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)

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Cited in

(26)

• The stochastic linear quadratic optimal control problem on Hilbert spaces: the case of non-analytic systems
• On continuous-time constrained stochastic linear-quadratic control
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• Stochastic linear-quadratic control problems with affine constraints
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• Stochastic LQ control with extra measurability restriction
• scientific article; zbMATH DE number 146423 (Why is no real title available?)
• 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
• Optimum stabilization of control systems under constraints on the output variable
• scientific article; zbMATH DE number 3886636 (Why is no real title available?)
• scientific article; zbMATH DE number 7401810 (Why is no real title available?)
• 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
• scientific article; zbMATH DE number 3926783 (Why is no real title available?)
• 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

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