A numerical approximation framework for the stochastic linear quadratic regulator on Hilbert spaces

DOI10.1007/S00245-016-9339-3MaRDI QIDQ2013932zbMATH OpenOpenAlexFDO

Authors Tijana Levajković, Hermann Mena, Amjad Tuffaha

Publication date 10 August 2017

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-016-9339-3

zbMATH Keywords

approximation schemesfeedback controlRiccati equationsstochastic linear quadratic regulator problems

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Existence of optimal solutions to problems involving randomness (49J55) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20) Stochastic integral equations (60H20)

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Cited in

(8)

• Numerical analysis of a Neumann boundary control problem with a stochastic parabolic equation
• On new Picard-Mann iterative approximations with mixed errors for implicit midpoint rule and applications
• The stochastic linear quadratic optimal control problem on Hilbert spaces: the case of non-analytic systems
• Fourier-splitting method for solving hyperbolic LQR problems
• The stochastic linear quadratic control problem with singular estimates
• The stochastic linear quadratic optimal control problem in Hilbert spaces: a polynomial chaos approach
• On deterministic and stochastic linear quadratic control problems
• Numerical Approximation for the Infinite-Dimensional Discrete-Time Optimal Linear-Quadratic Regulator Problem

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