On a Stochastic Optimality of the Feedback Control in the LQG-Problem

DOI10.1137/S0040585X97980695MaRDI QIDQ4830880zbMATH OpenOpenAlexFDO

Authors T. A. Belkina, Ernst Presman, Yuri Kabanov

Publication date 16 December 2004

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

Full work available at URL https://doi.org/10.1137/s0040585x97980695

zbMATH Keywords

Ornstein-Uhlenbeck processlinear-quadratic regulatorRiccati equationupper functionsoptimal trackingalmost sure optimalityobservability, controllabilitydeficiency processsensitive probabilistic criteria

Mathematics Subject Classification ID

Feedback control (93B52) Stabilization of systems by feedback (93D15) Optimal stochastic control (93E20)

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Cited in

(16)

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• On the generalization of logarithmic upper function for solution of a linear stochastic differential equation with a nonexponentially stable matrix
• On upper functions for integral quadratic functionals based on time-varying Ornstein-Uhlenbeck process
• scientific article; zbMATH DE number 530006 (Why is no real title available?)
• Asymptotic behavior of the solution to a linear stochastic differential equation and almost sure optimality for a controlled stochastic process
• Optimal control for a linear quadratic problem with a stochastic time scale
• Comparison of the bounded and unbounded feedback controls for the stochastic linear-quadratic problem
• On optimal stochastic linear quadratic control with inversely proportional time-weighting in the cost
• On upper functions for anomalous diffusions governed by time-varying Ornstein-Uhlenbeck process
• Some results about the optimal LQG tracking problem
• Optimal H₂and H_∞LQ stochastic feedforward control
• Analysis of the asymptotic behavior of the solution to a linear stochastic differential equation with subexponentially stable matrix and its application to a control problem
• Stochastic Feedback Control With One-Dimensional Degenerate Diffusions and Nonsmooth Value Functions
• scientific article; zbMATH DE number 1865424 (Why is no real title available?)
• On stochastic optimality for a linear controller with attenuating disturbances

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