A stochastic linear-quadratic optimal control problem for stationary systems with quadratic constraints

MaRDI QIDQ1899666zbMATH OpenFDO

Authors V. A. Yakubovich, Nikolai Dokuchaev

Publication date 19 October 1995

Published in Journal of Computer and Systems Sciences International (Search for Journal in Brave)

zbMATH Keywords

Lagrange multiplierlinear-quadratic stochastic controlperfect state measurements

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Optimal stochastic control (93E20)

Review text

The authors consider a generalized version of the standard linear-quadratic stochastic control problem, where the expected values of a number of quadratic functions of the state and control are required to satisfy some given bounds (inequality constraints). Under perfect state measurements, they obtain a Lagrange multiplier theorem.

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• Optimal control for controllable stochastic linear systems
• The stochastic linear quadratic optimal control problem on Hilbert spaces: the case of non-analytic systems
• Stochastic linear quadratic optimal control problems with expectation-type linear equality constraints on the terminal states
• Lagrangian dual method for solving stochastic linear quadratic optimal control problems with terminal state constraints
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• Stochastic LQ control with extra measurability restriction
• Theory of optimal control in the works of V.A. Yakubovich

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