratic regulators with indefinite control weight costs. II
• Stochastic linear-quadratic optimal control theory: open-loop and closed-loop solutions

Cited in

(4)

• Optimal regulation using measurement feedback: a polynomial approach
• Optimal linear regulator pole-placement by weight selection
• The polynomial approach to the LQ non-Gaussian regulator problem
• On optimal control in the problem of long-run tracking the exponential Ornstein-Uhlenbeck process

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