Near-optimal control for a singularly perturbed linear stochastic singular system with Markovian jumping parameters

DOI10.1016/j.ejcon.2019.04.002zbMath1425.93305OpenAlexW2936491117WikidataQ128005556 ScholiaQ128005556MaRDI QIDQ2335460

Guoqiang Ren, Bin Liu

Publication date: 14 November 2019

Published in: European Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejcon.2019.04.002

zbMATH Keywords

optimal controlsingularly perturbedstochastic singular systemstochastic generalized coupled differential Riccati equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear systems in control theory (93C05) Time-scale analysis and singular perturbations in control/observation systems (93C70) Optimal stochastic control (93E20) Control/observation systems governed by ordinary differential equations (93C15)

Related Items

Stochastic optimal control problems of discrete‐time Markov jump systems ⋮ Finite and infinite horizon indefinite linear quadratic optimal control for discrete-time singular Markov jump systems ⋮ Maximum principle for near-optimality of mean-field FBSDEs

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