Linear square optimal control problem for stochastic difference equations with unknown parameters

DOI10.1016/S0895-7177(97)00002-2MaRDI QIDQ1361210zbMATH OpenOpenAlexFDO

Authors Ravi P. Agarwal, Leonid Shaikhet

Publication date 23 July 1997

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0895-7177(97)00002-2

zbMATH Keywords

linear stochastic difference equationoptimal stochastic controlquadratic performance

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

Review text

The problem described by linear stochastic difference equation with unknown Gaussian vector parameter and a quadratic performance index is considered. The goal of the considerations is to find the optimal control which minimizes the mean value of the performance index. The way of determination of the optimal control from derived recursive equations is described.

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• Necessary and sufficient conditions of asymptotic mean square stability for stochastic linear difference equations
• Optimal control problem for nonlinear stochastic difference second kind Volterra equations

Cited in

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• Boundary value problems for general discrete systems on infinite intervals
• Optimal control problem for nonlinear stochastic difference second kind Volterra equations
• scientific article; zbMATH DE number 882124 (Why is no real title available?)

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