Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system

DOI10.1007/S00245-020-09653-8zbMATH Open1476.93164arXiv1904.01442OpenAlexW3003209761MaRDI QIDQ2045127FDOQ2045127

Xun Li, Jiaqiang Wen, Jie Xiong

Publication date: 11 August 2021

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

Abstract: In this paper, we investigate the open-loop and weak closed-loop solvabilities of stochastic linear quadratic (LQ, for short) optimal control problem of Markovian regime switching system. Interestingly, these two solvabilities are equivalent. We first provide an alternative characterization of the open-loop solvability of the LQ problem using the perturbation approach. Then, we study the weak closed-loop solvability of the LQ problem of Markovian regime switching system, and establish the equivalent relationship between open-loop and weak closed-loop solvabilities. Finally, we present an example to illustrate the procedure for finding weak closed-loop optimal strategies within the framework of Markovian regime switching system.

Full work available at URL: https://arxiv.org/abs/1904.01442

zbMATH Keywords

Riccati equationopen-loop solvabilityweak closed-loop solvabilitystochastic linear quadratic optimal controlMarkovian regime switching

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20) Optimal feedback synthesis (49N35)

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Cited In (12)

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