On the synthesis of optimal control for the continuous-time linear stochastic systems with singular mean-square performance index

DOI10.1016/0378-4754(87)90136-4MaRDI QIDQ1821083zbMATH OpenOpenAlexFDO

Authors A. P. Serebrovskij

Publication date 1987

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-4754(87)90136-4

zbMATH Keywords

asymptotic behaviorcontinuous-timesingular mean-square performance indexsub-optimal control

Mathematics Subject Classification ID

Theory of matrix inversion and generalized inverses (15A09) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Synthesis problems (93B50) Linear systems in control theory (93C05) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)

Review text

Some necessary and sufficient conditions are found for the existence of an optimal control for systems with a singular mean-square performance index. Optimal control is obtained by the use of the pseudo-inverse. The asymptotic behavior of sub-optimal control is also studied.

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Cites work

• scientific article; zbMATH DE number 3576395 (Why is no real title available?)
• On a Matrix Riccati Equation of Stochastic Control
• Regression and the Moore-Penrose pseudoinverse
• Singular perturbations and singular arcs--Part I
• Suboptimal control design in a problem with singular control cost

Cited in

(2)

• The technique for accurate and approximate synthesis of optimal continuous-time stochastic control systems
• Optimal controller synthesis for linear stochastic systems with incomplete information regarding the state. Necessary conditions and numerical methods

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