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

zbMATH Open0839.93080MaRDI QIDQ1899666FDOQ1899666

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)

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zbMATH Keywords

Lagrange multiplierlinear-quadratic stochastic controlperfect state measurements

Mathematics Subject Classification ID

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

Cited In (26)

• On continuous-time constrained stochastic linear-quadratic control
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• Stochastic linear quadratic optimal control problem with terminal state constraints
• Stochastic linear-quadratic control problems with affine constraints
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• Stochastic LQ control with extra measurability restriction
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• Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems
• Lagrangian dual method for solving stochastic linear quadratic optimal control problems with terminal state constraints
• Theory of optimal control in the works of V.A. Yakubovich
• Linear quadratic stochastic control problems with stochastic terminal constraint
• Stochastic linear quadratic optimal control problems with expectation-type linear equality constraints on the terminal states
• Study on stochastic linear quadratic optimal control with quadratic and mixed terminal state constraints
• Title not available (Why is that?)
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• Optimum stabilization of control systems under constraints on the output variable
• Control variable parameterization and optimization method for stochastic linear quadratic models
• A primal-dual method for linear-quadratic gaussian control problems with quadratic constraints
• Stochastic linear quadratic optimal control with constraint for discrete-time systems
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• Reliable approximations of probability-constrained stochastic linear-quadratic control
• A general linear quadratic stochastic control and information value
• Optimal control for controllable stochastic linear systems
• Linear stochastic control with constraints
• The stochastic linear quadratic optimal control problem on Hilbert spaces: the case of non-analytic systems

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