On continuous-time constrained stochastic linear-quadratic control
From MaRDI portal
Publication:2174000
DOI10.1016/J.AUTOMATICA.2020.108809zbMATH Open1441.93351OpenAlexW2999895666WikidataQ126320555 ScholiaQ126320555MaRDI QIDQ2174000FDOQ2174000
Authors: Xun Li, Wei-Ping Wu, J. J. Gao, Jun-Guo Lu 
Publication date: 17 April 2020
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2020.108809
Recommendations
- Stochastic linear quadratic optimal control with constraint for discrete-time systems
- Optimal control for controllable stochastic linear systems
- Stochastic Linear-Quadratic Control with Conic Control Constraints on an Infinite Time Horizon
- Stochastic linear quadratic optimal control for continuous-time systems based on policy iteration
- A stochastic linear-quadratic optimal control problem for stationary systems with quadratic constraints
Cites Work
- Title not available (Why is that?)
- Continuous-time stochastic control and optimization with financial applications
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Linear Quadratic Optimal Stochastic Control with Random Coefficients
- Title not available (Why is that?)
- Title not available (Why is that?)
- Stochastic Receding Horizon Control of Constrained Linear Systems With State and Control Multiplicative Noise
- Nonlinear systems
- Stabilizing Model Predictive Control of Stochastic Constrained Linear Systems
- The explicit linear quadratic regulator for constrained systems
- Linear quadratic regulator problem with positive controls
- Explicit Solution for Constrained Scalar-State Stochastic Linear-Quadratic Control With Multiplicative Noise
- Optimal multi-period mean-variance policy under no-shorting constraint
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
- Stochastic Verification Theorems within the Framework of Viscosity Solutions
- Cardinality Constrained Linear-Quadratic Optimal Control
- Stochastic Linear-Quadratic Control with Conic Control Constraints on an Infinite Time Horizon
- Stochastic model predictive control for constrained discrete-time Markovian switching systems
- Sensitivity analysis in convex quadratic optimization: simultaneous perturbation of the objective and right-hand-side vectors
- Linear-quadratic-Gaussian mixed mean-field games with heterogeneous input constraints
- Stochastic Model Predictive Control: An Overview and Perspectives for Future Research
- On positive controllers and linear quadratic optimal control problems†
Cited In (22)
- Constrained minimum variance control for discrete-time stochastic linear systems
- A unified numerical scheme for linear-quadratic optimal control problems with joint control and state constraints
- LQ control under security constraints
- Stochastic linear quadratic optimal control problem: from discrete to continuous time
- Stochastic optimal control of state constrained systems
- Linear quadratic optimal regulation for multiplicative noise systems with special terminal penalty
- Stochastic linear-quadratic control problems with affine constraints
- The impact of general correlation under multi-period mean-variance asset-liability portfolio management
- Title not available (Why is that?)
- Title not available (Why is that?)
- Stochastic linear quadratic optimal control for continuous-time systems based on policy iteration
- Stochastic linear quadratic optimal control problems with expectation-type linear equality constraints on the terminal states
- Analysis of the optimization landscape of Linear Quadratic Gaussian (LQG) control
- Stochastic linear quadratic optimal control with constraint for discrete-time systems
- Adaptive speed tracking control for high speed trains under stochastic operation environments
- On the stochastic linear quadratic control problem with piecewise constant admissible controls
- LQ control for constrained continuous-time systems
- A direct approach to linear-quadratic stochastic control
- Reliable approximations of probability-constrained stochastic linear-quadratic control
- Linearly constrained linear quadratic regulator from the viewpoint of kernel methods
- Performance bounds and suboptimal policies for linear stochastic control via LMIs
- Optimal control for controllable stochastic linear systems
This page was built for publication: On continuous-time constrained stochastic linear-quadratic control
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2174000)
