Stochastic optimal control of a descriptor system

DOI10.1007/s10559-020-00236-7zbMath1454.93296MaRDI QIDQ2215287

Anatoliy Rutkas, Larisa Vlasenko, V. V. Semenets, A. A. Chikrii

Publication date: 11 December 2020

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-020-00236-7

zbMATH Keywords

stochastic optimal controltransient statequadratic cost functionalWiener random processradio engineering filterstochastic differential algebraic equation

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

93C15: Control/observation systems governed by ordinary differential equations

Related Items

Optimistic value-based optimal control problems with uncertain discrete-time noncausal systems, Decomposition of descriptor control systems, On a descriptor pursuit game, Expected value based optimal control for discrete-time stochastic noncausal systems

Cites Work

• Unnamed Item
• Unnamed Item
• Stochastic impulse control of parabolic systems of Sobolev type
• On a class of differential equations of parabolic type with impulsive action
• Spectral methods for studying degenerate differential-operator equations. I.
• An approach problem for a discrete system with random perturbations
• Stochastic degenerate Sobolev equations: well posedness and exact controllability
• Differential Games with Impulse Control
• Existence and uniqueness theorems for an implicit delay differential equation