Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems

DOI10.1137/15M103532XMaRDI QIDQ2820185zbMATH OpenOpenAlexFDO

Authors Jingrui Sun, Xun Li, Jiongmin Yong

Publication date 14 September 2016

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1508.02163

zbMATH Keywords

closed-loop solvabilitylinear quadratic optimal control problemopen-loop solvabilityRiccati equationstochastic differential equation

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Linear-quadratic optimal control problems (49N10) Optimal feedback synthesis (49N35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Abstract: This paper is concerned with a stochastic linear quadratic (LQ, for short) optimal control problem. The notions of open-loop and closed-loop solvabilities are introduced. A simple example shows that these two solvabilities are different. Closed-loop solvability is established by means of solvability of the corresponding Riccati equation, which is implied by the uniform convexity of the quadratic cost functional. Conditions ensuring the convexity of the cost functional are discussed, including the issue that how negative the control weighting matrix-valued function R(s) can be. Finiteness of the LQ problem is characterized by the convergence of the solutions to a family of Riccati equations. Then, a minimizing sequence, whose convergence is equivalent to the open-loop solvability of the problem, is constructed. Finally, an illustrative example is presented.

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