Infinite horizon linear quadratic Pareto game of the stochastic singular systems

DOI10.1016/j.jfranklin.2018.04.025zbMath1390.93870OpenAlexW2802881426WikidataQ129960869 ScholiaQ129960869MaRDI QIDQ1644295

Weihai Zhang, Tianliang Zhang, Yaning Lin

Publication date: 21 June 2018

Published in: Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jfranklin.2018.04.025

zbMATH Keywords

optimal controlstochastic singular systemsgeneralized algebraic Riccati equation (GARE)linear quadratic (LQ) Pareto gamenecessary and sufficient condition for the solvabilitystochastic LQ optimization problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Optimality conditions for problems involving randomness (49K45)

Related Items (12)

Robust \(H_\infty\) indefinite guaranteed cost dynamic output feedback control of singular semi-Markov jump systems ⋮ Indefinite linear quadratic optimal control for continuous-time rectangular descriptor Markov jump systems: infinite-time case ⋮ On the convergence and stability of fractional singular Kalman filter and Riccati equation ⋮ Necessary/sufficient conditions for Pareto optimality in finite horizon mean-field type stochastic differential game ⋮ Infinite horizon multiobjective optimal control of stochastic cooperative linear-quadratic dynamic difference games ⋮ Pareto optimal strategy for linear stochastic systems with \(H_\infty\) constraint in finite horizon ⋮ Linear quadratic Pareto game of the stochastic systems in infinite horizon ⋮ Pareto efficiency in the infinite horizon mean-field type cooperative stochastic differential game ⋮ Finite and infinite horizon indefinite linear quadratic optimal control for discrete-time singular Markov jump systems ⋮ Asynchronous \(H_\infty\) control for uncertain singular stochastic Markov jump systems with multiplicative noise based on hidden Markov mode ⋮ Stability analysis of stochastic switching singular systems with jumps ⋮ Optimal control and zero-sum differential game for Hurwicz model considering singular systems with multifactor and uncertainty

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